Concepedia

Federico M. Bandi

FM

Statistics

Publications

36

Citations

3.1K

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 economics, financial economics, and finance.

ORCID

Publications per year

2002–2023

36

Publications

36

Separating microstructure noise from volatility

Federico M. Bandi, Jeffrey R. Russell · Journal of Financial Economics · 2005 · 625 citations

, , +16

Microstructure Noise, Realized Variance, and Optimal Sampling

Federico M. Bandi, Jefirey R. Russell · The Review of Economic Studies · 2008 · 621 citations

, , +17

On the functional estimation of jump–diffusion models

Federico M. Bandi, Thong H. Nguyen · Journal of Econometrics · 2003 · 170 citations

, , +13

Price and volatility co-jumps

Federico M. Bandi, Roberto Renò · Journal of Financial Economics · 2015 · 167 citations

, , +17

Long Memory and the Relation Between Implied and Realized Volatility

Federico M. Bandi, Bernard Perron · Journal of Financial Econometrics · 2006 · 127 citations

, , +17

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