Concepedia
Statistics
Publications
35
Citations
3K
H-Index
23
Active since
2002
Affiliations
Johns Hopkins University(Current)
University of Chicago
William Carey University
Ecole des Hautes Etudes Commerciales du Nord
Rutgers, The State University of New Jersey
Federico M. Bandi is an author at Johns Hopkins University specializing in finance, business, and engineering.
Top concepts
FinanceBusinessEngineeringStatisticsEconomicsVolatility ModelingAsset PricingFinancial EconomicsEconomic AnalysisEconometrics
Publications per year
2002–2023
Separating microstructure noise from volatility
Federico M. Bandi, Jeffrey R. Russell · Journal of Financial Economics · 2005 · 621 citations
Volatility Modeling, Engineering, Uncertainty Quantification +6
Microstructure Noise, Realized Variance, and Optimal Sampling
Federico M. Bandi, Jefirey R. Russell · The Review of Economic Studies · 2008 · 617 citations
On the functional estimation of jump–diffusion models
Federico M. Bandi, Thong H. Nguyen · Journal of Econometrics · 2003 · 170 citations
Engineering, Stochastic Processes, Diffusion Process +4
Price and volatility co-jumps
Federico M. Bandi, Roberto Renò · Journal of Financial Economics · 2015 · 164 citations
Volatility Modeling, Volatility Co-jumps, Financial Economics +5
Long Memory and the Relation Between Implied and Realized Volatility
Federico M. Bandi, Bernard Perron · Journal of Financial Econometrics · 2006 · 127 citations
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