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Angelo Ranaldo
Title
Prof. Dr.
Last Name
Ranaldo
First name
Angelo
Email
angelo.ranaldo@unisg.ch
Phone
+41 71 224 7010
RePec
http://ideas.repec.org/e/pra161.html
SSRN
http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=253421
Now showing
1 - 10 of 34
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PublicationEuro repo market functioning: collateral is kingRepo markets play a major role in redistributing liquidity and collateral between financial institutions. A unique transaction-level database reveals how the euro-denominated repo market has performed since the mid-2000s. We find that the market recovered strongly from periods of intense stress, even though it remains segmented according to the home country of the collateral used. In recent years, signs of segmentation have increased as the main motivation of repo market participants has shifted from funding to the trading of collateral.Type: journal articleJournal: BIS Quarterly ReviewVolume: December 2019
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PublicationUniform-Price Auctions for Swiss Government Bonds: Origin and EvolutionThe Swiss Treasury has used the sealed-bid, uniform-price auction format for allocating government bonds since 1980. In this study, we examine the authorities' motivation for choosing the uniform-price auction. In addition, we describe how the institutional set-up evolved over time. It includes bidding requirements, class of bidders, pre-auction information, the bidding process, the determination of the cut-off price and the release of post-auction information. Finally, we provide the details of each of the 356 auctions that were held until and including 2014.Type: journal articleJournal: SNB Economic StudiesIssue: 10/2016
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PublicationRisk spillovers in international equity portfoliosWe define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination of daily realized variances and covariances extracted froma high frequency dataset, which includes equities and currencies. In this framework, we focus on the risk spillovers across equities within the same sector (sector spillover), and fromcurrencies to international equities (currency spillover). We compare these specific risk spillovers to a more general framework (full spillover) whereby we allow for lagged dependence across all variances and covariances. The forecasting analysis shows that considering only sector- and currency-risk spillovers, rather than full spillovers, improves performance, both in economic and statistical terms.Type: journal articleJournal: Journal of Empirical FinanceVolume: 2013Issue: 24
Scopus© Citations 9 -
PublicationOn the Predictability of Stock Prices: a Case for High and Low PricesContrary to the common wisdom that asset prices are barely possible to forecast, we show that that high and low prices of equity shares are largely predictable. We propose to model them using a simple implementation of a fractional vector autoregressive model with error correction (FVECM). This model captures two fundamental patterns of high and low prices: their cointegrating relationship and the long memory of their difference (i.e. the range), which is a measure of realized volatility. Investment strategies based on FVECM predictions of high/low US equity prices as exit/entry signals deliver a superior performance even on a risk-adjusted basis.Type: journal articleJournal: Journal of Banking and FinanceVolume: 37Issue: 12
Scopus© Citations 31 -
PublicationA forecast-based comparison of restricted Wishart autoregressive models for realized covariance matricesModels for realized covariance matrices may suffer from the curse of dimensionality as more traditional multivariate volatility models (such as GARCH and stochastic volatility). Within the class of realized covariance models, we focus on the Wishart specification introduced by C. Gourieroux, J. Jasiak, and R. Sufana [2009. The Wishart autoregressive process of multivariate stochastic volatility. Journal of Econometrics 150, no. 2: 167-81] and analyze here the forecasting performances of the parametric restrictions discussed in M. Bonato [2009. Estimating the degrees of freedom of the realized volatilityWishart autoregressive model. Manuscript available at http://ssrn.com/abstract=1357044], which are motivated by asset features such as their economic sector and book-to-market or price-to-earnings ratios, among others. Our purpose is to verify if restricted model forecasts are statistically equivalent to full-model specification, a result that would support the use of restrictions when the problem cross-sectional dimension is large.Type: journal articleJournal: The European Journal of FinanceVolume: 2012Issue: 18
Scopus© Citations 4 -
PublicationThe Time-Varying Systematic Risk of Carry Trade Strategies(Cambridge University Press, 2011-08-01)
Scopus© Citations 107 -
PublicationSafe Haven CurrenciesWe study high-frequency exchange rates over the period 1993-2008. Based on the recent literature on volatility and liquidity risk premia, we use a factor model to capture linear and non-linear linkages between currencies, stock and bond markets as well as proxies for market volatility and liquidity. We document that the Swiss franc and Japanese yen appreciate against the US dollar when US stock prices decrease and US bond prices and FX volatility increase. These safe haven properties materialise over different time granularities (from a few hours to several days) and non-linearly with the volatility factor and during crises. The latter effects were particularly discernible for the yen during the recent financial crisis.Type: journal articleJournal: Review of FinanceVolume: 14Issue: 3
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PublicationType: journal articleJournal: Financial Markets and Portfolio ManagementVolume: 23Issue: 4
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PublicationNon-Standard ErrorsIn statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation acrossresearchers adds uncertainty: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sample. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.