Access Statistics for Angelo Ranaldo

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, it utilizes a wider information set, namely, close, high, and low prices, which are readily available. In the absence of end-of-day quote data, it generally provides the highest cross-sectional and average time-series correlations with the TAQ effective spread benchmark. Moreover, it delivers the most accurate estimates for less liquid stocks. Our estimator has many potential applications including an accurate measurement of transaction cost, systematic liquidity risk, and commonality in liquidity for U.S. stocks dating back almost one century 1 1 1 128 4 7 11 591
Asymmetric Information Risk in FX Markets 0 0 1 60 1 4 8 173
Blockchain Currency Markets 1 2 3 25 1 3 6 16
Collateral Cycles 0 0 0 10 0 0 4 25
Collateral cycles 1 1 1 14 1 2 5 36
Constrained Dealers and Market Efficiency 0 0 0 3 0 0 0 15
Constrained Liquidity Provision in Currency Markets 0 0 1 1 1 2 5 6
Constrained Liquidity Provision in Currency Markets 0 0 1 20 0 0 2 37
Constrained liquidity provision in currency markets 0 0 1 11 3 3 5 16
Does FOMC News Increase Global FX Trading? 0 0 0 79 0 2 4 272
Does FOMC News Increase Global FX Trading? 0 0 0 50 2 3 4 436
Extreme Coexceedances in New EU Member States' Stock Markets 0 0 0 31 1 3 5 162
Extreme Coexceedances in New EU Member States’ Stock Markets 0 0 0 39 1 2 2 192
Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model 0 0 1 12 0 0 3 102
Forecasting realized (co)variances with a block structure Wishart autoregressive model 0 0 0 82 0 0 3 256
Foreign Exchange Swap Liquidity 0 0 3 41 1 3 13 75
Foreign Exchange Swaps and Cross-Currency Swaps 1 7 9 50 4 10 24 116
Funding Illiquidity 0 0 1 100 4 4 5 168
HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading 1 1 2 9 3 6 12 27
Hunting for Dollars 0 1 2 9 0 4 11 26
Intraday Market Dynamics Around Public Information Arrivals 0 0 0 37 0 1 1 144
Intraday Patterns in FX Returns and Order Flow 2 4 5 17 3 9 15 47
Intraday patterns in FX returns and order flow 0 0 0 146 2 5 5 360
Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal 0 0 0 22 1 2 3 82
Judgement Day: algorithmic trading around the Swiss franc cap removal 0 1 2 34 0 2 7 118
Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal 0 0 0 16 3 5 7 63
Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity 2 2 3 89 3 8 20 361
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity 0 1 3 153 4 5 7 592
Liquidity Risk and Funding Cost 0 0 0 54 1 1 3 110
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 1 4 154 3 7 10 481
Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums 0 0 0 5 1 2 2 31
Market Dynamics Around Public Information Arrivals 0 0 0 64 2 2 3 341
Monetary Policy Effects on Long-term Rates and Stock Prices 0 1 1 97 0 3 4 213
Monetary policy disconnect 0 1 2 55 2 4 12 206
Money Market Disconnect 0 0 0 55 0 2 9 95
NFT Bubbles 0 0 0 16 0 0 1 15
NFT Bubbles 0 1 5 119 5 8 40 333
Non-Fungible Tokens 0 0 0 23 1 4 5 20
Non-Standard Errors 0 0 2 44 6 8 32 452
Non-Standard Errors 0 0 1 27 2 5 30 157
Nonstandard Errors 0 0 3 3 2 9 26 29
Nonstandard errors 0 1 2 12 3 8 28 60
OTC Premia 0 0 0 8 1 2 3 74
OTC premia 0 0 0 37 2 2 2 148
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 0 0 1 33 8 12 36 107
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 0 0 0 20 3 3 9 67
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 1 58 2 4 5 273
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 0 83 3 3 3 163
On the Predictability of Stock Prices: a Case for High and Low Prices 1 1 2 20 4 4 10 133
Pension Liquidity Risk 1 1 1 10 6 7 11 17
Pension Liquidity Risk 0 0 2 13 3 4 23 31
Precious Metals Under the Microscope: A High-Frequency Analysis 0 0 0 47 1 4 6 157
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 0 121 2 3 6 463
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 1 71 0 2 5 279
Realized Illiquidity 2 2 4 21 3 3 10 40
Regulatory effects on short-term interest rates 0 0 0 39 1 2 7 100
Risk Spillovers in International Equity Portfolios 0 0 0 11 2 3 5 80
Risk spillovers in international equity portfolios 0 0 0 57 1 3 5 195
Safe Asset Carry Trade 0 0 0 47 4 5 9 117
Safe Haven Currencies 0 2 7 192 4 6 24 688
Safe Haven Currencies 1 2 3 100 1 3 12 477
Safe Haven Currencies 0 0 0 229 2 3 8 740
Segmentation and Time-of-Day Patterns in Foreign Exchange Markets 0 0 0 80 1 2 5 299
Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals 0 0 0 75 0 0 1 203
Swiss treasury bond auctions: An update 2 6 18 18 6 12 39 39
The Demand for Safe Assets 0 0 4 4 1 4 19 19
The Euro Interbank Repo Market 0 0 2 187 0 0 6 441
The Forward Premium in Short-Term Rates 0 0 1 42 0 0 3 165
The Implementation of SNB Monetary Policy 0 0 0 113 1 1 3 288
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 102 3 4 4 272
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 76 0 0 1 334
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 169 2 3 4 437
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 1 77 0 0 3 319
The demand for safe assets 0 0 3 3 1 2 18 18
The reaction of asset markets to Swiss National Bank communication 0 0 0 58 4 4 5 224
Trading Volume, Illiquidity and Commonalities in FX Markets 1 1 2 65 2 5 10 178
Understanding FX Liquidity 0 0 0 179 1 5 7 460
Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution 0 0 0 6 1 1 2 57
Uniform-price auctions for Swiss government bonds: Origin and evolution 0 0 0 18 1 1 3 115
Unsecured and Secured Funding 0 0 0 54 3 4 5 182
Unsecured and Secured Funding 0 0 0 102 0 0 3 468
Total Working Papers 17 41 113 4,661 151 284 742 15,924
2 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices 0 0 2 74 6 9 26 267
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 0 0 0 9 0 1 1 50
Asymmetric information risk in FX markets 0 0 1 27 1 2 8 120
Bank positions in FX swaps: insights from CLS 0 3 5 7 4 12 29 54
Constrained liquidity provision in currency markets 1 1 2 2 4 6 9 9
Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland 0 0 0 57 1 2 4 163
Does FOMC news increase global FX trading? 0 0 2 86 4 5 22 289
Editorial 0 0 0 2 1 1 3 35
Euro repo market functioning: collateral is king 0 0 0 17 2 2 11 118
Extreme coexceedances in new EU member states' stock markets 0 0 0 66 0 0 1 246
Intraday Patterns in FX Returns and Order Flow 1 2 3 12 1 4 14 66
Intraday Patterns in FX Returns and Order Flow 0 0 1 52 3 5 11 182
Judgment day: Algorithmic trading around the Swiss franc cap removal 0 1 1 13 0 3 7 33
Liquidity Risk and Funding Cost 0 0 0 0 4 6 8 10
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 0 4 95 2 5 13 311
Liquidity in the global currency market 2 4 10 41 10 21 52 138
Money Market Disconnect 0 1 1 1 2 3 6 10
Nonstandard Errors 0 3 17 41 3 17 69 151
OTC premia 0 0 0 9 3 5 8 95
On the predictability of stock prices: A case for high and low prices 1 1 2 48 2 6 11 193
Order aggressiveness in limit order book markets 0 0 2 450 1 4 9 1,017
Precious metals under the microscope: a high-frequency analysis 0 0 0 12 1 1 2 60
Realized bond—stock correlation: Macroeconomic announcement effects 0 0 1 13 2 3 4 53
Regulatory effects on short-term interest rates 0 0 1 31 3 4 8 85
Risk spillovers in international equity portfolios 0 0 0 8 1 1 3 100
Safe Asset Carry Trade 0 0 0 2 0 0 2 7
Safe Haven Currencies 3 9 37 497 10 35 129 1,344
Segmentation and time-of-day patterns in foreign exchange markets 0 0 0 67 2 5 7 224
The Euro Interbank Repo Market 0 0 5 143 1 2 14 458
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 74 0 2 3 205
The implementation of SNB monetary policy 0 0 1 24 1 2 5 100
The reaction of asset markets to Swiss National Bank communication 2 2 6 124 5 5 11 495
Understanding FX Liquidity 0 0 1 55 1 3 8 212
Unsecured and Secured Funding 1 1 4 15 3 4 15 61
Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance 0 0 0 24 0 0 0 130
Total Journal Articles 11 28 109 2,198 84 186 533 7,091

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Foreign exchange swaps and cross-currency swaps 1 3 12 43 7 12 46 125
Non-Fungible Tokens 0 0 0 0 1 1 4 8
Total Chapters 1 3 12 43 8 13 50 133

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Statistics updated 2025-12-06