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Bandi, Federico M.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,170 |
Total
Citations
166 |
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1.
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Bandi, Federico M.
University of Chicago - Booth School of Business Russell, Jeffrey R.
University of Chicago - Booth School of Business - Econometrics and Statistics
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613
(19,585)
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100
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volatility, microstructure noise, high-frequency data
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2.
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Bandi, Federico M.
University of Chicago - Booth School of Business Perron, Benoit
University of Montreal - Department of Economics
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587
(20,778)
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1
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Realized volatility, implied volatility, predictive regressions, long memory
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3.
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Bandi, Federico M.
University of Chicago - Booth School of Business Renò, Roberto
University of Siena - Department of Economics
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12 Jul 08
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Last Revised:
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14 Jun 10
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342
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13
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Spot variance, stochastic volatility, jump, microstructure
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4.
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Bandi, Federico M.
University of Chicago - Booth School of Business Phillips, Peter C. B.
Yale University - Cowles Foundation
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205
(73,737)
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36
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Diffusion, Drift, Infill Asymptotics, Kernel Density, Local Time, Long Span Asymptotics, Martingale, Nonparametric Estimation, Semimartingale, Stochastic Differential Equation
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5.
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Bandi, Federico M.
University of Chicago - Booth School of Business Perron, Benoit
University of Montreal - Department of Economics Tamoni, Andrea
London School of Economics & Political Science (LSE) Tebaldi, Claudio
Bocconi University - Department of Finance
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05 Dec 12
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Last Revised:
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15 Dec 12
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132
(110,350)
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1
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Predictability, Multiresolution, Permanent-transitory decomposition, Risk-return trade-off, long run
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6.
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Bandi, Federico M.
University of Chicago - Booth School of Business Renò, Roberto
University of Siena - Department of Economics
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74
(165,523)
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1
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7.
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Bandi, Federico M.
University of Chicago - Booth School of Business Renò, Roberto
University of Siena - Department of Economics
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03 Mar 12
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Last Revised:
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28 Feb 13
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72
(168,202)
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2
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Stochastic volatility, jumps in prices, jumps in volatility, co-jumps, implied volatility smirk, infinitesimal cross-moments
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8.
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Bandi, Federico M.
University of Chicago - Booth School of Business Phillips, Peter C. B.
Yale University - Cowles Foundation
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63
(181,016)
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12
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Diffusion, Drift Local time, Parametric estimation, Semimartingale, Stochastic differential equation
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9.
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Bandi, Federico M.
University of Chicago - Booth School of Business Pirino, Davide
Scuola Superiore Sant'Anna di Pisa Renò, Roberto
University of Siena - Department of Economics
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12 Jan 13
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Last Revised:
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22 Apr 13
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44
(213,803)
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Liquidity, asymmetric information, transaction cost, liquidity premium
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10.
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Bandi, Federico M.
University of Chicago - Booth School of Business Corradi, Valentina
University of Warwick - Department of Economics Wilhelm, Daniel
University of Chicago - Booth School of Business
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29 Jun 11
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Last Revised:
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04 Jul 11
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38
(226,285)
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data-driven bandwidth selection, non-stationary autoregression, nonparametric cointegration, recurrence
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11.
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Bandi, Federico M.
University of Chicago - Booth School of Business Perron, Benoit
University of Montreal - Department of Economics
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Asset prices, financial markets
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12.
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Bandi, Federico M.
University of Chicago - Booth School of Business Perron, Benoit
University of Montreal - Department of Economics
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fractional cointegration' implied volatility' long memory' predictive regression' realized volatility
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