Federico M. Bandi, PhD
The Johns Hopkins Carey Business School
100 International Drive
Baltimore, MD 21202
Phone: (410) 234-9407
Federico M. Bandi, PhD (Economics, Yale University) joined the Johns Hopkins Carey Business School in 2009. He is a Professor in the research track with expertise in the areas of financial econometrics, continuous-time asset pricing, and empirical market microstructure.
Honors and Distinctions
- Co-Editor, Journal of Financial Econometrics, July 2012 – present
- Associate Editor, Econometric Theory, January 2005 – present
- Associate Editor, Journal of Business and Economic Statistics,
- January 2005 – present
- Associate Editor, Journal of Financial Econometrics,
- January 2005 – July 2012
- Associate Editor, Econometrics Journal, March 2008 - present
- 2008/2009 David W. Johnson Professorship
- 2007 Hillel J. Einhorn Award for Excellence in Teaching
- 2006 Hillel J. Einhorn Award for Excellence in Teaching
- 2005/2006 David W. Johnson Professorship
- 1998 “Alfred P. Sloan” Dissertation Fellowship
- 1994 Gold Medal for Academic Excellence, Bocconi University
- "Short-term interest rate dynamics: a spatial approach" Journal of Financial Economics, 65 (2002) 73-110
- "Separating microstructure noise from volatility" (with Jeff Russell) Journal of Financial Economics, 79 (2006) 655-692
- "Long-run risk-return trade-offs" (with Benoit Perron) Journal of Econometrics, 143 (2008) 349-374.
- "Fully nonparametric estimation of scalar diffusion models" (with Peter C. B. Phillips) Econometrica, 71 (2003) 241-283.
- "Microstructure noise, realized variance, and optimal sampling" (with Jeff Russell) Review of Economic Studies, 75 (2008) 339-369.
- "Nonparametric nonstationarity tests” (with Valentina Corradi), Econometric Theory, forthcoming.
Works in Progress
- Nonparametric stochastic volatility (with Roberto Reno’)
- Realized liquidity (with Roberto Reno’)
- Conditional inference (with Valentina Corradi)
- Low-frequency asset price dynamics (with Rene’ Garcia, Abraham Lioui, and Benoit Perron)
- Finance theory