Federico M. Bandi

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 9,229

SSRN RANKINGS

Top 9,229

in Total Papers Downloads

5,588

SSRN CITATIONS
Rank 6,970

SSRN RANKINGS

Top 6,970

in Total Papers Citations

80

CROSSREF CITATIONS

94

Scholarly Papers (18)

1.

The Scale of Predictability

Number of pages: 67 Posted: 05 Dec 2012 Last Revised: 17 Jul 2018
Federico M. Bandi, Benoit Perron, Andrea Tamoni and Claudio Tebaldi
Johns Hopkins University - Carey Business School, University of Montreal - Department of Economics, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 785 (34,680)
Citation 21

Abstract:

Loading...

predictability, frequency, aggregation, risk-return trade-off

2.

Separating Microstructure Noise from Volatility

Number of pages: 49 Posted: 02 Jan 2005
Federico M. Bandi and Jeffrey R. Russell
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 721 (38,921)
Citation 45

Abstract:

Loading...

volatility, microstructure noise, high-frequency data

3.

Spectral Factor Models

Johns Hopkins Carey Business School Research Paper No. 18-17
Number of pages: 52 Posted: 13 Nov 2018 Last Revised: 14 Aug 2020
Federico M. Bandi, Shomesh Chaudhuri, Andrew W. Lo and Andrea Tamoni
Johns Hopkins University - Carey Business School, Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 720 (39,123)
Citation 5

Abstract:

Loading...

systematic risk, factor models, investment horizon, cross-sectional pricing

4.

A Fundamentally Different Interpretation of the Relation between Implied and Realized Volatility

Number of pages: 47 Posted: 02 Mar 2002
Federico M. Bandi and Benoit Perron
Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics
Downloads 651 (44,650)
Citation 2

Abstract:

Loading...

Realized volatility, implied volatility, predictive regressions, long memory

5.

Business-cycle consumption risk and asset prices

Number of pages: 42 Posted: 10 Oct 2013 Last Revised: 22 Jul 2020
Federico M. Bandi and Andrea Tamoni
Johns Hopkins University - Carey Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 582 (51,742)
Citation 1

Abstract:

Loading...

C-CAPM, business-cycle consumption, aggregation

6.

Nonparametric Stochastic Volatility

Number of pages: 43 Posted: 12 Jul 2008 Last Revised: 19 Jul 2018
Federico M. Bandi and Roberto Renò
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 558 (54,510)
Citation 24

Abstract:

Loading...

Spot variance, stochastic volatility, jump, microstructure

7.

Price and Volatility Co-Jumps

Number of pages: 75 Posted: 03 Mar 2012 Last Revised: 09 Feb 2014
Federico M. Bandi and Roberto Renò
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 423 (76,763)
Citation 20

Abstract:

Loading...

Stochastic volatility, jumps in prices, jumps in volatility, co-jumps, infinitesimal cross-moments, return risk premia, variance risk premia

8.

EXcess Idle Time

Number of pages: 64 Posted: 12 Jan 2013 Last Revised: 25 Apr 2017
Federico M. Bandi, Davide Pirino and Roberto Renò
Johns Hopkins University - Carey Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 294 (115,880)
Citation 4

Abstract:

Loading...

Liquidity, asymmetric information, transaction cost, liquidity premium

9.

Fully Nonparametric Estimation of Scalar Diffusion Models

Number of pages: 48 Posted: 14 Oct 2001
Federico M. Bandi and Peter C. B. Phillips
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads 249 (137,693)
Citation 2

Abstract:

Loading...

Diffusion, Drift, Infill Asymptotics, Kernel Density, Local Time, Long Span Asymptotics, Martingale, Nonparametric Estimation, Semimartingale, Stochastic Differential Equation

10.

Time-Varying Leverage Effects

Number of pages: 37 Posted: 02 Jun 2010
Federico M. Bandi and Roberto Renò
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 127 (248,647)
Citation 15

Abstract:

Loading...

11.

Uncertainty trends, valuation ratios and predictability

Number of pages: 65 Posted: 14 Oct 2018 Last Revised: 17 Sep 2020
Federico M. Bandi, Lorenzo Bretscher and Andrea Tamoni
Johns Hopkins University - Carey Business School, London Business School - Department of Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 96 (302,704)

Abstract:

Loading...

uncertainty trends, valuation ratios, endogenous growth, price rigidities, financial uncertainty

12.

Systematic Staleness

Number of pages: 39 Posted: 25 Jul 2018 Last Revised: 17 Jul 2020
Federico M. Bandi, Davide Pirino and Roberto Renò
Johns Hopkins University - Carey Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 87 (322,137)
Citation 3

Abstract:

Loading...

market liquidity, funding liquidity, staleness, joint asymptotics

13.

Data-Driven Bandwidth Selection for Nonparametric Nonstationary Regressions

Number of pages: 47 Posted: 29 Jun 2011 Last Revised: 04 Jul 2011
Federico M. Bandi, Valentina Corradi and Daniel Wilhelm
Johns Hopkins University - Carey Business School, University of Warwick - Department of Economics and University College London
Downloads 84 (329,179)
Citation 4

Abstract:

Loading...

data-driven bandwidth selection, non-stationary autoregression, nonparametric cointegration, recurrence

14.

A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions

Number of pages: 50 Posted: 18 Jul 2005
Federico M. Bandi and Peter C. B. Phillips
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads 80 (338,892)

Abstract:

Loading...

Diffusion, Drift Local time, Parametric estimation, Semimartingale, Stochastic differential equation

15.

Zeros

Number of pages: 22 Posted: 02 Jan 2020
Johns Hopkins University - Carey Business School, University of Manchester - Manchester Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 79 (341,428)
Citation 2

Abstract:

Loading...

Volume, Liquidity, Short-Term Options

16.

Possibly Nonstationary Cross-Validation

Johns Hopkins Carey Business School Research Paper No. 17-01
Number of pages: 61 Posted: 16 Mar 2016 Last Revised: 24 Apr 2017
Federico M. Bandi, Valentina Corradi and Daniel Wilhelm
Johns Hopkins University - Carey Business School, University of Surrey - School of Economics and University College London
Downloads 52 (423,096)

Abstract:

Loading...

17.

Past Market Variance and Asset Prices

CIRANO - Scientific Publications No. 2011s-16
Posted: 15 Feb 2011
Federico M. Bandi and Benoit Perron
Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics

Abstract:

Loading...

Asset prices, financial markets

18.

Long Memory and the Relation between Implied and Realized Volatility

Journal of Financial Econometrics, Vol. 4, Issue 4, pp. 636-670, 2006
Posted: 02 Apr 2008
Federico M. Bandi and Benoit Perron
Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics

Abstract:

Loading...

fractional cointegration' implied volatility' long memory' predictive regression' realized volatility