Federico M. Bandi

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

18

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SSRN CITATIONS
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Top 6,484

in Total Papers Citations

106

CROSSREF CITATIONS

97

Scholarly Papers (18)

1.

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) - Laboratory for Financial Engineering and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,195 (25,376)
Citation 6

Abstract:

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

2.

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 844 (41,587)
Citation 22

Abstract:

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

3.

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 770 (46,986)
Citation 57

Abstract:

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volatility, microstructure noise, high-frequency data

4.

Business-cycle consumption risk and asset prices

Number of pages: 42 Posted: 10 Oct 2013 Last Revised: 02 Sep 2021
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 706 (52,812)
Citation 1

Abstract:

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C-CAPM, business-cycle consumption, aggregation

5.

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 660 (57,673)
Citation 2

Abstract:

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Realized volatility, implied volatility, predictive regressions, long memory

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 588 (66,721)
Citation 26

Abstract:

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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 473 (87,306)
Citation 22

Abstract:

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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 337 (128,445)
Citation 10

Abstract:

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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 University of Auckland Business School
Downloads 287 (151,964)
Citation 3

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

10.

Uncertainty trends

Number of pages: 65 Posted: 14 Oct 2018 Last Revised: 02 Sep 2021
Federico M. Bandi, Lorenzo Bretscher and Andrea Tamoni
Johns Hopkins University - Carey Business School, Swiss Finance Institute - HEC Lausanne and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 199 (216,315)

Abstract:

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

11.

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 178 (238,436)
Citation 4

Abstract:

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market liquidity, funding liquidity, staleness, joint asymptotics

12.

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 141 (288,535)
Citation 19

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13.

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 138 (293,505)
Citation 2

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Volume, Liquidity, Short-Term Options

14.

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 94 (383,478)
Citation 5

Abstract:

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

15.

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 University of Auckland Business School
Downloads 83 (413,850)

Abstract:

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

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 72 (448,281)

Abstract:

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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:

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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:

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