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 0 127 0 1 6 584
Asymmetric Information Risk in FX Markets 0 1 1 60 3 4 8 172
Blockchain Currency Markets 1 1 2 24 1 1 4 14
Collateral Cycles 0 0 0 10 0 1 5 25
Collateral cycles 0 0 0 13 0 0 5 34
Constrained Dealers and Market Efficiency 0 0 0 3 0 0 1 15
Constrained Liquidity Provision in Currency Markets 0 0 1 1 0 1 4 4
Constrained Liquidity Provision in Currency Markets 0 0 2 20 0 1 3 37
Constrained liquidity provision in currency markets 0 0 1 11 0 1 3 13
Does FOMC News Increase Global FX Trading? 0 0 0 50 0 0 1 433
Does FOMC News Increase Global FX Trading? 0 0 0 79 0 0 2 270
Extreme Coexceedances in New EU Member States' Stock Markets 0 0 0 31 1 2 3 160
Extreme Coexceedances in New EU Member States’ Stock Markets 0 0 0 39 0 0 0 190
Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model 0 0 1 12 0 1 5 102
Forecasting realized (co)variances with a block structure Wishart autoregressive model 0 0 0 82 0 3 3 256
Foreign Exchange Swap Liquidity 0 0 5 41 1 4 14 73
Foreign Exchange Swaps and Cross-Currency Swaps 1 1 4 44 1 4 18 107
Funding Illiquidity 0 1 1 100 0 1 3 164
HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading 0 0 1 8 1 2 8 22
Hunting for Dollars 0 0 8 8 1 3 23 23
Intraday Market Dynamics Around Public Information Arrivals 0 0 0 37 1 1 1 144
Intraday Patterns in FX Returns and Order Flow 1 1 3 14 3 5 10 41
Intraday patterns in FX returns and order flow 0 0 0 146 2 2 3 357
Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal 0 0 0 22 0 0 1 80
Judgement Day: algorithmic trading around the Swiss franc cap removal 1 1 2 34 1 1 6 117
Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal 0 0 0 16 0 1 4 58
Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity 0 1 1 87 1 4 15 354
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity 0 0 3 152 0 0 5 587
Liquidity Risk and Funding Cost 0 0 0 54 0 2 3 109
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 0 4 153 0 0 4 474
Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums 0 0 0 5 0 0 0 29
Market Dynamics Around Public Information Arrivals 0 0 0 64 0 0 1 339
Monetary Policy Effects on Long-term Rates and Stock Prices 1 1 1 97 1 1 2 211
Monetary policy disconnect 1 1 2 55 2 4 11 204
Money Market Disconnect 0 0 1 55 2 2 10 95
NFT Bubbles 1 1 6 119 3 4 39 328
NFT Bubbles 0 0 0 16 0 0 1 15
Non-Fungible Tokens 0 0 1 23 1 2 3 17
Non-Standard Errors 0 0 2 44 2 6 34 446
Non-Standard Errors 0 0 1 27 2 4 30 154
Nonstandard Errors 0 0 3 3 3 3 23 23
Nonstandard errors 1 1 2 12 4 9 28 56
OTC Premia 0 0 0 8 1 1 2 73
OTC premia 0 0 0 37 0 0 1 146
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 0 0 0 20 0 1 8 64
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 0 0 1 33 3 11 34 98
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 1 58 1 1 2 270
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 0 83 0 0 1 160
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 1 19 0 1 6 129
Pension Liquidity Risk 0 0 0 9 0 1 4 10
Pension Liquidity Risk 0 0 3 13 1 6 21 28
Precious Metals Under the Microscope: A High-Frequency Analysis 0 0 0 47 2 2 4 155
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 2 71 1 3 5 278
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 0 121 0 2 3 460
Realized Illiquidity 0 0 2 19 0 1 8 37
Regulatory effects on short-term interest rates 0 0 0 39 0 1 5 98
Risk Spillovers in International Equity Portfolios 0 0 1 11 0 0 5 77
Risk spillovers in international equity portfolios 0 0 0 57 0 1 4 192
Safe Asset Carry Trade 0 0 0 47 0 1 4 112
Safe Haven Currencies 2 4 8 192 2 7 24 684
Safe Haven Currencies 0 0 1 229 0 0 6 737
Safe Haven Currencies 1 2 2 99 2 3 11 476
Segmentation and Time-of-Day Patterns in Foreign Exchange Markets 0 0 1 80 1 3 5 298
Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals 0 0 0 75 0 0 1 203
Swiss treasury bond auctions: An update 1 2 13 13 2 5 29 29
The Demand for Safe Assets 0 0 4 4 1 1 16 16
The Euro Interbank Repo Market 0 0 3 187 0 0 8 441
The Forward Premium in Short-Term Rates 0 0 2 42 0 0 5 165
The Implementation of SNB Monetary Policy 0 0 0 113 0 1 2 287
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 169 0 0 1 434
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 1 77 0 0 3 319
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 102 0 0 0 268
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 76 0 0 1 334
The demand for safe assets 0 1 3 3 0 2 16 16
The reaction of asset markets to Swiss National Bank communication 0 0 2 58 0 0 3 220
Trading Volume, Illiquidity and Commonalities in FX Markets 0 0 2 64 3 5 10 176
Understanding FX Liquidity 0 0 2 179 1 1 7 456
Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution 0 0 0 6 0 0 3 56
Uniform-price auctions for Swiss government bonds: Origin and evolution 0 0 0 18 0 0 3 114
Unsecured and Secured Funding 0 0 0 102 0 1 5 468
Unsecured and Secured Funding 0 0 1 54 0 0 2 178
Total Working Papers 12 20 115 4,632 58 143 631 15,698
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 4 74 1 2 24 259
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 0 0 1 27 0 2 10 118
Bank positions in FX swaps: insights from CLS 0 2 3 4 2 6 23 44
Constrained liquidity provision in currency markets 0 1 1 1 0 2 3 3
Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland 0 0 0 57 0 1 2 161
Does FOMC news increase global FX trading? 0 1 3 86 0 3 18 284
Editorial 0 0 0 2 0 0 2 34
Euro repo market functioning: collateral is king 0 0 1 17 0 1 10 116
Extreme coexceedances in new EU member states' stock markets 0 0 0 66 0 0 1 246
Intraday Patterns in FX Returns and Order Flow 0 0 1 10 0 3 11 62
Intraday Patterns in FX Returns and Order Flow 0 0 1 52 0 2 7 177
Judgment day: Algorithmic trading around the Swiss franc cap removal 0 0 0 12 1 2 5 31
Liquidity Risk and Funding Cost 0 0 0 0 0 1 2 4
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 0 4 95 3 4 11 309
Liquidity in the global currency market 1 3 11 38 3 13 40 120
Money Market Disconnect 0 0 0 0 0 2 7 7
Nonstandard Errors 1 1 23 39 4 11 88 138
OTC premia 0 0 0 9 0 1 4 90
On the predictability of stock prices: A case for high and low prices 0 0 1 47 1 1 6 188
Order aggressiveness in limit order book markets 0 0 4 450 0 0 9 1,013
Precious metals under the microscope: a high-frequency analysis 0 0 0 12 0 0 1 59
Realized bond—stock correlation: Macroeconomic announcement effects 0 0 1 13 0 0 1 50
Regulatory effects on short-term interest rates 0 0 1 31 0 0 4 81
Risk spillovers in international equity portfolios 0 0 0 8 0 0 3 99
Safe Asset Carry Trade 0 0 0 2 0 0 2 7
Safe Haven Currencies 2 11 36 490 13 33 123 1,322
Segmentation and time-of-day patterns in foreign exchange markets 0 0 0 67 0 1 3 219
The Euro Interbank Repo Market 0 1 7 143 0 2 16 456
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 74 0 0 1 203
The implementation of SNB monetary policy 0 0 1 24 0 0 3 98
The reaction of asset markets to Swiss National Bank communication 0 0 7 122 0 0 12 490
Understanding FX Liquidity 0 0 1 55 1 1 6 210
Unsecured and Secured Funding 0 2 3 14 0 6 14 57
Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance 0 0 0 24 0 0 0 130
Total Journal Articles 4 22 115 2,174 29 100 472 6,934

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 2 6 13 42 3 16 44 116
Non-Fungible Tokens 0 0 0 0 0 2 4 7
Total Chapters 2 6 13 42 3 18 48 123

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Statistics updated 2025-10-06