Federico M. Bandi, PhD

James Carey Endowed Professor
Discipline
Finance
Economics
Areas of Interest
Finance

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')