Federico M. Bandi

University of Chicago - Booth School of Business

Assistant Professor

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

14

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CITATIONS
Rank 3,130

SSRN RANKINGS

Top 3,130

in Total Papers Citations

175

Scholarly Papers (14)

1.

Separating Microstructure Noise from Volatility

AFA 2005 Philadelphia Meetings
Number of pages: 49 Posted: 02 Jan 2005
Federico M. Bandi and Jeffrey R. Russell
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 643 (30,119)
Citation 107

Abstract:

volatility, microstructure noise, high-frequency data

2.

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
University of Chicago - Booth School of Business and University of Montreal - Department of Economics
Downloads 609 (32,431)
Citation 1

Abstract:

Realized volatility, implied volatility, predictive regressions, long memory

3.

Nonparametric Stochastic Volatility

Number of pages: 44 Posted: 12 Jul 2008 Last Revised: 14 Jun 2010
Federico M. Bandi and Roberto Renò
University of Chicago - Booth School of Business and University of Verona - Department of Economics
Downloads 419 (45,158)
Citation 12

Abstract:

Spot variance, stochastic volatility, jump, microstructure

4.

The Scale of Predictability

Number of pages: 80 Posted: 05 Dec 2012 Last Revised: 06 Oct 2016
Federico M. Bandi, Benoit Perron, Andrea Tamoni and Claudio Tebaldi
University of Chicago - Booth School of Business, University of Montreal - Department of Economics, London School of Economics & Political Science (LSE) and Bocconi University, IGIER and CAREFIN
Downloads 359 (37,835)
Citation 4

Abstract:

long run, predictability, aggregation, risk-return trade-off

5.

Price and Volatility Co-Jumps

Number of pages: 75 Posted: 03 Mar 2012 Last Revised: 09 Feb 2014
Federico M. Bandi and Roberto Renò
University of Chicago - Booth School of Business and University of Verona - Department of Economics
Downloads 243 (68,138)
Citation 1

Abstract:

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

6.

The Horizon of Systematic Risk: A New Beta Representation

Number of pages: 80 Posted: 10 Oct 2013 Last Revised: 15 Jan 2017
Federico M. Bandi and Andrea Tamoni
University of Chicago - Booth School of Business and London School of Economics & Political Science (LSE)
Downloads 223 (58,073)

Abstract:

frequency-specific betas, C-CAPM, business-cycle consumption

7.

Fully Nonparametric Estimation of Scalar Diffusion Models

Cowles Foundation Discussion Paper No. 1332
Number of pages: 48 Posted: 14 Oct 2001
Federico M. Bandi and Peter C. B. Phillips
University of Chicago - Booth School of Business and Yale University - Cowles Foundation
Downloads 209 (112,498)
Citation 36

Abstract:

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

8.

Time-Varying Leverage Effects

Number of pages: 37 Posted: 02 Jun 2010
Federico M. Bandi and Roberto Renò
University of Chicago - Booth School of Business and University of Verona - Department of Economics
Downloads 89 (215,369)
Citation 2

Abstract:

9.

EXcess Idle Time

Number of pages: 46 Posted: 12 Jan 2013 Last Revised: 22 Apr 2013
Federico M. Bandi, Davide Pirino and Roberto Renò
University of Chicago - Booth School of Business, Scuola Normale Superiore and University of Verona - Department of Economics
Downloads 76 (174,131)

Abstract:

Liquidity, asymmetric information, transaction cost, liquidity premium

10.

A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions

Cowles Foundation Discussion Paper No. 1522
Number of pages: 50 Posted: 18 Jul 2005
Federico M. Bandi and Peter C. B. Phillips
University of Chicago - Booth School of Business and Yale University - Cowles Foundation
Downloads 64 (266,800)
Citation 12

Abstract:

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

11.

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
University of Chicago - Booth School of Business, University of Warwick - Department of Economics and University College London
Downloads 54 (268,907)

Abstract:

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

12.

Possibly Nonstationary Cross-Validation

Posted: 16 Mar 2016
Federico M. Bandi, Valentina Corradi and Daniel Wilhelm
University of Chicago - Booth School of Business, University of Surrey - School of Economics and University College London

Abstract:

13.

Past Market Variance and Asset Prices

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

Abstract:

Asset prices, financial markets

14.

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
University of Chicago - Booth School of Business and University of Montreal - Department of Economics

Abstract:

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