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Angelo Ranaldo

Personal Details

First Name:Angelo
Middle Name:
Last Name:Ranaldo
Suffix:
RePEc Short-ID:pra161
https://www.unisg.ch/de/universitaet/schools/finance/lehrstuhl-ranaldo/
University of St.Gallen and Swiss Finance Institute Chair of Finance & Systemic Risk - SFI Senior Chair Unterer Graben 21 CH-9000 St.Gallen Switzerland
+41 (0)71 224 70 10

Affiliation

(50%) School of Finance
Universität St. Gallen

Sankt Gallen, Switzerland
http://www.unisg.ch/de/universitaet/schools/finance
RePEc:edi:cfisgch (more details at EDIRC)

(50%) Swiss Finance Institute

Genève/Zürich, Switzerland
http://www.swissfinanceinstitute.ch/
RePEc:edi:fameech (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Wenqian Huang & Angelo Ranaldo & Andreas Schrimpf & Fabricius Somogyi, 2022. "Constrained Liquidity Provision in Currency Markets," Swiss Finance Institute Research Paper Series 22-82, Swiss Finance Institute.
  2. Huang, Wenqian & Ranaldo, Angelo & Schrimpf, Andreas & Somogyi, Fabricius, 2022. "Constrained Dealers and Market Efficiency," VfS Annual Conference 2022 (Basel): Big Data in Economics 264054, Verein für Socialpolitik / German Economic Association.
  3. Benos, Evangelos & Ferrara, Gerardo & Ranaldo, Angelo, 2022. "Collateral cycles," Bank of England working papers 966, Bank of England, revised 24 Oct 2022.
  4. Angelo Ranaldo, 2022. "Foreign Exchange Swaps and Cross-Currency Swaps," Swiss Finance Institute Research Paper Series 22-51, Swiss Finance Institute.
  5. Demetrio Lacava & Angelo Ranaldo & Paolo Santucci de Magistris, 2022. "Realized Illiquidity," Swiss Finance Institute Research Paper Series 22-90, Swiss Finance Institute.
  6. Andrea Barbon & Angelo Ranaldo, 2022. "Non-Fungible Tokens," Swiss Finance Institute Research Paper Series 22-84, Swiss Finance Institute.
  7. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & To, 2021. "Non-Standard Errors," Working Paper Series, Social and Economic Sciences 2021-11, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
  8. Andrea Barbon & Angelo Ranaldo, 2021. "On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges," Papers 2112.07386, arXiv.org, revised Jul 2023.
  9. Angelo Ranaldo & Benedikt Ballensiefen & Hannah Winterberg, 2020. "Monetary policy disconnect," Working Papers on Finance 2003, University of St. Gallen, School of Finance.
  10. Benedikt Ballensiefen & Angelo Ranaldo, 2019. "Safe Asset Carry Trade," Working Papers on Finance 1909, University of St. Gallen, School of Finance, revised Oct 2019.
  11. Alexander Bechtel & Angelo Ranaldo & Jan Wrampelmeyer, 2019. "Liquidity Risk and Funding Cost," Working Papers on Finance 1903, University of St. Gallen, School of Finance, revised Aug 2020.
  12. Ranaldo, Angelo & Schaffner, Patrick & Vasios, Michalis, 2019. "Regulatory effects on short-term interest rates," Bank of England working papers 801, Bank of England.
  13. Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2018. "OTC premia," Bank of England working papers 751, Bank of England.
  14. Angelo Ranaldo & Paolo Santucci de Magistris, 2018. "Trading Volume, Illiquidity and Commonalities in FX Markets," Working Papers on Finance 1823, University of St. Gallen, School of Finance, revised Oct 2019.
  15. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
  16. Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2018. "Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal," Working Papers on Finance 1808, University of St. Gallen, School of Finance.
  17. Angelo Ranaldo & Dr. Enzo Rossi, 2016. "Uniform-price auctions for Swiss government bonds: Origin and evolution," Economic Studies 2016-10, Swiss National Bank.
  18. , 2016. "Funding Illiquidity," Working Papers on Finance 1601, University of St. Gallen, School of Finance, revised Sep 2019.
  19. Ranaldo, Angelo & Rupprecht, Matthias, 2016. "The Forward Premium in Short-Term Rates," Working Papers on Finance 1619, University of St. Gallen, School of Finance, revised Sep 2019.
  20. Abdi, Farshid & Ranaldo, Angelo, 2016. "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 e," Working Papers on Finance 1604, University of St. Gallen, School of Finance, revised Apr 2017.
  21. Ranaldo, Angelo & Wrampelmeyer, Jan, 2016. "Unsecured and Secured Funding," Working Papers on Finance 1616, University of St. Gallen, School of Finance.
  22. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
  23. Ranaldo, Angelo & Reynard, Samuel, 2013. "Monetary Policy Effects on Long-term Rates and Stock Prices," Working Papers on Finance 1322, University of St. Gallen, School of Finance.
  24. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2013. "Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals," Working Papers on Finance 1318, University of St. Gallen, School of Finance.
  25. Mancini, Loreano & Ranaldo, Angelo & Wrampelmeyer, Jan, 2013. "The Euro Interbank Repo Market," Working Papers on Finance 1316, University of St. Gallen, School of Finance, revised Sep 2015.
  26. Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul, 2013. "Understanding FX Liquidity," Working Papers on Finance 1315, University of St. Gallen, School of Finance, revised Apr 2015.
  27. Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012. "Risk spillovers in international equity portfolios," Working Papers 2012-03, Swiss National Bank.
  28. Francis Breedon & Angelo Ranaldo, 2011. "Intraday patterns in FX returns and order flow," Working Papers 2011-04, Swiss National Bank.
  29. Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  30. Tommaso Mancini Griffoli & Angelo Ranaldo, 2010. "Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity," Working Papers 2010-14, Swiss National Bank.
  31. Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2010. "Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums," Working Papers 2010-03, Swiss National Bank.
  32. Paul Soderlind & Angelo Ranaldo & Charlotte Christiansen, 2009. "The Time-Varying Systematic Risk of Carry Trade Strategies," University of St. Gallen Department of Economics working paper series 2009 2009-06, Department of Economics, University of St. Gallen.
  33. Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2009. "Forecasting realized (co)variances with a block structure Wishart autoregressive model," Working Papers 2009-03, Swiss National Bank.
  34. Thomas Jordan & Angelo Ranaldo & Paul Soderlind, 2009. "The Implementation of SNB Monetary Policy," University of St. Gallen Department of Economics working paper series 2009 2009-08, Department of Economics, University of St. Gallen.
  35. Fischer, Andreas & Ranaldo, Angelo, 2008. "Does FOMC News Increase Global FX Trading?," CEPR Discussion Papers 6753, C.E.P.R. Discussion Papers.
  36. Charlotte Christiansen & Angelo Ranaldo, 2007. "Extreme Coexceedances in New EU Member States’ Stock Markets," CREATES Research Papers 2007-34, Department of Economics and Business Economics, Aarhus University.
  37. Angelo Ranaldo & Dr. Enzo Rossi, 2007. "The reaction of asset markets to Swiss National Bank communication," Working Papers 2007-11, Swiss National Bank.
  38. Angelo Ranaldo, 2007. "Segmentation and Time-of-Day Patterns in Foreign Exchange Markets," Working Papers 2007-03, Swiss National Bank.
  39. Angelo Ranaldo & Paul Söderlind, 2007. "Safe Haven Currencies," University of St. Gallen Department of Economics working paper series 2007 2007-22, Department of Economics, University of St. Gallen.
  40. Angelo Ranaldo, 2006. "Intraday Market Dynamics Around Public Information Arrivals," Working Papers 2006-11, Swiss National Bank.
  41. Christiansen, Charlotte & Ranaldo, Angelo, 2005. "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Finance Research Group Working Papers F-2005-05, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  42. Angelo Ranaldo, 2002. "Market Dynamics Around Public Information Arrivals," FAME Research Paper Series rp45, International Center for Financial Asset Management and Engineering.
    repec:qmw:qmwecw:wp694 is not listed on IDEAS

Articles

  1. Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
  2. Mario Di Filippo & Angelo Ranaldo & Jan Wrampelmeyer, 2022. "Unsecured and Secured Funding," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 651-662, March.
  3. Ranaldo, Angelo & Somogyi, Fabricius, 2021. "Asymmetric information risk in FX markets," Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
  4. Ranaldo, Angelo & Schaffner, Patrick & Vasios, Michalis, 2021. "Regulatory effects on short-term interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 750-770.
  5. Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2020. "OTC premia," Journal of Financial Economics, Elsevier, vol. 136(1), pages 86-105.
  6. Patrick Schaffner & Angelo Ranaldo & Kostas Tsatsaronis, 2019. "Euro repo market functioning: collateral is king," BIS Quarterly Review, Bank for International Settlements, December.
  7. Farshid Abdi & Angelo Ranaldo, 2017. "A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices," Review of Financial Studies, Society for Financial Studies, vol. 30(12), pages 4437-4480.
  8. Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2016. "The Euro Interbank Repo Market," Review of Financial Studies, Society for Financial Studies, vol. 29(7), pages 1747-1779.
  9. Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo, 2015. "Precious metals under the microscope: a high-frequency analysis," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 743-759, May.
  10. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
  11. Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2013. "Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums," Journal of Finance, American Finance Association, vol. 68(5), pages 1805-1841, October.
  12. Francis Breedon & Angelo Ranaldo, 2013. "Intraday Patterns in FX Returns and Order Flow," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 953-965, August.
  13. Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  14. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
  15. M. Bonato & M. Caporin & A. Ranaldo, 2012. "A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 761-774, October.
  16. Fischer, Andreas M. & Ranaldo, Angelo, 2011. "Does FOMC news increase global FX trading?," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2965-2973, November.
  17. Mario Meichle & Angelo Ranaldo & Attilio Zanetti, 2011. "Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 435-453, December.
  18. Christiansen, Charlotte & Ranaldo, Angelo & Söderlind, Paul, 2011. "The Time-Varying Systematic Risk of Carry Trade Strategies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(4), pages 1107-1125, August.
  19. Angelo Ranaldo & Paul Söderlind, 2010. "Safe Haven Currencies," Review of Finance, European Finance Association, vol. 14(3), pages 385-407.
  20. Ranaldo, Angelo & Rossi, Enzo, 2010. "The reaction of asset markets to Swiss National Bank communication," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 486-503, April.
  21. Angelo Ranaldo & Paul Söderlind, 2009. "Editorial," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(4), pages 333-334, December.
  22. Christiansen, Charlotte & Ranaldo, Angelo, 2009. "Extreme coexceedances in new EU member states' stock markets," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1048-1057, June.
  23. Thomas Jordan & Angelo Ranaldo & Paul Söderlind, 2009. "The implementation of SNB monetary policy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(4), pages 349-359, December.
  24. Ranaldo, Angelo, 2009. "Segmentation and time-of-day patterns in foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2199-2206, December.
  25. Angelo Ranaldo & Rainer Häberle, 2008. "Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance," European Financial Management, European Financial Management Association, vol. 14(1), pages 55-81, January.
  26. Charlotte Christiansen & Angelo Ranaldo, 2007. "Realized bond—stock correlation: Macroeconomic announcement effects," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(5), pages 439-469, May.
  27. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.

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Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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  2. Number of Distinct Works, Weighted by Simple Impact Factor
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  4. Number of Citations, Discounted by Citation Age
  5. Number of Citations, Weighted by Simple Impact Factor
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  7. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
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  9. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  10. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
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  12. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
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  20. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  21. Closeness measure in co-authorship network
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  23. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 47 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (18) 2007-07-20 2008-04-12 2009-04-25 2010-09-18 2011-04-09 2012-04-23 2013-10-05 2013-10-25 2014-06-22 2016-02-23 2018-02-26 2018-05-21 2019-01-28 2019-01-28 2019-12-02 2022-01-24 2022-05-23 2022-12-19. Author is listed
  2. NEP-MON: Monetary Economics (17) 2007-07-20 2008-04-12 2009-04-25 2009-05-02 2010-04-17 2011-04-09 2013-10-05 2013-10-05 2013-12-29 2016-01-18 2016-01-29 2016-10-30 2019-06-10 2019-12-02 2020-09-28 2022-05-23 2022-12-12. Author is listed
  3. NEP-FMK: Financial Markets (9) 2009-05-02 2011-11-21 2012-05-02 2013-10-05 2018-09-03 2019-01-28 2019-12-02 2022-05-23 2022-12-12. Author is listed
  4. NEP-BAN: Banking (8) 2013-10-05 2016-08-21 2019-06-10 2022-05-23 2022-05-23 2022-12-12 2022-12-12 2023-02-13. Author is listed
  5. NEP-CBA: Central Banking (8) 2007-07-20 2008-04-12 2009-04-25 2009-05-02 2013-10-05 2013-12-29 2016-01-29 2020-09-28. Author is listed
  6. NEP-MAC: Macroeconomics (8) 2009-05-02 2013-12-29 2016-08-21 2016-10-30 2018-05-14 2019-12-02 2019-12-02 2020-09-28. Author is listed
  7. NEP-IFN: International Finance (6) 2007-07-20 2008-04-12 2010-04-17 2010-04-17 2016-10-30 2022-12-12. Author is listed
  8. NEP-RMG: Risk Management (6) 2007-07-20 2009-05-02 2009-07-03 2012-05-02 2022-12-19 2023-02-13. Author is listed
  9. NEP-CFN: Corporate Finance (3) 2008-06-27 2011-07-13 2019-12-02
  10. NEP-EEC: European Economics (3) 2008-06-27 2013-10-05 2016-08-21
  11. NEP-PAY: Payment Systems & Financial Technology (3) 2022-01-24 2022-05-23 2022-12-12
  12. NEP-ECM: Econometrics (2) 2009-07-03 2016-02-23
  13. NEP-FOR: Forecasting (2) 2011-11-21 2012-05-02
  14. NEP-TRA: Transition Economics (2) 2008-06-27 2008-08-06
  15. NEP-CSE: Economics of Strategic Management (1) 2012-05-02
  16. NEP-CUL: Cultural Economics (1) 2022-12-12
  17. NEP-DEM: Demographic Economics (1) 2022-07-18
  18. NEP-DGE: Dynamic General Equilibrium (1) 2016-01-29
  19. NEP-EUR: Microeconomic European Issues (1) 2018-05-21
  20. NEP-FDG: Financial Development & Growth (1) 2022-05-23
  21. NEP-GER: German Papers (1) 2016-07-16
  22. NEP-OPM: Open Economy Macroeconomics (1) 2022-12-12
  23. NEP-SEA: South East Asia (1) 2021-12-06

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