Publikationen Prof. Angelo Ranaldo

Publikationen in begutachteten akademischen Zeitschriften

2019	Cenedese, G., Ranaldo, A., Vasios, M. (2019): «OTC Premia», forthcoming Journal of Financial Economics, available online.
2017	Abdi, F., Ranaldo, A. (2017): «A Simple Estimation of Bid‐Ask Spreads from Daily Close, High, and Low Prices», Review of Financial Studies, 30 (12), 4437-4480.
2016	2016 Ranaldo, A., E. Rossi (2016): «Uniform-Price Auctions for Swiss Government Bonds: Origin and Evolution», SNB Economic Studies, 10/2016.
2016	Mancini, L., A. Ranaldo, J. Wrampelmeyer (2016): «The Euro Interbank Repo Market», Review of Financial Studies, 29 (7), 1747-1779.
2015	Karnaukh, N., A. Ranaldo, P. Söderlind (2015): «Understanding FX Liquidity», Review of Financial Studies, 28 (11), 3073-3108.
2014	Caporin, M., A. Ranaldo, G. G. Velo (2014): «Precious metals under the microscope: A high-frequency analysis», Quantitative Finance, Volume 15, Issue 5, 743-759.
2013	Caporin, M., A. Ranaldo, P. Santucci de Magistris (2013): «On the Predictability of Stock Prices: a Case for High and Low Prices», Journal of Banking & Finance, 37(12), 5132-5146.
2013	Bonato, M., M. Caporin, A. Ranaldo (2013): «Risk spillovers in international equity portfolios», Journal of Empirical Finance, 24, 121-137.
2012	Bonato, M., Caporin, M., Ranaldo, A. (2012): «A Forecast-Based Comparison of Restricted Wishart Autoregressive Models for Realized Covariance Matrices», The European Journal of Finance, 18 (9), 761-774.
2012	Mancini, L., A. Ranaldo, J. Wrampelmeyer (2012): «Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums». Journal of Finance, Volume 68, Issue 5, 1805-1841.
2012	Breedon, F., A. Ranaldo (2012): «Intraday Patterns in FX Returns & Order Flow», Journal of Money, Credit & Banking, Volume 45, Issue 5, 953-965.
2011	Meichle, M., A. Ranaldo, A. Zanetti (2011): «Do Financial Market Variables Help Predict Swiss Turning Points?». Journal of Financial Markets & Portfolio Management. 25(4), 435-453.
2011	Fischer, A., A. Ranaldo (2011): «Does FOMC News Increase Global FX Trading?». Journal of Banking & Finance 35(11), 2965-2973.
2011	Christiansen, C., A. Ranaldo, P. Söderlind (2011): «The Time-Varying Systematic Risk of Carry Trade Strategies». Journal of Financial & Quantitative Analysis 46(4), 1107-1125.
2010	Ranaldo, A., P, Söderlind (2010): «Safe Haven Currencies». Review of Finance 14(3), 385–407. (Lead Article).
2010	Ranaldo, A., E. Rossi (2010): «The Reaction of Financial Assets to Swiss National Bank Communication». Journal of International Money & Finance 29(3), 486-503.
2009	Ranaldo, A. (2009): «Segmentation & Time-of-Day Patterns in Foreign Exchange Markets». Journal of Banking & Finance 33(12), 2199-2206.
2009	Ranaldo, A., P. Söderlind (2009): «Editorial». Journal of Financial Markets & Portfolio Management 23(4), 333-334.
2009	Jordan, T., A. Ranaldo, P. Söderlind (2009): «Implementation of the SNB Monetary Policy». Journal of Financial Markets & Portfolio Management 23(4), 349-359.
2009	Christiansen, C., A. Ranaldo (2009): «Extreme Coexceedances in New EU Member States' Stock Markets». Journal of Banking & Finance 33(6), 1048-1057.
2008	Ranaldo, A., R. Haeberle (2008): «Wolf in Sheep’s Clothing: the Active Investment Strategies Behind Index Performance». European Financial Management 14(1), 55-81.
2007	Christiansen, C., A. Ranaldo (2007): «Realized Stock-Bond Correlation: Macroeconomic Announcement Effects». Journal of Futures Markets 27(5), 439-469.
2005	Ranaldo, A., L. Favre (2005): «Hedge Fund Performance & Higher-Moment Market Models». Journal of Alternative Investments, Winter Issue 8(3), 37-51.
2004	Ranaldo, A. (2004): «Order Aggressiveness in Limit Order Book Markets». Journal of Financial Markets 7(1), 53-74.
2002	Ranaldo, A. (2002): «Transaction Costs on the Swiss Stock Exchange». Journal of Financial Markets & Portfolio Management 16(1), 53-68.
2001	Ranaldo, A. (2001): «Intraday Market Liquidity on the Swiss Stock Exchange». Journal of Financial Markets & Portfolio Management 15(3), 309-327.
2001	Pasquier, J., A. Ranaldo, L. Chammartin (2001) : «Le Financement du Sport». Swiss Journal of Business Research & Practice (Die Unternehmung) 01/2001. Journal of Financial & Quantitative Analysis 46(4), 1107–1125.