Faculty & Research

Federico M. Bandi

Visiting Professor of Econometrics and Statistics

Address :
5807 South Woodlawn Avenue
Chicago, IL 60637

Federico M. Bandi is a Professor of Economics and Finance at Johns Hopkins University, Carey Business School. He studies financial econometrics, time series econometrics, continuous-time asset pricing, empirical asset pricing, and empirical market microstructure. His research has been published in leading economics, econometrics, and finance journals, including the Journal of Financial Economics, the Journal of Econometrics, the Review of Economic Studies, and Econometrica. Prior to joining Johns Hopkins University, he was a University of Chicago (Booth School of Business) faculty member from 1999 until 2009. While at Booth, he was awarded three times the Hillel J. Einhorn Excellence in Teaching Award at the University of Chicago and twice the David W. Johnson Professorship at the University of Chicago.

Professor Bandi serves as a Co-Editor of the Journal of Financial Econometrics and as an Associate Editor of Econometric Theory, the Journal of Business and Economic Statistics, and the Econometrics Journal. He is a member of the American Finance Association, the Econometric Society, and the European Finance Association, and is a research associate of the Edhec-Risk Institute.

Professor Bandi earned a PhD in economics in 1999 from Yale University, the same school that awarded him a master's degree of philosophy in economics in 1998 and a master's degree in economics in 1996. He was awarded the Alfred P. Sloan Dissertation Fellowship for his doctoral work. Professor Bandi has presented his research at over 50 academic conferences and over 40 universities, central banks, and private institutions around the world.

 

2013 - 2014 Course Schedule

Number Name Quarter
41800 Statistics 2013 (Fall)

2014 - 2015 Course Schedule

Number Name Quarter
41800 Statistics 2014 (Fall)

Research Activities

Financial econometrics; time series econometrics; empirical asset pricing; continuous-time asset pricing; empirical market microstructure.

"Short-Term Interest Rate Dynamics: A Spatial Approach," Journal of Financial Economics (2002).

With Thong Nguyen, "On the Functional Estimation of Jump-Diffusion Models," Journal of Econometrics (2003).

With P. C. B. Phillips, "Fully Nonparametric Estimation of Scalar Diffusion Models," Econometrica (2003).

With J.R. Russell, "Microstructure noise, realized variance, and optimal sampling," Review of Economic Studies (2008).

With R. Renò, "Time-varying leverage effects" Journal of Econometrics (forthcoming).