Access Statistics for Angelo Ranaldo

Author contact details at EconPapers.

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 0 0 3 119 2 4 28 546
Asymmetric Information Risk in FX Markets 0 0 6 54 0 1 11 140
Does FOMC News Increase Global FX Trading? 0 0 0 49 1 4 21 413
Does FOMC News Increase Global FX Trading? 0 0 1 79 1 2 18 261
Extreme Coexceedances in New EU Member States' Stock Markets 0 0 0 31 0 0 3 156
Extreme Coexceedances in New EU Member States’ Stock Markets 0 0 0 39 0 1 1 187
Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model 0 0 0 10 0 0 2 95
Forecasting realized (co)variances with a block structure Wishart autoregressive model 0 0 1 82 0 0 3 249
Foreign Exchange Swaps and Cross-Currency Swaps 1 2 6 6 2 6 16 16
Funding Illiquidity 0 0 1 97 2 2 5 152
Intraday Market Dynamics Around Public Information Arrivals 0 0 2 37 0 0 3 139
Intraday Patterns in FX Returns and Order Flow 0 0 3 69 0 1 7 229
Intraday Patterns in FX Returns and Order Flow 0 1 1 7 0 2 3 21
Intraday patterns in FX returns and order flow 0 0 0 144 1 1 4 350
Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal 0 0 1 19 0 2 7 66
Judgement Day: algorithmic trading around the Swiss franc cap removal 0 0 0 30 1 1 3 109
Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal 0 0 2 16 1 3 11 38
Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity 0 1 6 74 1 5 25 276
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity 0 1 5 145 3 6 39 535
Liquidity Risk and Funding Cost 0 0 2 48 0 3 8 85
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 0 1 148 1 3 19 466
Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums 0 0 0 3 1 2 2 20
Margin procyclicality and the collateral cycle 0 1 12 12 2 4 19 19
Market Dynamics Around Public Information Arrivals 0 0 1 64 0 1 2 337
Monetary Policy Effects on Long-term Rates and Stock Prices 0 0 1 96 0 0 1 207
Monetary policy disconnect 0 3 14 45 4 11 40 156
Non-Standard Errors 1 4 31 37 19 48 223 252
Non-Standard Errors 2 3 22 25 9 25 159 169
OTC Premia 0 0 0 5 1 4 7 54
OTC premia 0 0 1 37 1 2 9 137
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 1 2 18 18 5 6 23 23
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 3 5 23 23 8 11 24 24
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 1 55 0 0 5 255
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 0 83 0 0 1 157
On the Predictability of Stock Prices: a Case for High and Low Prices 0 1 2 18 0 1 3 122
Precious Metals Under the Microscope: A High-Frequency Analysis 0 0 1 46 0 0 2 139
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 0 65 4 4 4 268
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 0 120 2 2 2 449
Regulatory effects on short-term interest rates 0 0 1 37 2 2 5 88
Risk Spillovers in International Equity Portfolios 0 0 0 9 0 0 1 69
Risk spillovers in international equity portfolios 0 0 0 57 1 2 3 185
Safe Asset Carry Trade 2 2 2 46 2 2 13 97
Safe Haven Currencies 0 2 4 180 0 3 12 645
Safe Haven Currencies 0 1 2 97 1 2 6 459
Safe Haven Currencies 0 0 0 228 0 1 2 724
Segmentation and Time-of-Day Patterns in Foreign Exchange Markets 2 2 3 74 2 2 7 283
Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals 0 0 1 73 0 0 1 191
The Euro Interbank Repo Market 0 0 7 176 4 8 31 388
The Forward Premium in Short-Term Rates 0 0 0 39 1 3 19 122
The Implementation of SNB Monetary Policy 0 0 0 113 0 0 2 285
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 75 1 2 5 331
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 1 101 0 1 2 265
The Time-Varying Systematic Risk of Carry Trade Strategies 0 1 1 167 0 2 4 425
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 75 0 0 1 309
The reaction of asset markets to Swiss National Bank communication 0 0 0 55 0 0 9 213
Trading Volume, Illiquidity and Commonalities in FX Markets 0 2 7 49 1 4 17 131
Understanding FX Liquidity 0 0 1 175 0 1 4 430
Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution 0 0 0 6 0 0 1 46
Uniform-price auctions for Swiss government bonds: Origin and evolution 0 0 0 18 1 1 6 106
Unsecured and Secured Funding 0 0 1 102 0 2 17 445
Unsecured and Secured Funding 0 0 4 53 1 3 21 169
Total Working Papers 12 34 203 4,060 89 209 952 13,723


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 1 9 18 39 10 30 64 129
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 0 0 0 9 0 0 0 49
Asymmetric information risk in FX markets 2 3 10 17 4 9 35 70
Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland 0 0 3 56 1 1 6 153
Does FOMC news increase global FX trading? 0 1 1 81 0 3 15 250
Editorial 0 0 0 2 0 0 1 32
Euro repo market functioning: collateral is king 0 1 3 14 1 4 15 94
Extreme coexceedances in new EU member states' stock markets 0 0 0 65 0 0 1 243
Intraday Patterns in FX Returns and Order Flow 0 0 2 44 0 0 7 151
Intraday Patterns in FX Returns and Order Flow 0 1 3 8 0 4 16 31
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 0 0 89 1 1 3 288
OTC premia 0 0 3 5 0 0 12 65
On the predictability of stock prices: A case for high and low prices 0 0 2 43 1 2 9 172
Order aggressiveness in limit order book markets 1 3 5 424 1 4 13 958
Precious metals under the microscope: a high-frequency analysis 0 0 0 12 0 0 0 56
Realized bond—stock correlation: Macroeconomic announcement effects 0 0 0 7 0 1 3 39
Regulatory effects on short-term interest rates 0 2 7 19 0 4 11 48
Risk spillovers in international equity portfolios 0 1 1 8 2 4 15 89
Safe Haven Currencies 1 4 30 403 5 14 82 1,066
Segmentation and time-of-day patterns in foreign exchange markets 0 1 2 62 1 2 4 199
The Euro Interbank Repo Market 0 1 8 124 3 7 42 385
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 1 73 0 1 3 200
The implementation of SNB monetary policy 0 0 0 23 1 1 1 95
The reaction of asset markets to Swiss National Bank communication 0 1 3 109 1 10 46 431
Understanding FX Liquidity 0 0 4 44 2 3 14 174
Unsecured and Secured Funding 0 1 4 4 3 5 16 16
Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance 0 0 0 24 2 3 5 130
Total Journal Articles 5 29 110 1,808 39 113 439 5,613


Statistics updated 2022-12-04