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 0 3 130 6 15 126 710
Asymmetric Information Risk in FX Markets 0 0 0 60 8 16 53 225
Blockchain Currency Markets 0 1 8 32 2 8 34 48
Collateral Cycles 0 0 0 10 1 2 19 44
Collateral cycles 0 0 1 14 0 2 18 52
Constrained Dealers and Market Efficiency 0 0 0 3 1 3 19 34
Constrained Liquidity Provision in Currency Markets 0 0 0 1 0 1 9 13
Constrained Liquidity Provision in Currency Markets 0 0 0 20 0 1 10 47
Constrained liquidity provision in currency markets 0 0 0 11 1 2 29 42
Does FOMC News Increase Global FX Trading? 0 0 0 50 0 2 21 454
Does FOMC News Increase Global FX Trading? 0 0 0 79 1 3 27 297
Extreme Coexceedances in New EU Member States' Stock Markets 0 0 0 31 0 0 14 174
Extreme Coexceedances in New EU Member States’ Stock Markets 0 0 0 39 1 2 16 206
Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model 0 0 0 12 1 3 12 114
Forecasting realized (co)variances with a block structure Wishart autoregressive model 0 0 0 82 0 0 9 265
Foreign Exchange Swap Liquidity 0 1 3 44 1 8 34 107
Foreign Exchange Swaps and Cross-Currency Swaps 1 1 12 56 1 1 29 136
Funding Illiquidity 0 0 0 100 0 0 30 194
HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading 0 0 2 10 8 12 46 68
Hunting for Dollars 1 5 7 15 3 10 31 54
Intraday Market Dynamics Around Public Information Arrivals 0 0 0 37 0 1 6 150
Intraday Patterns in FX Returns and Order Flow 0 0 3 17 8 20 60 101
Intraday patterns in FX returns and order flow 0 0 1 147 5 9 30 387
Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal 1 1 1 23 1 1 12 92
Judgement Day: algorithmic trading around the Swiss franc cap removal 0 1 1 35 0 1 13 130
Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal 0 0 0 16 1 2 23 81
Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity 0 0 4 91 1 2 24 378
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity 0 0 2 154 1 2 36 623
Liquidity Risk and Funding Cost 1 1 1 55 2 6 22 131
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 0 4 157 3 5 34 508
Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums 0 1 1 6 1 4 22 51
Market Dynamics Around Public Information Arrivals 0 0 0 64 1 3 11 350
Monetary Policy Effects on Long-term Rates and Stock Prices 0 0 0 97 0 1 18 229
Monetary policy disconnect 0 0 1 56 0 3 11 215
Money Market Disconnect 0 0 0 55 0 1 18 113
NFT Bubbles 0 0 0 16 0 12 20 35
NFT Bubbles 0 0 1 120 0 1 30 358
Non-Fungible Tokens 0 0 0 23 1 2 12 29
Non-Standard Errors 0 1 1 45 0 2 39 485
Non-Standard Errors 0 1 1 28 0 2 19 173
Nonstandard Errors 0 0 1 4 0 3 25 48
Nonstandard errors 0 1 1 13 0 3 28 84
OTC Premia 0 0 1 9 0 1 15 88
OTC premia 0 0 1 38 1 2 31 177
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 1 1 3 36 4 13 81 179
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 0 0 0 20 1 4 29 93
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 0 58 1 4 36 306
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 0 83 1 2 24 184
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 1 20 1 2 14 143
Pension Liquidity Risk 0 1 2 15 1 6 34 62
Pension Liquidity Risk 0 0 2 11 0 2 25 35
Precious Metals Under the Microscope: A High-Frequency Analysis 0 0 0 47 0 2 18 173
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 1 122 0 0 17 477
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 0 71 0 1 16 294
Realized Illiquidity 0 0 4 23 0 5 27 64
Regulatory effects on short-term interest rates 0 0 0 39 2 2 17 115
Risk Spillovers in International Equity Portfolios 0 0 0 11 0 0 16 93
Risk spillovers in international equity portfolios 0 0 0 57 0 0 11 203
Safe Asset Carry Trade 0 0 0 47 0 0 30 142
Safe Haven Currencies 0 1 5 197 1 7 38 722
Safe Haven Currencies 0 0 2 231 0 1 24 761
Safe Haven Currencies 1 1 4 103 4 8 26 502
Segmentation and Time-of-Day Patterns in Foreign Exchange Markets 0 0 1 81 4 12 32 330
Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals 0 0 0 75 0 0 17 220
Swiss treasury bond auctions: An update 1 1 9 22 1 2 39 68
The Demand for Safe Assets 0 0 0 4 0 1 82 98
The Euro Interbank Repo Market 0 0 0 187 0 2 11 452
The Forward Premium in Short-Term Rates 0 0 0 42 0 1 7 172
The Implementation of SNB Monetary Policy 0 0 0 113 0 0 15 302
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 77 0 3 19 338
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 102 0 3 16 284
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 169 0 2 14 448
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 76 1 2 14 348
The demand for safe assets 0 0 0 3 0 0 13 29
The reaction of asset markets to Swiss National Bank communication 0 0 0 58 0 1 19 239
Trading Volume, Illiquidity and Commonalities in FX Markets 0 0 2 66 1 2 18 194
Understanding FX Liquidity 0 0 0 179 3 6 22 478
Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution 0 0 0 6 0 3 27 83
Uniform-price auctions for Swiss government bonds: Origin and evolution 0 0 0 18 0 1 13 127
Unsecured and Secured Funding 0 0 0 54 1 3 18 196
Unsecured and Secured Funding 0 0 1 103 0 2 20 488
Total Working Papers 7 20 99 4,731 88 285 2,044 17,742
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 2 76 8 25 62 321
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 0 0 0 9 0 1 6 55
Asymmetric information risk in FX markets 0 1 2 29 2 5 37 155
Bank positions in FX swaps: insights from CLS 0 1 14 18 0 13 86 130
Constrained liquidity provision in currency markets 0 0 2 3 5 6 51 54
Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland 0 0 0 57 0 0 11 172
Does FOMC news increase global FX trading? 0 0 0 86 1 1 21 305
Editorial 0 0 0 2 0 0 4 38
Euro repo market functioning: collateral is king 0 0 0 17 1 3 17 133
Extreme coexceedances in new EU member states' stock markets 0 0 0 66 1 3 13 259
Intraday Patterns in FX Returns and Order Flow 0 0 4 14 7 13 33 95
Intraday Patterns in FX Returns and Order Flow 0 1 1 53 2 9 31 208
Judgment day: Algorithmic trading around the Swiss franc cap removal 0 0 1 13 1 1 15 46
Liquidity Risk and Funding Cost 0 0 1 1 4 5 27 31
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 1 2 5 100 7 14 41 350
Liquidity in the global currency market 1 1 11 49 12 20 76 196
Money Market Disconnect 0 0 1 1 1 1 16 23
Nonstandard Errors 0 1 7 46 5 16 58 196
OTC premia 0 1 2 11 2 8 46 136
On the predictability of stock prices: A case for high and low prices 1 2 4 51 2 6 29 217
Order aggressiveness in limit order book markets 0 1 2 452 1 3 20 1,033
Precious metals under the microscope: a high-frequency analysis 0 0 0 12 0 1 11 70
Realized bond—stock correlation: Macroeconomic announcement effects 0 0 0 13 1 3 14 64
Regulatory effects on short-term interest rates 0 0 0 31 3 3 21 102
Risk spillovers in international equity portfolios 0 0 0 8 1 2 11 110
Safe Asset Carry Trade 0 0 2 4 0 0 18 25
Safe Haven Currencies 2 7 41 531 14 31 147 1,469
Segmentation and time-of-day patterns in foreign exchange markets 0 1 2 69 8 17 46 265
The Euro Interbank Repo Market 0 0 1 144 0 0 11 467
The Time-Varying Systematic Risk of Carry Trade Strategies 0 1 1 75 1 2 26 229
The implementation of SNB monetary policy 0 0 0 24 0 0 9 107
The reaction of asset markets to Swiss National Bank communication 0 1 3 125 0 2 31 521
Understanding FX Liquidity 0 0 1 56 2 3 13 223
Unsecured and Secured Funding 0 0 3 17 2 5 25 82
Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance 0 0 0 24 0 1 2 132
Total Journal Articles 6 22 113 2,287 94 223 1,085 8,019

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 8 50 0 1 42 158
Non-Fungible Tokens 0 0 0 0 0 0 8 15
Total Chapters 0 1 8 50 0 1 50 173

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Statistics updated 2026-10-11