Federico M. Bandi

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

17

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CITATIONS
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176

Scholarly Papers (17)

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 748 (32,169)
Citation 15

Abstract:

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

2.

Separating Microstructure Noise from Volatility

AFA 2005 Philadelphia Meetings
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 703 (34,971)
Citation 120

Abstract:

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volatility, microstructure noise, high-frequency data

3.

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 642 (39,491)
Citation 1

Abstract:

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Realized volatility, implied volatility, predictive regressions, long memory

4.

The Horizon of Systematic Risk: A New Beta Representation

Number of pages: 56 Posted: 10 Oct 2013 Last Revised: 03 Aug 2017
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 541 (49,394)
Citation 1

Abstract:

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

5.

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 533 (50,335)
Citation 14

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Spot variance, stochastic volatility, jump, microstructure

6.

Spectral Factor Models

Johns Hopkins Carey Business School Research Paper No. 18-17
Number of pages: 57 Posted: 13 Nov 2018 Last Revised: 09 Jul 2019
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 444 (63,283)
Citation 1

Abstract:

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

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 395 (72,820)
Citation 21

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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 279 (107,513)
Citation 6

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Liquidity, asymmetric information, transaction cost, liquidity premium

9.

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
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads 229 (131,692)
Citation 47

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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 115 (237,380)
Citation 25

Abstract:

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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
Johns Hopkins University - Carey Business School, University of Warwick - Department of Economics and University College London
Downloads 76 (310,308)
Citation 1

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

12.

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
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads 75 (312,710)
Citation 9

Abstract:

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

13.

Long-Run Economic Uncertainty

Number of pages: 55 Posted: 14 Oct 2018 Last Revised: 24 Nov 2018
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 58 (357,817)
Citation 17

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financial uncertainty, policy uncertainty, macro uncertainty, the long run, the real economy

14.

Systematic Staleness

Number of pages: 46 Posted: 25 Jul 2018
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 52 (376,535)
Citation 4

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market liquidity, funding liquidity, staleness, infill asymptotics

15.

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 34 (443,049)

Abstract:

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16.

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

17.

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