Federico M. Bandi

Johns Hopkins University

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

2

DOWNLOADS

302

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Beta in the Tails

Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 12 Jun 2020
Federico M. Bandi and Roberto RenĂ²
Johns Hopkins University and University of Verona - Department of Economics
Downloads 193 (196,672)

Abstract:

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hedge funds, diffusive risk, jump risk, beta

2.

Structural Stochastic Volatility

Number of pages: 52 Posted: 19 Nov 2020 Last Revised: 01 Sep 2021
Federico M. Bandi, Nicola Fusari and Roberto RenĂ²
Johns Hopkins University, Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 109 (309,931)

Abstract:

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short-maturity options, equity characteristics, Merton's model, nancial leverage, credit spreads.