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 0 1 1 128 8 15 19 599
Asymmetric Information Risk in FX Markets 0 0 1 60 1 2 8 174
Blockchain Currency Markets 1 2 4 26 3 5 8 19
Collateral Cycles 0 0 0 10 4 4 8 29
Collateral cycles 0 1 1 14 1 3 5 37
Constrained Dealers and Market Efficiency 0 0 0 3 0 0 0 15
Constrained Liquidity Provision in Currency Markets 0 0 0 20 1 1 2 38
Constrained Liquidity Provision in Currency Markets 0 0 1 1 1 3 5 7
Constrained liquidity provision in currency markets 0 0 1 11 5 8 10 21
Does FOMC News Increase Global FX Trading? 0 0 0 50 2 5 6 438
Does FOMC News Increase Global FX Trading? 0 0 0 79 5 7 9 277
Extreme Coexceedances in New EU Member States' Stock Markets 0 0 0 31 2 4 7 164
Extreme Coexceedances in New EU Member States’ Stock Markets 0 0 0 39 0 2 2 192
Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model 0 0 0 12 1 1 3 103
Forecasting realized (co)variances with a block structure Wishart autoregressive model 0 0 0 82 1 1 4 257
Foreign Exchange Swap Liquidity 0 0 2 41 7 9 16 82
Foreign Exchange Swaps and Cross-Currency Swaps 1 7 10 51 2 11 25 118
Funding Illiquidity 0 0 1 100 1 5 6 169
HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading 0 1 2 9 1 6 13 28
Hunting for Dollars 0 1 2 9 2 5 13 28
Intraday Market Dynamics Around Public Information Arrivals 0 0 0 37 0 0 1 144
Intraday Patterns in FX Returns and Order Flow 0 3 5 17 1 7 16 48
Intraday patterns in FX returns and order flow 1 1 1 147 4 7 9 364
Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal 0 0 0 22 2 4 5 84
Judgement Day: algorithmic trading around the Swiss franc cap removal 0 0 1 34 1 2 6 119
Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal 0 0 0 16 3 8 10 66
Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity 0 2 3 89 4 11 24 365
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity 0 1 2 153 3 8 9 595
Liquidity Risk and Funding Cost 0 0 0 54 5 6 8 115
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 1 4 154 3 10 13 484
Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums 0 0 0 5 1 3 3 32
Market Dynamics Around Public Information Arrivals 0 0 0 64 0 2 3 341
Monetary Policy Effects on Long-term Rates and Stock Prices 0 0 1 97 1 3 5 214
Monetary policy disconnect 1 1 2 56 2 4 12 208
Money Market Disconnect 0 0 0 55 4 4 12 99
NFT Bubbles 0 0 0 16 1 1 2 16
NFT Bubbles 0 0 5 119 5 10 37 338
Non-Fungible Tokens 0 0 0 23 1 4 6 21
Non-Standard Errors 0 0 1 27 4 7 27 161
Non-Standard Errors 0 0 2 44 6 12 35 458
Nonstandard Errors 1 1 4 4 4 10 25 33
Nonstandard errors 0 0 1 12 3 7 28 63
OTC Premia 0 0 0 8 3 4 6 77
OTC premia 1 1 1 38 2 4 4 150
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 0 0 0 20 6 9 15 73
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 1 1 2 34 20 29 52 127
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 1 58 1 4 6 274
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 0 83 8 11 11 171
On the Predictability of Stock Prices: a Case for High and Low Prices 0 1 2 20 1 5 10 134
Pension Liquidity Risk 0 0 2 13 8 11 27 39
Pension Liquidity Risk 0 1 1 10 8 15 18 25
Precious Metals Under the Microscope: A High-Frequency Analysis 0 0 0 47 3 5 9 160
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 1 71 5 6 10 284
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 1 1 1 122 5 8 11 468
Realized Illiquidity 0 2 3 21 1 4 9 41
Regulatory effects on short-term interest rates 0 0 0 39 2 4 9 102
Risk Spillovers in International Equity Portfolios 0 0 0 11 5 8 10 85
Risk spillovers in international equity portfolios 0 0 0 57 1 4 5 196
Safe Asset Carry Trade 0 0 0 47 13 18 22 130
Safe Haven Currencies 0 0 6 192 4 8 25 692
Safe Haven Currencies 0 1 3 100 3 4 15 480
Safe Haven Currencies 0 0 0 229 2 5 10 742
Segmentation and Time-of-Day Patterns in Foreign Exchange Markets 0 0 0 80 2 3 7 301
Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals 0 0 0 75 2 2 3 205
Swiss treasury bond auctions: An update 1 6 19 19 7 17 46 46
The Demand for Safe Assets 0 0 4 4 2 5 21 21
The Euro Interbank Repo Market 0 0 1 187 0 0 3 441
The Forward Premium in Short-Term Rates 0 0 0 42 1 1 2 166
The Implementation of SNB Monetary Policy 0 0 0 113 2 3 5 290
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 1 77 5 5 8 324
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 169 1 4 5 438
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 76 1 1 2 335
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 102 1 5 5 273
The demand for safe assets 0 0 3 3 3 5 21 21
The reaction of asset markets to Swiss National Bank communication 0 0 0 58 6 10 11 230
Trading Volume, Illiquidity and Commonalities in FX Markets 0 1 2 65 4 6 13 182
Understanding FX Liquidity 0 0 0 179 3 7 10 463
Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution 0 0 0 6 9 10 11 66
Uniform-price auctions for Swiss government bonds: Origin and evolution 0 0 0 18 0 1 3 115
Unsecured and Secured Funding 1 1 1 103 3 3 6 471
Unsecured and Secured Funding 0 0 0 54 1 5 6 183
Total Working Papers 10 39 112 4,671 260 486 937 16,184
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 1 1 3 75 6 14 30 273
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 0 0 0 9 1 2 2 51
Asymmetric information risk in FX markets 1 1 1 28 6 8 13 126
Bank positions in FX swaps: insights from CLS 2 5 7 9 24 34 53 78
Constrained liquidity provision in currency markets 1 2 3 3 11 17 20 20
Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland 0 0 0 57 2 4 5 165
Does FOMC news increase global FX trading? 0 0 2 86 2 7 24 291
Editorial 0 0 0 2 0 1 3 35
Euro repo market functioning: collateral is king 0 0 0 17 4 6 13 122
Extreme coexceedances in new EU member states' stock markets 0 0 0 66 0 0 0 246
Intraday Patterns in FX Returns and Order Flow 0 0 1 52 1 6 12 183
Intraday Patterns in FX Returns and Order Flow 1 3 4 13 1 5 13 67
Judgment day: Algorithmic trading around the Swiss franc cap removal 0 1 1 13 2 4 9 35
Liquidity Risk and Funding Cost 0 0 0 0 2 8 10 12
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 0 4 95 2 4 14 313
Liquidity in the global currency market 1 4 11 42 7 25 58 145
Money Market Disconnect 0 1 1 1 3 6 8 13
Nonstandard Errors 1 3 16 42 5 18 65 156
OTC premia 0 0 0 9 9 14 17 104
On the predictability of stock prices: A case for high and low prices 0 1 2 48 2 7 13 195
Order aggressiveness in limit order book markets 0 0 1 450 1 5 9 1,018
Precious metals under the microscope: a high-frequency analysis 0 0 0 12 0 1 2 60
Realized bond—stock correlation: Macroeconomic announcement effects 0 0 1 13 0 3 4 53
Regulatory effects on short-term interest rates 0 0 1 31 3 7 11 88
Risk spillovers in international equity portfolios 0 0 0 8 0 1 3 100
Safe Asset Carry Trade 0 0 0 2 0 0 2 7
Safe Haven Currencies 4 11 39 501 10 32 126 1,354
Segmentation and time-of-day patterns in foreign exchange markets 0 0 0 67 1 6 8 225
The Euro Interbank Repo Market 0 0 4 143 3 5 15 461
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 3 6 101
The reaction of asset markets to Swiss National Bank communication 0 2 5 124 0 5 10 495
Understanding FX Liquidity 1 1 2 56 1 3 9 213
Unsecured and Secured Funding 0 1 4 15 3 7 17 64
Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance 0 0 0 24 0 0 0 130
Total Journal Articles 13 37 114 2,211 113 270 607 7,204

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 0 1 12 43 8 17 54 133
Non-Fungible Tokens 0 0 0 0 0 1 4 8
Total Chapters 0 1 12 43 8 18 58 141

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Statistics updated 2026-01-09