Angelo Ranaldo

University of St. Gallen

Full professor

Swiss Institute of Banking and Finance s/bf-HSG

Unterer Graben 21

St. Gallen, 9000

Switzerland

http://www.sbf.unisg.ch/Lehrstuehle/Lehrstuhl_Ranaldo/Homepage_Ranaldo.aspx

SCHOLARLY PAPERS

52

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Scholarly Papers (52)

1.

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 29 Nov 2021
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, Yun Jiang 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, Prokopczuk 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 (IMF), 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, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, 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, Lum University Giuseppe Degennaro, 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, affiliation not provided to SSRN, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of 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, Vrije Universiteit 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, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), 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 Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, 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, Cornell University, 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, Justus Liebig University Giessen, 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 - Faculty of Economics and Administration, 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), Vrije Universiteit 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, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, 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), Vrije Universiteit 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 Graduate School of Finance (VGSF), 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, Vrije Universiteit Amsterdam, Auburn University, 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, Vrije Universiteit 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, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Stockholm School of Economics, University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, 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, Leibniz University Hannover, Pontifical Catholic University of Chile and Aalto University
Downloads 2,702 (6,208)

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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 2,419 (7,376)
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 2,056 (9,587)
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 1,337 (18,556)
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 309 (125,307)
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

Number of pages: 33 Posted: 26 Aug 2009
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 5 (797,008)
Citation 10
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carry trade, factor model, smooth transition regression, time-varying betas

5.

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 1,307 (19,508)
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

6.

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 1,252 (20,838)
Citation 3

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

7.

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 1,203 (22,115)
Citation 38

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

8.

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 University of St. Gallen
Downloads 1,170 (23,048)
Citation 3

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

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 776 (40,625)
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 359 (106,152)
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.

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 1,053 (26,858)
Citation 23

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

11.

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 1,010 (28,525)
Citation 11

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Foreign exchange, Microstructure, Order flow, Liquidity

12.
Downloads 983 ( 29,618)
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 973 (29,628)
Citation 20

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

Safe Haven Currencies

Number of pages: 31 Posted: 15 Apr 2009
Angelo Ranaldo and Paul Söderlind
University of St. Gallen and University of St. Gallen
Downloads 10 (754,100)
Citation 26
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crisis episodes, high-frequency data, non-linear effects

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 921 (32,061)
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 33 (580,512)
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14.
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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 687 (47,840)

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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 113 (308,951)
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 373 (101,695)
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 353 (108,205)
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

16.

Order Aggressiveness

Number of pages: 67 Posted: 11 Jan 2001
Angelo Ranaldo
University of St. Gallen
Downloads 700 (47,252)

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limit order book; limit orders; microstructure; order aggressiveness

17.

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 667 (50,399)
Citation 13

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

18.

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 507 (71,381)

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

19.

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 457 (80,984)
Citation 5

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

20.

Safe Asset Carry Trade

University of St.Gallen, School of Finance Research Paper No. 2019/09
Number of pages: 64 Posted: 25 Jul 2019 Last Revised: 17 Jun 2021
Benedikt Ballensiefen and Angelo Ranaldo
University of St. Gallen - School of Finance and University of St. Gallen
Downloads 428 (87,473)
Citation 1

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

21.

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 420 (89,382)
Citation 1

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

22.

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 401 (94,286)

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

23.

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 378 (100,936)
Citation 1

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

24.

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 339 (114,010)
Citation 2

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

25.

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 312 (124,695)
Citation 1

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

26.

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 303 (128,676)
Citation 18

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

27.

Liquidity in the Global Foreign Exchange Market

University of St.Gallen, School of Finance Research Paper No. 2018/23
Number of pages: 39 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 289 (135,310)
Citation 6

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

28.

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 260 (150,768)
Citation 3

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

29.

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 249 (157,399)
Citation 7

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

30.

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 247 (158,656)
Citation 2

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

31.

Monetary Policy Disconnect

University of St.Gallen, School of Finance Research Paper No. 2020/03
Number of pages: 95 Posted: 21 Sep 2020 Last Revised: 17 May 2021
University of St. Gallen - School of Finance, University of St. Gallen and University of St. Gallen
Downloads 201 (192,852)

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Interest rate pass-through, Monetary Policy, disconnect, short-term interest rates, repo

32.

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 173 (220,111)
Citation 7

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

33.

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 163 (231,488)

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

34.

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 138 (265,233)

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expectations hypothesis, repo, forward premium, interest rates

35.
Downloads 122 (290,999)
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 120 (295,885)

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Trading volume, FOMC, Global linkages

Does FOMC News Increase Global FX Trading?

Number of pages: 39 Posted: 10 Jun 2008
Andreas M. Fischer and Angelo Ranaldo
Swiss National Bank and University of St. Gallen
Downloads 2 (825,076)
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FOMC, Global linkages, Trading volume

36.

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 115 (303,503)

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37.

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 111 (311,134)

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

38.

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 110 (313,135)

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

39.

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 110 (313,135)
Citation 14

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

40.

Quantitative Easing and the Safe Asset Illusion

Number of pages: 52 Posted: 11 Jun 2021
University of St. Gallen - School of Finance, European Central Bank (ECB), University of St. Gallen and European Central Bank (ECB)
Downloads 93 (349,629)

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

41.

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 88 (361,944)

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

42.

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 82 (377,753)
Citation 1

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43.

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, European Central Bank (ECB) and University of St. Gallen
Downloads 79 (386,127)

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

44.

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 73 (403,708)

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Realized covariance, WAR, HAR, multivariate volatility forecasts

45.

Constrained Dealers and Market Efficiency

University of St.Gallen, School of Finance Research Paper No. 2021/16
Number of pages: 56 Posted: 05 Nov 2021 Last Revised: 30 Nov 2021
Bank for International Settlements, University of St. Gallen, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and University of St. Gallen
Downloads 50 (489,676)

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

46.

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 44 (511,617)
Citation 2

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Government Bonds, Treasury Auctions, Uniform-price Auction

47.

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 39 (535,290)
Citation 6

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

48.

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 14 (694,176)

Abstract:

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

49.

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

50.

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

51.

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

52.

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