Federico M. Bandi, PhD

Federico M. Bandi, PhD

Professor

Academic Discipline: Economics, Finance

Areas of Interest:
Finance


Phone: 410-234-9407

Email: fbandi1@jhu.edu

Biography

Federico M. Bandi, PhD (Economics, Yale University), is the James Carey Endowed Professor in Business. He joined the Johns Hopkins Carey Business School in 2009. He is a Professor in the research track with expertise in finance and economics.

Honors & Distinctions

  • Joint Managing Editor, Journal of Financial Econometrics, July 2015 - present
  • Co-Editor, Journal of Financial Econometrics, July 2012 – June 2015
  • Associate Editor, Journal of Financial Econometrics, January 2005 – June 2012
  • Associate Editor, Econometric Theory, January 2005 – present
  • Associate Editor, Journal of Business and Economic Statistics, January 2005 – present
  • Associate Editor, Econometrics Journal, March 2008 - present
  • 2016 Johns Hopkins' Alumni Association Excellence in Teaching Award
  • 2008/2009 David W. Johnson Professorship at Chicago Booth
  • 2007 Hillel J. Einhorn Award for Excellence in Teaching at Chicago Booth
  • 2006 Hillel J. Einhorn Award for Excellence in Teaching at Chicago Booth
  • 2005/2006 David W. Johnson Professorship at Chicago Booth
  • 1998 “Alfred P. Sloan” Dissertation Fellowship

Selected Publications

  • "Short-term interest rate dynamics: a spatial approach" Journal of Financial Economics, 65 (2002) 73-110
  • "Fully nonparametric estimation of scalar diffusion models" (with Peter C. B. Phillips) Econometrica, 71 (2003) 241-283
  • "Long-run risk-return trade-offs" (with Benoit Perron) Journal of Econometrics, 143 (2008) 349-374
  • "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, 30 (2014) 127-149
  • "Price and volatility co-jumps" (with Roberto Reno'), Journal of Financial Economics, 119 (2016) 107-146

Works In Progress

  • Low-frequency asset price dynamics (with Benoit Perron and Andrea Tamoni)
  • Measuring market frictions (with Davide Pirino and Roberto Reno')