Angelo Ranaldo

University of St. Gallen

Full professor

School of Finance

Unterer Graben 21

St. Gallen, 9000

Switzerland

http://fin-sr.unisg.ch

Swiss Finance Institute

SFI Senior Chair

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

http://www.sfi.ch/de/about-us/news/hsg-faculty-members

SCHOLARLY PAPERS

56

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410

Scholarly Papers (56)

1.
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Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontificia Universidad Católica de Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst - Isenberg School of Management, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, Vrije Universiteit Amsterdam, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 6,115 (1,763)

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non-standard errors, multi-analyst approach, liquidity

2.

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Journal of Finance, 2013, Vol. 68, No. 5, pp. 1805-1841
Number of pages: 69 Posted: 14 Aug 2009 Last Revised: 13 Oct 2013
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 2,488 (8,072)
Citation 19

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Foreign Exchange Market, Liquidity, Commonality in Liquidity, Liquidity Spiral, Liquidity Risk Premium, Carry Trade

3.

How to Price Hedge Funds: From Two- to Four-Moment CAPM

UBS Research Paper
Number of pages: 31 Posted: 09 Aug 2004 Last Revised: 09 Jun 2014
Angelo Ranaldo and Laurent Favre
University of St. Gallen and AlternativeSoft
Downloads 2,080 (10,796)
Citation 11

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Hedge funds, CAPM, higher moments, skewness, kurtosis, required rate of return

The Time-Varying Systematic Risk of Carry Trade Strategies

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 26 Posted: 23 Apr 2009 Last Revised: 11 Jun 2013
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 1,352 (20,723)
Citation 3

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carry trade, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas

The Time-Varying Systematic Risk of Carry Trade Strategies

Number of pages: 35 Posted: 14 Mar 2010
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 321 (134,078)
Citation 3

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carry trades, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas

The Time-Varying Systematic Risk of Carry Trade Strategies

CEPR Discussion Paper No. DP7345
Number of pages: 33 Posted: 26 Aug 2009
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 5 (893,433)
Citation 10
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carry trade, factor model, smooth transition regression, time-varying betas

5.

Asymmetric Information Risk in FX Markets

Journal of Financial Economics (JFE), Volume 140, Issue 2, May 2021, Pages 391-411
Number of pages: 138 Posted: 16 Oct 2018 Last Revised: 17 Jun 2021
Angelo Ranaldo and Fabricius Somogyi
University of St. Gallen and D’Amore-McKim School of Business
Downloads 1,328 (21,660)
Citation 3

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Asymmetric information, Currency portfolios, Order flow, OTC, Risk premium

6.

Segmentation and Time-of-Day Patterns in Foreign Exchange Markets

EFA 2007 Ljubljana Meetings Paper
Number of pages: 36 Posted: 08 Feb 2007
Angelo Ranaldo
University of St. Gallen
Downloads 1,322 (21,790)
Citation 10

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foreign exchange market; microstructure, behavioural finance, time-of-day patterns, market segmentation, calendar effects, inventory, asymmetric information, high-frequency data

7.

Convertible Bonds: Characteristics of an Asset Class

UBS Research Paper
Number of pages: 28 Posted: 03 Jun 2004
Angelo Ranaldo and Alain Eckmann
University of St. Gallen and UBS AG - Zurich Office
Downloads 1,291 (22,589)
Citation 3

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convertible bonds, downside risk, CAPM, higher-moment CAPM, Factor Analysis, coskewness, efficient portfolio with convertible bonds

8.

The Euro Interbank Repo Market

Swiss Finance Institute Research Paper No. 13-71, University of St. Gallen, School of Finance Research Paper No. 2013/16
Number of pages: 42 Posted: 28 Sep 2013 Last Revised: 29 Mar 2016
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 1,259 (23,435)
Citation 38

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Repurchase agreements, money market structure, central counterparty, short-term debt, financial crisis, unconventional monetary policy

Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity

Number of pages: 46 Posted: 13 Mar 2010 Last Revised: 15 Jun 2013
Tommaso Mancini-Griffoli and Angelo Ranaldo
Swiss National Bank and University of St. Gallen
Downloads 803 (43,690)
Citation 24

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limits to arbitrage, covered interest parity, funding liquidity, financial crisis, slow moving capital, market freeze, unconventional monetary policy.

Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity

Number of pages: 46 Posted: 09 Feb 2010 Last Revised: 15 Jun 2013
Thomas Mancini-Griffoli and Angelo Ranaldo
Swiss National Bank and University of St. Gallen
Downloads 368 (115,404)
Citation 19

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limits to arbitrage, covered interest parity, funding liquidity, financial crisis, slow moving capital, market freeze, unconventional monetary policy.

10.

Intraday Patterns in FX Returns and Order Flow

Queen Mary, University of London, School of Economics and Finance WP 694
Number of pages: 19 Posted: 04 Jul 2012
Francis Breedon and Angelo Ranaldo
University of London, Queen Mary - School of Economics and Finance and University of St. Gallen
Downloads 1,120 (27,793)
Citation 11

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Foreign exchange, Microstructure, Order flow, Liquidity

11.
Downloads 1,095 ( 28,760)
Citation 87

Safe Haven Currencies

Review of Finance, Vol. 10, pp. 385-407, 2010 , University of St. Gallen Economics Discussion Paper No. 2007-22
Number of pages: 28 Posted: 16 Jul 2007 Last Revised: 15 Jun 2013
Angelo Ranaldo and Paul Söderlind
University of St. Gallen and University of St. Gallen
Downloads 1,085 (28,655)
Citation 20

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exchange rates, high-frequency data, crisis episodes, non-linear effects

Safe Haven Currencies

CEPR Discussion Paper No. DP7249
Number of pages: 31 Posted: 15 Apr 2009
Angelo Ranaldo and Paul Söderlind
University of St. Gallen and University of St. Gallen
Downloads 10 (835,662)
Citation 26
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crisis episodes, high-frequency data, non-linear effects

12.

Understanding FX Liquidity

Forthcoming in The Review of Financial Studies, University of St.Gallen, School of Finance Research Paper No. 2013/15
Number of pages: 49 Posted: 24 Sep 2013 Last Revised: 09 Jun 2015
Nina Karnaukh, Angelo Ranaldo and Paul Söderlind
Ohio State University; Fisher College of Business - Department of Finance, University of St. Gallen and University of St. Gallen
Downloads 1,087 (29,029)
Citation 23

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exchange rates, liquidity, transaction costs, commonality, low-frequency

Wolf in Sheep's Clothing: The Active Investment Strategies Behind Index Performance

EFMA 2004 BASEL MEETINGS
Number of pages: 26 Posted: 07 May 2004
Angelo Ranaldo and Rainer Haeberle
University of St. Gallen and UBS Investment Bank
Downloads 927 (35,884)
Citation 6

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index performance, active / passive investment management, momentum strategies, index constituents; selection and rebalancing rules; performance measurement; "buy-and-hold" strategy

Wolf in Sheep's Clothing: The Active Investment Strategies Behind Index Performance

European Financial Management, Vol. 14, Issue 1, pp. 55-81, January 2008
Number of pages: 27 Posted: 29 Dec 2007
Angelo Ranaldo and Rainer Häberle
University of St. Gallen and affiliation not provided to SSRN
Downloads 34 (630,230)

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14.

Foreign Exchange Swaps and Cross-Currency Swaps

Swiss Finance Institute Research Paper No. 22-51, A book chapter forthcoming in The Research Handbook of Financial Markets
Number of pages: 31 Posted: 16 Jun 2022
Angelo Ranaldo
University of St. Gallen
Downloads 938 (35,855)

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15.
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Citation 8

OTC Premia

Bank of England Working Paper No. 751
Number of pages: 50 Posted: 28 Aug 2018
Gino Cenedese, Angelo Ranaldo and Michalis Vasios
Fulcrum Asset Management, University of St. Gallen and European Securities and Markets Authority
Downloads 690 (53,537)

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Interest rate swaps, financial regulation, central clearing, over-the-counter market, valuation adjustments

OTC Premia

University of St.Gallen, School of Finance Research Paper No. 2018/18, Journal of Financial Economics
Number of pages: 57 Posted: 28 Aug 2018 Last Revised: 14 Jun 2019
Gino Cenedese, Angelo Ranaldo and Michalis Vasios
Fulcrum Asset Management, University of St. Gallen and European Securities and Markets Authority
Downloads 124 (318,677)
Citation 7

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interest rate swaps, financial regulation, central clearing, over-the-counter market, valuation adjustments

Intraday Market Dynamics Around Public Information Arrivals

EFMA 2002 London Meeting, Forthcoming
Number of pages: 46 Posted: 02 Mar 2002
Angelo Ranaldo
University of St. Gallen
Downloads 375 (112,985)
Citation 2

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arrival of public information, intraday trading, transaction cost components, order flow, disclosure impact

Intraday Market Dynamics Around Public Information Arrivals

Number of pages: 37 Posted: 04 Dec 2003
Angelo Ranaldo
University of St. Gallen
Downloads 358 (119,077)
Citation 12

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Firm-specific news, public information arrivals, market microstructure, transaction cost components, price formation model, high frequency data, Paris Bourse

17.

Order Aggressiveness

Number of pages: 67 Posted: 11 Jan 2001
Angelo Ranaldo
University of St. Gallen
Downloads 727 (50,580)

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limit order book; limit orders; microstructure; order aggressiveness

18.

A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

Forthcoming, Review of Financial Studies, University of St. Gallen, School of Finance Research Paper 2016/04
Number of pages: 53 Posted: 02 Feb 2016 Last Revised: 30 Jul 2017
Farshid Abdi and Angelo Ranaldo
University of Massachusetts Amherst and University of St. Gallen
Downloads 720 (51,239)
Citation 13

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Market liquidity, Transaction cost, Effective spread, TAQ data, Asset pricing

19.

How to Improve the Financial Architecture and Its Resilience

Number of pages: 22 Posted: 21 Jun 2014
ETH Zürich - Department of Humanities, Social and Political Sciences (GESS), London School of Economics & Political Science (LSE), Capital Fund Management, University College London, University of Oxford, University of Western Sydney - School of Economics & Finance, Columbia University School of Law, University of Kiel - Institute for World Economics (IfW), Independent, University of St. Gallen, Independent and University of the West of England (UWE)
Downloads 532 (75,485)

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financial architecture, resilience, financial crisis, banking crisis, economic crisis, new economic thinking

20.

On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges

University of St.Gallen, School of Finance Research Paper Forthcoming, Swiss Finance Institute Research Paper No. 22-38
Number of pages: 63 Posted: 27 Dec 2021 Last Revised: 12 Sep 2022
Andrea Barbon and Angelo Ranaldo
University of St. Gallen and University of St. Gallen
Downloads 491 (83,434)

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Decentralized Exchanges, Automated Market Making, Blockchain, Decentralized Finance, Market Quality, Limit Order Book

21.

Realized Bond-Stock Correlation: Macroeconomic Announcement Effects

Number of pages: 31 Posted: 10 Mar 2006
Charlotte Christiansen and Angelo Ranaldo
Aarhus University - CREATES and University of St. Gallen
Downloads 460 (89,998)
Citation 5

Abstract:

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Bond-stock correlation, Macroeconomic announcements, Realized correlation, Realized volatility

22.

Unsecured and Secured Funding

Number of pages: 19 Posted: 14 Aug 2016 Last Revised: 04 Mar 2021
Mario di Filippo, Angelo Ranaldo and Jan Wrampelmeyer
World Bank Group, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 457 (90,654)
Citation 1

Abstract:

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Interbank market, funding risk, unsecured funding, repurchase agreements, counterparty credit risk

23.

Safe Asset Carry Trade

Review of Asset Pricing Studies (forthcoming), University of St.Gallen, School of Finance Research Paper No. 2019/09
Number of pages: 55 Posted: 25 Jul 2019 Last Revised: 15 Jul 2022
Benedikt Ballensiefen and Angelo Ranaldo
University of St. Gallen - School of Finance and University of St. Gallen
Downloads 447 (93,029)
Citation 1

Abstract:

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Safe Asset, Repo, Asset Pricing, Convenience Premium, Bond Pricing.

24.

Save Haven Currencies

Review of Finance, Forthcoming
Number of pages: 28 Posted: 28 Feb 2008 Last Revised: 15 Jun 2013
Angelo Ranaldo and Paul Söderlind
University of St. Gallen and University of St. Gallen
Downloads 407 (103,679)

Abstract:

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foreign exchange rates, high-frequency data, crisis episodes, non-linear effects

25.

Liquidity in the Global Foreign Exchange Market

University of St.Gallen, School of Finance Research Paper No. 2018/23
Number of pages: 43 Posted: 22 Nov 2018 Last Revised: 09 Nov 2021
Angelo Ranaldo and Paolo Santucci de Magistris
University of St. Gallen and Aarhus University - CREATES
Downloads 401 (105,805)
Citation 6

Abstract:

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Foreign Exchange, Global Market, Liquidity, Price Impact, Arbitrage.

26.

Monetary Policy Effects on Long-Term Rates and Stock Prices

EFA 2008 Athens Meetings Paper
Number of pages: 36 Posted: 06 Mar 2008
Samuel Reynard and Angelo Ranaldo
Swiss National Bank and University of St. Gallen
Downloads 383 (111,189)
Citation 1

Abstract:

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Monetary policy, Expectations, Long-term interest rates, Stock prices, Inflation, Real interest rate, Dividends, Economic shocks, Fed's private information

27.

Liquidity Risk and Funding Cost

University of St.Gallen, School of Finance Research Paper No. 2019/03 , Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 70 Posted: 20 May 2019 Last Revised: 31 Aug 2020
Alexander Bechtel, Angelo Ranaldo and Jan Wrampelmeyer
University of St. Gallen - School of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 373 (114,514)
Citation 1

Abstract:

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funding liquidity risk, short-term interest rates, risk premiums, funding costs, interbank market

28.

On the Predictability of Stock Prices: A Case for High and Low Prices

Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 18 Jun 2011 Last Revised: 15 Jun 2013
University of Padua - Department of Statistical Sciences, University of St. Gallen and Aarhus University - CREATES
Downloads 353 (121,825)
Citation 2

Abstract:

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high and low prices, predictability of asset prices, range, fractional cointegration, exit/entry trading signals, chart/technical analysis

29.

Forecasting Realized (Co)Variances with a Block Structure Wishart Autoregressive Model

Number of pages: 30 Posted: 12 Oct 2008 Last Revised: 15 Jun 2013
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 311 (139,412)
Citation 18

Abstract:

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realized volatility, forecasting, Value-at-Risk, Wishart

30.

Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal

Bank of England Working Paper No. 711
Number of pages: 30 Posted: 21 Feb 2018
University of London, Queen Mary - School of Economics and Finance, University of Sussex, University of St. Gallen and Bank of England
Downloads 282 (154,240)
Citation 7

Abstract:

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Swiss franc, algorithmic trading, liquidity, volatility, price discovery, arbitrage opportunities

31.

Internet Appendix for 'Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums'

Number of pages: 59 Posted: 20 Dec 2011 Last Revised: 11 Jun 2013
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 263 (165,560)
Citation 3

Abstract:

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foreign exchange market, liquidity, commonality in liquidity, liquidity spiral, liquidity risk premium, carry trade

32.

Precious Metals under the Microscope: A High-Frequency Analysis

University of St. Gallen, School of Finance Research Paper No. 2014/9, Forthcoming in Quantitative Finance
Number of pages: 30 Posted: 13 May 2013 Last Revised: 23 Jun 2014
University of Padua - Department of Statistical Sciences, University of St. Gallen and University of Padua - Department of Economics
Downloads 262 (166,169)
Citation 2

Abstract:

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precious metals, high-frequency data, liquidity, commonality in liquidity, intradaily periodicity

33.

Money Market Disconnect

University of St.Gallen, School of Finance Research Paper No. 2020/03
Number of pages: 55 Posted: 21 Sep 2020 Last Revised: 18 Jul 2022
University of St. Gallen - School of Finance, University of St. Gallen and University of St. Gallen
Downloads 216 (200,057)

Abstract:

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Money market, Segmentation, Deposit facility, QE, Monetary policy.

34.

Regulatory Effects on Short-Term Interest Rates

Journal of Financial Economics (JFE), Vol. 141, No. 2, 2021, Bank of England Working Paper No. 801 (2019)
Number of pages: 45 Posted: 01 Jun 2019 Last Revised: 06 Jul 2021
Angelo Ranaldo, Patrick Schaffner and Michalis Vasios
University of St. Gallen, University of St. Gallen - School of Finance and European Securities and Markets Authority
Downloads 180 (235,481)
Citation 7

Abstract:

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Interest rates, repo, central clearing, financial infrastructure, leverage ratio, EMIR, regulatory effects, safe assets, collateral

35.

Internet Appendix for 'The Euro Interbank Repo Market'

Number of pages: 28 Posted: 17 Dec 2013 Last Revised: 30 Jul 2015
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 168 (249,648)

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Repurchase agreements, repo market, central counterparty, short-term debt, liquidity hoarding, financial crisis, unconventional monetary policy

36.

Constrained Dealers and Market Efficiency

University of St.Gallen, School of Finance Research Paper No. 2021/16
Number of pages: 58 Posted: 05 Nov 2021 Last Revised: 06 Apr 2022
Bank for International Settlements, University of St. Gallen, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and D’Amore-McKim School of Business
Downloads 153 (269,656)

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Market Efficiency, Dealer Constraints, Foreign Exchange, Liquidity Provision.

37.

The Forward Premium in Short-Term Rates

University of St.Gallen, School of Finance Research Paper No. 2016/19
Number of pages: 38 Posted: 15 Oct 2016 Last Revised: 05 Sep 2019
Angelo Ranaldo and Matthias Rupprecht
University of St. Gallen and University of St. Gallen - School of Finance
Downloads 151 (272,553)

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expectations hypothesis, repo, forward premium, interest rates

38.

Quantitative Easing and the Safe Asset Illusion

Number of pages: 52 Posted: 11 Jun 2021
University of St. Gallen - School of Finance, Morgan Stanley, University of St. Gallen and European Central Bank (ECB)
Downloads 146 (280,086)

Abstract:

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Safe assets, quantitative easing, Public Sector Purchase Programme, secured deposits, repurchase agreements

39.

Euro Repo Market Functioning: Collateral is King

BIS Quarterly Review, December 2019
Number of pages: 14 Posted: 17 Dec 2019
University of St. Gallen - School of Finance, University of St. Gallen and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 144 (283,122)
Citation 1

Abstract:

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40.
Downloads 126 (313,583)
Citation 9

Does FOMC News Increase Global FX Trading?

Number of pages: 38 Posted: 08 Mar 2008
Andreas M. Fischer and Angelo Ranaldo
Swiss National Bank and University of St. Gallen
Downloads 124 (318,677)

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Trading volume, FOMC, Global linkages

Does FOMC News Increase Global FX Trading?

CEPR Discussion Paper No. DP6753
Number of pages: 39 Posted: 10 Jun 2008
Andreas M. Fischer and Angelo Ranaldo
Swiss National Bank and University of St. Gallen
Downloads 2 (935,970)
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FOMC, Global linkages, Trading volume

41.

Internet Appendix to 'Understanding FX Liquidity'

Number of pages: 36 Posted: 09 Jun 2015
Nina Karnaukh, Angelo Ranaldo and Paul Söderlind
Ohio State University; Fisher College of Business - Department of Finance, University of St. Gallen and University of St. Gallen
Downloads 118 (328,730)

Abstract:

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42.

Risk Spillovers in International Equity Portfolios

Number of pages: 32 Posted: 17 Jul 2011 Last Revised: 11 Mar 2012
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 117 (330,719)

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Risk spillover, portfolio risk, currency risk, variance forecasting, international portfolio, Wishart distribution

43.

Internet Appendix to 'A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices'

Number of pages: 21 Posted: 21 Jul 2016 Last Revised: 30 Jul 2017
Farshid Abdi and Angelo Ranaldo
University of Massachusetts Amherst and University of St. Gallen
Downloads 115 (334,845)

Abstract:

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Market liquidity, Transaction cost, Effective spread, TAQ data, Asset pricing

44.

Does Quantitative Easing Mitigate the Sovereign-Bank Nexus?

University of St.Gallen, School of Finance Research Paper No. 2021/01
Number of pages: 38 Posted: 08 Jan 2021
Alexander Bechtel, Jens Eisenschmidt and Angelo Ranaldo
University of St. Gallen - School of Finance, Morgan Stanley and University of St. Gallen
Downloads 113 (338,976)

Abstract:

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Sovereign-bank nexus, quantitative easing, Public Sector Purchase Programme, financial stability

45.

Extreme Coexceedances in New EU Member States' Stock Markets

Number of pages: 31 Posted: 03 Mar 2008 Last Revised: 08 Nov 2017
Charlotte Christiansen and Angelo Ranaldo
Aarhus University - CREATES and University of St. Gallen
Downloads 112 (341,099)
Citation 2

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Financial market integration, Comovement, Emerging markets, EU enlargement, EU Member States, Extreme returns, New EU Member States, Stock markets

46.

The Implementation of SNB Monetary Policy

Financial Markets and Portfolio Management, Vol. 23, pp. 349-359, 2009
Number of pages: 16 Posted: 02 Nov 2009 Last Revised: 11 Jun 2013
Angelo Ranaldo, Thomas Jordan and Paul Söderlind
University of St. Gallen, Swiss National Bank and University of St. Gallen
Downloads 93 (385,158)

Abstract:

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implementation of monetary policy, Libor, repo, Swiss franc money market, regime switching model

47.

A Forecast Based Comparison of Restricted Realized Covariance Models

Number of pages: 35 Posted: 24 Feb 2010
Massimiliano Caporin, Angelo Ranaldo and Matteo Bonato
University of Padua - Department of Statistical Sciences, University of St. Gallen and University of Johannesburg - Department of Economics and Econometrics
Downloads 77 (431,114)

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Realized covariance, WAR, HAR, multivariate volatility forecasts

48.

Uniform-Price Auctions for Swiss Government Bonds: Origin and Evolution

University of St.Gallen, School of Finance Research Paper No. 2016/09
Number of pages: 47 Posted: 21 Mar 2016
Angelo Ranaldo and Enzo Rossi
University of St. Gallen and Swiss National Bank
Downloads 48 (541,809)
Citation 2

Abstract:

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Government Bonds, Treasury Auctions, Uniform-price Auction

49.

The Reaction of Asset Markets to Swiss National Bank Communication

Number of pages: 36 Posted: 19 Mar 2016
Angelo Ranaldo and Enzo Rossi
University of St. Gallen and Swiss National Bank
Downloads 46 (551,348)
Citation 6

Abstract:

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Central bank communication; Interviews; Speeches; Asset Markets; High-frequency data

50.

Internet Appendix for 'Unsecured and Secured Funding'

Number of pages: 22 Posted: 04 Mar 2021
Mario di Filippo, Angelo Ranaldo and Jan Wrampelmeyer
World Bank Group, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 20 (714,316)

Abstract:

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Interbank market, funding risk, unsecured funding, repurchase agreements, counterparty credit risk

51.

Margin Procyclicality and the Collateral Cycle

Bank of England Working Paper No. 966
Number of pages: 37 Posted: 04 May 2022
Evangelos Benos, Gerardo Ferrara and Angelo Ranaldo
University of Nottingham, Bank of England and University of St. Gallen
Downloads 14 (766,294)

Abstract:

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Central clearing, margin procyclicality, repo rates

52.

Judgment Day: Algorithmic Trading Around the Swiss Franc Cap Removal

Number of pages: 60 Posted: 18 May 2022
University of London, Queen Mary - School of Economics and Finance, University of Sussex, University of St. Gallen and Bank of England
Downloads 11 (795,261)

Abstract:

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Algorithmic trading, Swiss franc, market liquidity, price efficiency, central bank intervention.

53.

Hedge Fund Performance and Higher-Moment Market Models

Journal of Alternative Investments, Winter 2005
Posted: 13 Jan 2006
Angelo Ranaldo and Laurent Favre
University of St. Gallen and AlternativeSoft

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Hedge Funds, Higher Moments, Skewness, Kurtosis, Coskewness, and Cokurtosis

54.

Order Aggressiveness in Limit Order Book Markets

Posted: 15 Jan 2004
Angelo Ranaldo
University of St. Gallen

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Limit order book, limit orders, microstructure, order aggressiveness, probit model

55.

Intraday Market Liquidity on the Swiss Stock Exchange

Financial Markets & Portfolio Management, Vol. 15, No. 3, 2001
Posted: 11 Mar 2002
Angelo Ranaldo
University of St. Gallen

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intraday market liquidity, liquidity proxies, Swiss Stock Exchange, volume concentration

56.

Transaction Costs on the Swiss Stock Exchange

Financial Markets and Portfolio Management, Vol. 16, No. 1, pp. 53-68, 2002
Posted: 11 Mar 2002
Angelo Ranaldo
University of St. Gallen

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transaction cost, bid-ask spread components, Swiss Stock Exchange