Prof. Dr. Angelo Ranaldo - Publikationen

Privatdozent (lecturer) in Finance
+41 71 224 70 10
Details Lehre Publikationen

Journal Articles (11)

Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland
Angelo Ranaldo, Mario Meichle, Attilio Zanetti
In: Journal of Financial Markets and Portfolio Management, Vol. 25 (No. 4), p. 435-453, 2011.

Does FOMC news increase global FX trading? (Global FX Trading & FOMC Deliberations)
Angelo Ranaldo, Andreas M. Fischer
In: Journal of Banking and Finance, Vol. 35 (No. 11), p. 2965-2973, 2011.

The Time-Varying Systematic Risk of Carry Trade Strategies
Angelo Ranaldo, Charlotte Christiansen, Paul Söderlind
In: Journal of Financial and Quantitative Analysis, Vol. 46 (No. 4), p. 1107-1125, 2011.

Extreme coexceedances in new EU member states' stock markets
Angelo Ranaldo, Charlotte Christiansen
In: Journal of Banking and Finance, Vol. 33 (No. 6), p. 1048-1057, 2011.

Safe Haven Currencies
Angelo Ranaldo, Paul Söderlind
In: Review of Finance, Vol. 14 (No. 3), p. 385-407, 2010.

The reaction of asset markets to Swiss National Bank communication
Angelo Ranaldo, Enzo Rossi
In: Journal of International Money and Finance, Vol. 29 (No. 3), p. 486-503, 2010.

Angelo Ranaldo, Paul Söderlind
In: Financial Markets and Portfolio Management, Vol. 23 (No. 4), p. 333-334, 2009.

The implementation of SNB monetary policy
Angelo Ranaldo, Thomas Jordan, Paul Söderlind
In: Journal of Financial Markets and Portfolio Management, Vol. 23 (No. 4), p. 349-359, 2009.

Segmentation and time-of-day patterns in foreign exchange markets
Angelo Ranaldo
In: Journal of Banking and Finance, Vol. 33 (No. 12), p. 2199-2206, 2009.

Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance
Angelo Ranaldo, Rainer Haeberle
In: European Financial Management, Vol. 14 (No. 1), p. 55-81, 2008.

Realized bond—stock correlation: Macroeconomic announcement effects
Angelo Ranaldo, Charlotte Christiansen
In: Journal of Futures Markets, Vol. 27 (No. 5), p. 439-469, 2007.

Kapitel in Büchern (2)

How to Price Hedge Funds: From the Two- to the Four-Moment CAPM
Angelo Ranaldo, Laurent Favre
Herausgeber: M. Busack, D.G. Kaiser
In: Handbuch Alternative Investments, Gabler Betriebswirtschaftlicher Verlag, Wiesbaden, p. 505-529, 2011.

Intraday Market Dynamics Around Public Information Arrivals
Angelo Ranaldo
Herausgeber: Greg N. Gregoriou, François-Serge Lhabitant
In: Stock Market Liquidity: Implications for Market Microstructure and Asset Prices, Wiley Finance, Corporate Headquarters Hoboken, NJ 07030-5774, p. 187-225, 2008.

Habilitationen (1)

Essays in Financial Markets
Angelo Ranaldo
University of Zurich, 2011.

Working Papers (7)

Intraday Pattern in FX Returns and Order Flow
Angelo Ranaldo, Francis Breedon
Swiss National Bank, No. 4, 2011.

On the Predictability of Stock Prices: a Case for High and Low Prices
Angelo Ranaldo, Massimiliano Caporin, Paolo Santucci de Magistris
Swiss National Bank, No. 11, 2011.

A Forecast Based Comparison of Restricted Realized Covariance Models
Angelo Ranaldo, Matteo Bonato, Massimiliano Caporin
SSRN, No. 1557343, 2010.

Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity
Angelo Ranaldo, Tommaso Mancini Griffoli
Swiss National Bank, No. 14, 2010.

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
Angelo Ranaldo, Loriano Mancini, Jan Wrampelmeyer
Swiss National Bank, No. 3, 2010.

Forecasting realized (co)variances with a block structure Wishart autoregressive model
Matteo Bonato, Massimiliano Caporin, Angelo Ranaldo
Swiss National Bank, No. 13, 2009.

Monetary Policy Effects on Long-Term Rates and Stock Prices
Angelo Ranaldo, Samuel Reynard
SSRN, No. 1099957, 2008.