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 1 128 6 21 39 620
Asymmetric Information Risk in FX Markets 0 0 1 60 7 26 34 200
Blockchain Currency Markets 1 1 5 27 4 8 16 27
Collateral Cycles 0 0 0 10 0 11 17 40
Collateral cycles 0 0 1 14 1 11 16 48
Constrained Dealers and Market Efficiency 0 0 0 3 2 11 11 26
Constrained Liquidity Provision in Currency Markets 0 0 0 20 3 7 9 45
Constrained Liquidity Provision in Currency Markets 0 0 1 1 1 2 7 9
Constrained liquidity provision in currency markets 0 0 1 11 3 15 25 36
Does FOMC News Increase Global FX Trading? 0 0 0 79 3 11 18 288
Does FOMC News Increase Global FX Trading? 0 0 0 50 2 10 15 448
Extreme Coexceedances in New EU Member States' Stock Markets 0 0 0 31 3 8 15 172
Extreme Coexceedances in New EU Member States’ Stock Markets 0 0 0 39 1 11 13 203
Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model 0 0 0 12 0 6 8 109
Forecasting realized (co)variances with a block structure Wishart autoregressive model 0 0 0 82 0 5 9 262
Foreign Exchange Swap Liquidity 0 0 0 41 2 11 25 93
Foreign Exchange Swaps and Cross-Currency Swaps 0 2 11 53 1 10 30 128
Funding Illiquidity 0 0 1 100 5 21 27 190
HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading 0 0 2 9 5 14 26 42
Hunting for Dollars 0 1 2 10 1 10 21 38
Intraday Market Dynamics Around Public Information Arrivals 0 0 0 37 0 2 3 146
Intraday Patterns in FX Returns and Order Flow 0 0 4 17 3 15 28 63
Intraday patterns in FX returns and order flow 0 0 1 147 3 8 17 372
Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal 0 0 0 22 0 6 10 90
Judgement Day: algorithmic trading around the Swiss franc cap removal 0 0 1 34 0 4 8 123
Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal 0 0 0 16 4 9 18 75
Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity 0 1 4 90 1 6 27 371
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity 0 1 2 154 2 23 31 618
Liquidity Risk and Funding Cost 0 0 0 54 0 3 11 118
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 1 3 155 2 12 23 496
Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums 0 0 0 5 0 9 12 41
Market Dynamics Around Public Information Arrivals 0 0 0 64 0 4 6 345
Monetary Policy Effects on Long-term Rates and Stock Prices 0 0 1 97 1 12 16 226
Monetary policy disconnect 0 0 2 56 0 3 11 211
Money Market Disconnect 0 0 0 55 0 11 19 110
NFT Bubbles 0 1 4 120 1 11 39 349
NFT Bubbles 0 0 0 16 2 4 5 20
Non-Fungible Tokens 0 0 0 23 0 4 10 25
Non-Standard Errors 0 0 2 44 1 13 38 471
Non-Standard Errors 0 0 0 27 3 5 21 166
Nonstandard Errors 0 0 2 4 2 8 27 41
Nonstandard errors 0 0 1 12 5 13 32 76
OTC Premia 0 0 0 8 0 5 11 82
OTC premia 0 0 1 38 2 19 23 169
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 0 0 0 20 1 10 21 83
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 0 0 1 34 7 23 71 150
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 0 58 2 20 25 294
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 0 83 1 11 22 182
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 1 20 0 4 11 138
Pension Liquidity Risk 0 1 2 11 1 4 21 29
Pension Liquidity Risk 0 0 1 13 1 10 31 49
Precious Metals Under the Microscope: A High-Frequency Analysis 0 0 0 47 3 6 14 166
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 1 122 1 5 15 473
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 0 71 1 6 15 290
Realized Illiquidity 0 1 4 22 2 8 17 49
Regulatory effects on short-term interest rates 0 0 0 39 1 7 14 109
Risk Spillovers in International Equity Portfolios 0 0 0 11 1 5 14 90
Risk spillovers in international equity portfolios 0 0 0 57 0 2 7 198
Safe Asset Carry Trade 0 0 0 47 0 9 28 139
Safe Haven Currencies 0 2 2 231 0 10 17 752
Safe Haven Currencies 0 0 3 100 0 4 13 484
Safe Haven Currencies 0 0 5 192 3 13 33 705
Segmentation and Time-of-Day Patterns in Foreign Exchange Markets 0 1 1 81 2 11 17 312
Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals 0 0 0 75 3 10 13 215
Swiss treasury bond auctions: An update 1 2 14 21 4 14 45 60
The Demand for Safe Assets 0 0 1 4 14 71 82 92
The Euro Interbank Repo Market 0 0 0 187 0 5 6 446
The Forward Premium in Short-Term Rates 0 0 0 42 1 5 6 171
The Implementation of SNB Monetary Policy 0 0 0 113 1 7 12 297
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 77 2 6 13 330
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 169 3 5 9 443
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 102 0 6 11 279
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 76 0 4 6 339
The demand for safe assets 0 0 1 3 1 5 16 26
The reaction of asset markets to Swiss National Bank communication 0 0 0 58 1 5 16 235
Trading Volume, Illiquidity and Commonalities in FX Markets 0 1 3 66 0 6 18 188
Understanding FX Liquidity 0 0 0 179 2 6 15 469
Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution 0 0 0 6 0 9 20 75
Uniform-price auctions for Swiss government bonds: Origin and evolution 0 0 0 18 3 6 8 121
Unsecured and Secured Funding 0 0 1 103 1 7 11 478
Unsecured and Secured Funding 0 0 0 54 0 6 11 189
Total Working Papers 2 16 95 4,687 145 789 1,551 16,973
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 3 75 2 9 31 282
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 0 0 0 9 0 0 2 51
Asymmetric information risk in FX markets 0 0 1 28 4 16 27 142
Bank positions in FX swaps: insights from CLS 2 6 13 15 9 24 70 102
Constrained liquidity provision in currency markets 0 0 3 3 6 14 34 34
Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland 0 0 0 57 1 3 8 168
Does FOMC news increase global FX trading? 0 0 1 86 0 7 20 298
Editorial 0 0 0 2 1 2 4 37
Euro repo market functioning: collateral is king 0 0 0 17 1 3 11 125
Extreme coexceedances in new EU member states' stock markets 0 0 0 66 1 8 8 254
Intraday Patterns in FX Returns and Order Flow 0 1 4 14 5 9 18 76
Intraday Patterns in FX Returns and Order Flow 0 0 0 52 1 7 16 190
Judgment day: Algorithmic trading around the Swiss franc cap removal 0 0 1 13 1 6 13 41
Liquidity Risk and Funding Cost 0 1 1 1 1 8 17 20
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 1 3 96 5 14 26 327
Liquidity in the global currency market 2 4 13 46 6 18 66 163
Money Market Disconnect 0 0 1 1 1 7 15 20
Nonstandard Errors 2 2 13 44 5 16 62 172
OTC premia 0 0 0 9 2 18 35 122
On the predictability of stock prices: A case for high and low prices 0 1 3 49 0 7 20 202
Order aggressiveness in limit order book markets 0 0 0 450 2 7 13 1,025
Precious metals under the microscope: a high-frequency analysis 0 0 0 12 0 4 6 64
Realized bond—stock correlation: Macroeconomic announcement effects 0 0 0 13 1 3 6 56
Regulatory effects on short-term interest rates 0 0 0 31 1 8 15 96
Risk spillovers in international equity portfolios 0 0 0 8 0 7 8 107
Safe Asset Carry Trade 1 2 2 4 2 13 14 20
Safe Haven Currencies 3 9 42 510 15 43 148 1,397
Segmentation and time-of-day patterns in foreign exchange markets 0 1 1 68 0 13 20 238
The Euro Interbank Repo Market 0 0 2 143 1 5 15 466
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 74 3 19 22 224
The implementation of SNB monetary policy 0 0 1 24 0 4 8 105
The reaction of asset markets to Swiss National Bank communication 0 0 5 124 5 18 27 513
Understanding FX Liquidity 0 0 1 56 1 5 9 218
Unsecured and Secured Funding 1 2 6 17 3 10 25 74
Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance 0 0 0 24 0 1 1 131
Total Journal Articles 11 30 120 2,241 86 356 840 7,560

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 2 12 45 3 12 59 145
Non-Fungible Tokens 0 0 0 0 2 5 8 13
Total Chapters 0 2 12 45 5 17 67 158

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Statistics updated 2026-04-09