.
Ranaldo, Angelo's
Scholarly Papers
Click on the title of any column to sort the table by that
column.
Aggregate Statistics
Total 10,233
Total Citations 115
1.
Ranaldo, Angelo University of St. Gallen
Favre, Laurent Independent
1,435(5,044)
10
Hedge funds, CAPM, higher moments, skewness, kurtosis, required rate of return
2.
The Time-Varying Systematic Risk of Carry Trade Strategies
|
Show Abstracts |
Hide Abstracts |
Versions (3)
|
hide multiple versions |
Export Bibliographic Info |
Christiansen, Charlotte University of Aarhus - School of Economics and Management - CREATES
Ranaldo, Angelo University of St. Gallen
Söderlind, Paul University of St. Gallen
Posted:
23 Apr 09
Last Revised:
14 Mar 10
1,124(7,613)
15
Christiansen, Charlotte University of Aarhus - School of Economics and Management - CREATES
Ranaldo, Angelo University of St. Gallen
Söderlind, Paul University of St. Gallen
178
15
carry trades, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas
Christiansen, Charlotte University of Aarhus - School of Economics and Management - CREATES
Ranaldo, Angelo University of St. Gallen
Söderlind, Paul University of St. Gallen
4
15
carry trade, factor model, smooth transition regression, time-varying betas
Christiansen, Charlotte University of Aarhus - School of Economics and Management - CREATES
Ranaldo, Angelo University of St. Gallen
Söderlind, Paul University of St. Gallen
Posted:
23 Apr 09
Last Revised:
06 Feb 10
942
15
carry trade, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas
3.
Mancini, Loriano Ecole Polytechnique Fédérale de Lausanne
Ranaldo, Angelo University of St. Gallen
Wrampelmeyer, Jan University of Saint Gallen
Posted:
14 Aug 09
Last Revised:
18 Jun 12
1,090(8,038)
5
Foreign Exchange Market, Liquidity, Commonality in Liquidity, Liquidity Spiral, Liquidity Risk Premium, Carry Trade
4.
Ranaldo, Angelo University of St. Gallen
Eckmann, Alain UBS - Zurich Office
920(10,545)
convertible bonds, downside risk, CAPM, higher-moment CAPM, Factor Analysis, coskewness, efficient portfolio with convertible bonds
5.
Ranaldo, Angelo University of St. Gallen
908(10,767)
2
foreign exchange market; microstructure, behavioural finance, time-of-day patterns, market segmentation, calendar effects, inventory, asymmetric information, high-frequency data
6.
Wolf in Sheep's Clothing: The Active Investment Strategies Behind Index Performance
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Ranaldo, Angelo University of St. Gallen
Häberle, Rainer affiliation not provided to SSRN
Posted:
07 May 04
Last Revised:
02 Apr 08
837(12,262)
5
Ranaldo, Angelo University of St. Gallen
Häberle, Rainer affiliation not provided to SSRN
33
5
Ranaldo, Angelo University of St. Gallen
Haeberle, Rainer UBS Investment Bank
804
5
index performance, active / passive investment management, momentum strategies, index constituents; selection and rebalancing rules; performance measurement; "buy-and-hold" strategy
7.
Intraday Market Dynamics Around Public Information Arrivals
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Ranaldo, Angelo University of St. Gallen
Posted:
02 Mar 02
Last Revised:
17 Sep 05
630(18,600)
12
Ranaldo, Angelo University of St. Gallen
314
12
Firm-specific news, public information arrivals, market microstructure, transaction cost components, price formation model, high frequency data, Paris Bourse
Ranaldo, Angelo University of St. Gallen
316
12
arrival of public information, intraday trading, transaction cost components, order flow, disclosure impact
8.
Ranaldo, Angelo University of St. Gallen
619(19,058)
23
limit order book; limit orders; microstructure; order aggressiveness
9.
Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Mancini-Griffoli, Tommaso affiliation not provided to SSRN
Ranaldo, Angelo University of St. Gallen
Posted:
09 Feb 10
Last Revised:
09 Mar 11
357(39,094)
2
Mancini-Griffoli, Tommaso affiliation not provided to SSRN
Ranaldo, Angelo University of St. Gallen
Posted:
13 Mar 10
Last Revised:
09 Mar 11
176
2
limits to arbitrage, covered interest parity, funding liquidity, financial crisis, slow moving capital, market freeze, unconventional monetary policy.
Mancini-Griffoli, Thomas Swiss National Bank
Ranaldo, Angelo University of St. Gallen
Posted:
09 Feb 10
Last Revised:
09 Mar 11
181
2
limits to arbitrage, covered interest parity, funding liquidity, financial crisis, slow moving capital, market freeze, unconventional monetary policy.
10.
Christiansen, Charlotte University of Aarhus - School of Economics and Management - CREATES
Ranaldo, Angelo University of St. Gallen
344(40,909)
10
Bond-stock correlation, Macroeconomic announcements, Realized correlation, Realized volatility
11.
Ranaldo, Angelo University of St. Gallen
Söderlind, Paul University of St. Gallen
Posted:
28 Feb 08
Last Revised:
18 Aug 10
335(42,273)
foreign exchange rates, high-frequency data, crisis episodes, non-linear effects
12.
Safe Haven Currencies
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Ranaldo, Angelo University of St. Gallen
Söderlind, Paul University of St. Gallen
Posted:
16 Jul 07
Last Revised:
19 Aug 10
320(44,570)
18
Ranaldo, Angelo University of St. Gallen
Söderlind, Paul University of St. Gallen
9
18
crisis episodes, high-frequency data, non-linear effects
Ranaldo, Angelo University of St. Gallen
Söderlind, Paul University of St. Gallen
Posted:
16 Jul 07
Last Revised:
19 Aug 10
311
18
exchange rates, high-frequency data, crisis episodes, non-linear effects
13.
Reynard, Samuel Swiss National Bank
Ranaldo, Angelo University of St. Gallen
268(54,729)
Monetary policy, Expectations, Long-term interest rates, Stock prices, Inflation, Real interest rate, Dividends, Economic shocks, Fed's private information
14.
Breedon, Francis University of London, Queen Mary - School of Economics and Finance
Ranaldo, Angelo University of St. Gallen
238(62,315)
1
Foreign exchange, Microstructure, Order flow, Liquidity
15.
Bonato, Matteo UBS AG
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Ranaldo, Angelo University of St. Gallen
Posted:
12 Oct 08
Last Revised:
09 Nov 08
232(64,068)
10
realized volatility, forecasting, Value-at-Risk, Wishart
16.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Santucci de Magistris, Paolo University of Aarhus - CREATES
Ranaldo, Angelo University of St. Gallen
Posted:
18 Jun 11
Last Revised:
09 Jan 13
150(97,805)
high and low prices, predictability of asset prices, range, fractional cointegration, exit/entry trading signals, chart/technical analysis
17.
Does FOMC News Increase Global FX Trading?
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Fischer, Andreas M. Swiss National Bank
Ranaldo, Angelo University of St. Gallen
Posted:
08 Mar 08
Last Revised:
10 Jun 08
82(153,746)
Fischer, Andreas M. Swiss National Bank
Ranaldo, Angelo University of St. Gallen
1
FOMC, Global linkages, Trading volume
Fischer, Andreas M. Swiss National Bank
Ranaldo, Angelo University of St. Gallen
81
Trading volume, FOMC, Global linkages
18.
Christiansen, Charlotte University of Aarhus - School of Economics and Management - CREATES
Ranaldo, Angelo University of St. Gallen
Posted:
03 Mar 08
Last Revised:
01 Jul 08
82(153,746)
1
Financial market integration, Comovement, Emerging markets, EU enlargement, EU Member States, Extreme returns, New EU Member States, Stock markets
19.
Bonato, Matteo UBS AG
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Ranaldo, Angelo University of St. Gallen
Posted:
17 Jul 11
Last Revised:
11 Mar 12
73(165,022)
Risk spillover, portfolio risk, currency risk, variance forecasting, international portfolio, Wishart distribution
20.
Mancini, Loriano Ecole Polytechnique Fédérale de Lausanne
Ranaldo, Angelo University of St. Gallen
Wrampelmeyer, Jan University of Saint Gallen
Posted:
20 Dec 11
Last Revised:
18 Jun 12
66(174,594)
foreign exchange market, liquidity, commonality in liquidity, liquidity spiral, liquidity risk premium, carry trade
21.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Ranaldo, Angelo University of St. Gallen
Bonato, Matteo UBS AG
50(200,168)
Realized covariance, WAR, HAR, multivariate volatility forecasts
22.
Ranaldo, Angelo University of St. Gallen
Jordan, Thomas Swiss National Bank
Söderlind, Paul University of St. Gallen
Posted:
02 Nov 09
Last Revised:
01 Dec 09
37(225,959)
1
implementation of monetary policy, Libor, repo, Swiss franc money market, regime switching model
23.
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Ranaldo, Angelo University of St. Gallen
Velo, Gabriel G. University of Padua - Department of Economics
36(228,211)
precious metals, high-frequency data, liquidity measurement, intradaily periodicity
24.
Ranaldo, Angelo University of St. Gallen
Favre, Laurent Independent
Hedge Funds, Higher Moments, Skewness, Kurtosis, Coskewness, and Cokurtosis
25.
Ranaldo, Angelo University of St. Gallen
Limit order book, limit orders, microstructure, order aggressiveness, probit model
26.
Ranaldo, Angelo University of St. Gallen
transaction cost, bid-ask spread components, Swiss Stock Exchange
27.
Ranaldo, Angelo University of St. Gallen
intraday market liquidity, liquidity proxies, Swiss Stock Exchange, volume concentration
