Federico M. Bandi

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

21

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SSRN CITATIONS
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Top 5,761

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211

CROSSREF CITATIONS

94

Scholarly Papers (21)

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 1,405 (25,998)
Citation 31

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 897 (49,372)
Citation 30

Abstract:

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

3.

Business-cycle consumption risk and asset prices

Journal of Econometrics, Forthcoming
Number of pages: 61 Posted: 10 Oct 2013 Last Revised: 17 Apr 2023
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 856 (52,707)
Citation 1

Abstract:

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C-CAPM, business-cycle consumption, aggregation

4.

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 849 (53,310)
Citation 74

Abstract:

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volatility, microstructure noise, high-frequency data

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 691 (69,972)
Citation 2

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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 ESSEC Business School
Downloads 620 (80,279)
Citation 32

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 ESSEC Business School
Downloads 551 (93,170)
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.

Return predictability with endogenous growth

Number of pages: 69 Posted: 14 Oct 2018 Last Revised: 23 Nov 2022
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 395 (138,466)

Abstract:

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

9.

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 ESSEC Business School
Downloads 367 (150,360)
Citation 15

Abstract:

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Liquidity, asymmetric information, transaction cost, liquidity premium

10.

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 314 (177,851)
Citation 3

Abstract:

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

11.

Systematic Staleness

Number of pages: 55 Posted: 25 Jul 2018 Last Revised: 21 Nov 2022
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 ESSEC Business School
Downloads 257 (218,512)
Citation 6

Abstract:

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market liquidity, funding liquidity, staleness, joint asymptotics

12.

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 ESSEC Business School
Downloads 212 (262,930)
Citation 2

Abstract:

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Volume, Liquidity, Short-Term Options

13.

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 ESSEC Business School
Downloads 155 (346,669)
Citation 25

Abstract:

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14.

Discontinuous Trading in Continuous-Time Econometrics

Number of pages: 75 Posted: 09 Feb 2023
Johns Hopkins University - Carey Business School, University of Manchester - Manchester Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and ESSEC Business School
Downloads 153 (350,543)

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Trade intermittency, random durations, liquidity, skewness, kurtosis

15.

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 105 (467,367)
Citation 5

Abstract:

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

16.

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 99 (486,789)

Abstract:

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

17.

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 95 (500,148)

Abstract:

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18.

Local Edgeworth Expansions

Number of pages: 56 Posted: 02 Apr 2024
Federico M. Bandi and Roberto Renò
Johns Hopkins University - Carey Business School and ESSEC Business School
Downloads 22 (922,705)

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Semi-martingales, Poisson jumps, characteristic function, Edgeworth expansion.

19.

Conditional Spectral Methods

Johns Hopkins Carey Business School Research Paper No. 23-02
Posted: 14 Dec 2022 Last Revised: 18 Apr 2024
Federico M. Bandi and Yinan Su
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School

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Time/scale decompositions, spectral predictive cycles, portfolio allocation

20.

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

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Asset prices, financial markets

21.

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