Concepedia

Federico M. Bandi

FM

35

Publications

3K

Citations

23

H-Index

2002

Active since

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

35

Publications

35

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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