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Working papers

“Unsecured and Secured Funding” (with Mario Di Filippo Angelo Ranaldo)
University of St.Gallen, School of Finance Research Paper No. 2016/16
(Download)

“Fragility of Money Markets” (with Angelo Ranaldo and Matthias Rupprecht)
University of St.Gallen, School of Finance Research Paper No. 2016/01
(Download)

“Ambiguity and Reality” (with Fabio Trojani and Christian Wiehenkamp)
Swiss Finance Institute Research Paper No. 11-33
(Download | Internet Appendix | BibTeX)

Published and forthcoming papers

“The Euro Interbank Repo Market” (with Loriano Mancini and Angelo Ranaldo)
The Review of Financial Studies, forthcoming
(Download | Internet Appendix | BibTeX)

“Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums” (with Loriano Mancini and Angelo Ranaldo)
Journal of Finance, 2013, Vol. 68, No. 5, pp. 1805-1841
(Download | Internet Appendix | BibTeX | Fx liquidity index data | Related article on VoxEU.org)

“The Joint Dynamics of Hedge Fund Returns, Illiquidity, and Volatility”
The Journal of Alternative Investments, 2012, Vol. 15, No. 1, pp. 43-67
(Download | Internet Appendix | BibTeX)

 

Other publications

“Book Review on Darrell Duffie: How Big Banks Fail and What to Do About It”
Financial Markets and Portfolio Management, 2013, Vol. 27, No. 2, pp. 253-256
(Download)

“The foreign exchange market: Not as liquid as you may think” (with Loriano Mancini and Angelo Ranaldo)
VoxEU.org, September 3, 2012.
(Read and download)