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 2 4 14 110 5 11 62 406
Asymmetric Information Risk in FX Markets 0 7 17 27 6 25 57 73
Does FOMC News Increase Global FX Trading? 0 0 0 78 2 5 15 209
Does FOMC News Increase Global FX Trading? 0 0 0 48 1 8 15 353
Extreme Coexceedances in New EU Member States' Stock Markets 0 0 0 30 3 3 6 145
Extreme Coexceedances in New EU Member States’ Stock Markets 0 0 0 39 2 4 10 184
Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model 0 0 1 10 1 1 7 89
Forecasting realized (co)variances with a block structure Wishart autoregressive model 0 1 2 81 1 2 9 240
Funding Illiquidity 0 0 2 94 1 3 20 133
Intraday Market Dynamics Around Public Information Arrivals 0 0 0 33 0 0 9 130
Intraday Patterns in FX Returns and Order Flow 0 0 3 5 2 2 9 14
Intraday Patterns in FX Returns and Order Flow 0 1 6 64 3 6 34 211
Intraday patterns in FX returns and order flow 0 1 3 143 1 5 12 337
Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal 0 1 2 16 0 4 15 40
Judgement Day: algorithmic trading around the Swiss franc cap removal 0 1 5 30 0 2 26 91
Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal 0 0 9 9 0 2 8 8
Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity 1 2 11 62 5 8 27 205
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity 0 2 7 128 1 6 28 432
Liquidity Risk and Funding Cost 2 4 36 36 6 10 35 35
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 2 6 136 5 16 33 389
Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums 1 1 1 1 1 2 10 15
Market Dynamics Around Public Information Arrivals 0 0 1 63 3 3 16 332
Monetary Policy Effects on Long-term Rates and Stock Prices 0 0 2 88 0 0 10 195
OTC Premia 0 0 2 4 3 6 22 29
OTC premia 0 1 7 34 4 8 35 104
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 1 53 2 4 16 232
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 1 82 3 7 23 151
On the Predictability of Stock Prices: a Case for High and Low Prices 0 1 2 16 1 4 12 109
Precious Metals Under the Microscope: A High-Frequency Analysis 0 0 1 45 3 3 15 132
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 0 65 0 0 0 258
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 1 119 0 1 6 440
Regulatory effects on short-term interest rates 0 2 14 29 1 3 40 60
Risk Spillovers in International Equity Portfolios 0 0 0 9 1 1 9 63
Risk spillovers in international equity portfolios 0 0 0 57 16 17 32 141
Safe Asset Carry Trade 4 6 25 25 7 14 31 31
Safe Haven Currencies 0 0 6 92 1 2 25 435
Safe Haven Currencies 0 4 15 167 9 36 97 565
Safe Haven Currencies 0 2 5 227 1 5 24 706
Segmentation and Time-of-Day Patterns in Foreign Exchange Markets 0 0 0 68 2 2 11 261
Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals 0 0 1 71 3 3 14 187
The Euro Interbank Repo Market 1 3 7 162 1 6 33 324
The Forward Premium in Short-Term Rates 0 1 6 39 1 7 31 79
The Implementation of SNB Monetary Policy 0 1 2 112 1 3 10 274
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 2 74 1 1 17 322
The Time-Varying Systematic Risk of Carry Trade Strategies 1 2 7 161 1 2 14 399
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 1 74 0 1 6 298
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 1 99 2 2 10 254
The reaction of asset markets to Swiss National Bank communication 0 0 2 54 0 5 13 167
Trading Volume, Illiquidity and Commonalities in FX Markets 1 2 12 37 7 11 44 78
Understanding FX Liquidity 0 3 11 160 2 12 47 360
Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution 0 0 0 6 0 1 7 32
Uniform-price auctions for Swiss government bonds: Origin and evolution 0 0 2 15 1 2 12 85
Unsecured and Secured Funding 0 1 5 90 9 24 67 324
Unsecured and Secured Funding 0 0 6 40 4 5 50 90
Total Working Papers 13 56 273 3,617 136 326 1,246 11,256


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 1 3 3 1 3 12 12
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 0 0 0 9 1 1 3 43
Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland 0 0 1 53 0 1 3 145
Does FOMC news increase global FX trading? 0 0 1 74 1 5 14 214
Editorial 0 0 0 2 0 0 4 27
Euro repo market functioning: collateral is king 0 2 9 9 3 9 44 44
Extreme coexceedances in new EU member states' stock markets 0 0 0 63 0 0 9 238
Intraday Patterns in FX Returns and Order Flow 0 0 4 41 1 4 15 129
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 0 5 79 1 6 30 251
OTC premia 0 0 0 0 1 8 11 11
On the predictability of stock prices: A case for high and low prices 0 0 5 37 1 3 25 146
Order aggressiveness in limit order book markets 0 1 1 415 0 1 9 930
Precious metals under the microscope: a high-frequency analysis 0 1 2 11 1 4 14 45
Realized bond—stock correlation: Macroeconomic announcement effects 0 0 0 6 0 1 4 31
Risk spillovers in international equity portfolios 0 0 0 7 3 3 12 62
Safe Haven Currencies 4 13 46 310 11 33 148 799
Segmentation and time-of-day patterns in foreign exchange markets 1 3 7 54 1 4 17 181
The Euro Interbank Repo Market 2 7 33 86 7 18 91 218
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 5 66 1 2 18 178
The implementation of SNB monetary policy 0 0 0 23 0 2 3 88
The reaction of asset markets to Swiss National Bank communication 0 2 11 101 4 8 44 322
Understanding FX Liquidity 1 2 5 33 1 5 27 128
Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance 0 0 1 24 0 0 2 123
Total Journal Articles 8 32 139 1,506 39 121 559 4,365


Statistics updated 2020-09-04