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 11 26 50 631
Asymmetric Information Risk in FX Markets 0 0 1 60 6 17 40 206
Blockchain Currency Markets 3 4 8 30 4 11 20 31
Collateral Cycles 0 0 0 10 2 3 19 42
Collateral cycles 0 0 1 14 0 2 15 48
Constrained Dealers and Market Efficiency 0 0 0 3 3 12 14 29
Constrained Liquidity Provision in Currency Markets 0 0 0 1 3 4 9 12
Constrained Liquidity Provision in Currency Markets 0 0 0 20 0 5 9 45
Constrained liquidity provision in currency markets 0 0 0 11 2 8 26 38
Does FOMC News Increase Global FX Trading? 0 0 0 50 3 5 18 451
Does FOMC News Increase Global FX Trading? 0 0 0 79 5 8 23 293
Extreme Coexceedances in New EU Member States' Stock Markets 0 0 0 31 1 5 16 173
Extreme Coexceedances in New EU Member States’ Stock Markets 0 0 0 39 0 3 13 203
Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model 0 0 0 12 1 4 9 110
Forecasting realized (co)variances with a block structure Wishart autoregressive model 0 0 0 82 2 4 11 264
Foreign Exchange Swap Liquidity 0 0 0 41 2 9 26 95
Foreign Exchange Swaps and Cross-Currency Swaps 0 2 11 53 5 10 33 133
Funding Illiquidity 0 0 1 100 2 14 29 192
HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading 0 0 2 9 8 18 34 50
Hunting for Dollars 0 0 2 10 4 6 24 42
Intraday Market Dynamics Around Public Information Arrivals 0 0 0 37 3 4 6 149
Intraday Patterns in FX Returns and Order Flow 0 0 4 17 6 15 34 69
Intraday patterns in FX returns and order flow 0 0 1 147 2 8 19 374
Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal 0 0 0 22 1 1 11 91
Judgement Day: algorithmic trading around the Swiss franc cap removal 0 0 1 34 5 5 13 128
Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal 0 0 0 16 4 10 22 79
Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity 0 0 4 90 4 6 27 375
Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity 0 1 2 154 0 9 31 618
Liquidity Risk and Funding Cost 0 0 0 54 5 5 16 123
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 1 3 155 2 10 25 498
Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums 0 0 0 5 3 7 15 44
Market Dynamics Around Public Information Arrivals 0 0 0 64 0 0 6 345
Monetary Policy Effects on Long-term Rates and Stock Prices 0 0 1 97 2 8 18 228
Monetary policy disconnect 0 0 2 56 1 1 12 212
Money Market Disconnect 0 0 0 55 1 6 19 111
NFT Bubbles 0 0 0 16 1 4 6 21
NFT Bubbles 0 1 4 120 2 7 35 351
Non-Fungible Tokens 0 0 0 23 1 4 11 26
Non-Standard Errors 0 0 0 44 5 10 38 476
Non-Standard Errors 0 0 0 27 2 5 23 168
Nonstandard Errors 0 0 2 4 2 5 24 43
Nonstandard errors 0 0 1 12 3 10 35 79
OTC Premia 1 1 1 9 5 6 16 87
OTC premia 0 0 1 38 2 8 25 171
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 1 1 2 35 8 19 76 158
On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges 0 0 0 20 2 6 23 85
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 0 58 5 10 30 299
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 0 83 0 6 22 182
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 1 20 3 5 14 141
Pension Liquidity Risk 0 0 1 13 3 5 33 52
Pension Liquidity Risk 0 0 2 11 4 5 25 33
Precious Metals Under the Microscope: A High-Frequency Analysis 0 0 0 47 2 5 16 168
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 1 122 3 5 18 476
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects 0 0 0 71 3 6 18 293
Realized Illiquidity 1 2 5 23 3 6 20 52
Regulatory effects on short-term interest rates 0 0 0 39 4 5 18 113
Risk Spillovers in International Equity Portfolios 0 0 0 11 3 5 17 93
Risk spillovers in international equity portfolios 0 0 0 57 3 3 10 201
Safe Asset Carry Trade 0 0 0 47 3 4 31 142
Safe Haven Currencies 0 0 2 231 5 6 20 757
Safe Haven Currencies 2 2 6 194 7 13 36 712
Safe Haven Currencies 0 0 3 100 3 4 15 487
Segmentation and Time-of-Day Patterns in Foreign Exchange Markets 0 0 1 81 5 7 22 317
Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals 0 0 0 75 4 9 17 219
Swiss treasury bond auctions: An update 0 1 11 21 3 9 43 63
The Demand for Safe Assets 0 0 1 4 3 39 84 95
The Euro Interbank Repo Market 0 0 0 187 3 3 8 449
The Forward Premium in Short-Term Rates 0 0 0 42 0 1 6 171
The Implementation of SNB Monetary Policy 0 0 0 113 3 7 15 300
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 102 1 1 12 280
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 77 2 5 15 332
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 76 4 4 10 343
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 169 1 4 10 444
The demand for safe assets 0 0 1 3 3 6 17 29
The reaction of asset markets to Swiss National Bank communication 0 0 0 58 3 4 19 238
Trading Volume, Illiquidity and Commonalities in FX Markets 0 1 3 66 3 6 21 191
Understanding FX Liquidity 0 0 0 179 2 4 17 471
Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution 0 0 0 6 5 7 25 80
Uniform-price auctions for Swiss government bonds: Origin and evolution 0 0 0 18 4 7 12 125
Unsecured and Secured Funding 0 0 0 54 3 5 14 192
Unsecured and Secured Funding 0 0 1 103 5 6 16 483
Total Working Papers 8 17 95 4,695 247 580 1,750 17,220
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 2 75 5 9 34 287
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices 0 0 0 9 3 3 5 54
Asymmetric information risk in FX markets 0 0 1 28 3 12 30 145
Bank positions in FX swaps: insights from CLS 1 6 14 16 11 26 79 113
Constrained liquidity provision in currency markets 0 0 3 3 11 22 45 45
Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland 0 0 0 57 4 5 12 172
Does FOMC news increase global FX trading? 0 0 1 86 5 8 24 303
Editorial 0 0 0 2 1 2 5 38
Euro repo market functioning: collateral is king 0 0 0 17 1 4 12 126
Extreme coexceedances in new EU member states' stock markets 0 0 0 66 1 3 9 255
Intraday Patterns in FX Returns and Order Flow 0 0 0 52 3 6 19 193
Intraday Patterns in FX Returns and Order Flow 0 0 4 14 3 8 21 79
Judgment day: Algorithmic trading around the Swiss franc cap removal 0 0 1 13 3 6 16 44
Liquidity Risk and Funding Cost 0 0 1 1 4 7 21 24
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 0 1 3 96 5 13 30 332
Liquidity in the global currency market 0 4 12 46 6 19 70 169
Money Market Disconnect 0 0 1 1 2 3 17 22
Nonstandard Errors 0 2 8 44 4 15 58 176
OTC premia 0 0 0 9 2 6 37 124
On the predictability of stock prices: A case for high and low prices 0 1 3 49 5 9 22 207
Order aggressiveness in limit order book markets 0 0 0 450 2 6 15 1,027
Precious metals under the microscope: a high-frequency analysis 0 0 0 12 5 5 11 69
Realized bond—stock correlation: Macroeconomic announcement effects 0 0 0 13 5 6 11 61
Regulatory effects on short-term interest rates 0 0 0 31 2 4 17 98
Risk spillovers in international equity portfolios 0 0 0 8 0 3 8 107
Safe Asset Carry Trade 0 1 2 4 4 6 18 24
Safe Haven Currencies 7 14 44 517 18 49 154 1,415
Segmentation and time-of-day patterns in foreign exchange markets 0 0 1 68 4 6 24 242
The Euro Interbank Repo Market 0 0 2 143 0 4 15 466
The Time-Varying Systematic Risk of Carry Trade Strategies 0 0 0 74 2 14 24 226
The implementation of SNB monetary policy 0 0 1 24 0 1 8 105
The reaction of asset markets to Swiss National Bank communication 0 0 5 124 5 14 32 518
Understanding FX Liquidity 0 0 1 56 1 2 10 219
Unsecured and Secured Funding 0 1 5 17 3 8 27 77
Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance 0 0 0 24 0 0 1 131
Total Journal Articles 8 30 115 2,249 133 314 941 7,693

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 1 2 12 46 8 15 61 153
Non-Fungible Tokens 0 0 0 0 1 3 9 14
Total Chapters 1 2 12 46 9 18 70 167

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Statistics updated 2026-05-06