Federico M. Bandi, PhD


Academic Discipline: Economics, Finance

Teaching Interests Include:
Finance theory

The Johns Hopkins Carey Business School
100 International Drive
Baltimore, MD 21202

Phone: 410-234-9407

Email: fbandi1@jhu.edu


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 & 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

Selected Publications

  • "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)