Federico M. Bandi

Federico M. Bandi studies financial econometrics, time series econometrics, continuous-time asset pricing, empirical asset pricing, and empirical market microstructure. His research has been published in leading econometrics and finance journals, including the Journal of Financial Economics and the Journal of Econometrics and Econometrica. He has been awarded the Hillel J. Einhorn Excellence in Teaching Award, the David W. Johnson Professorship at the University of Chicago, and the Alfred P. Sloan Dissertation Fellowship, among other awards.

Bandi serves as associate editor of Econometric Theory, the Journal of Business and Economic Statistics, and the Journal of Financial Econometrics. He also is a member of the American Finance Association, the Econometric Society, and the European Finance Association.

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 joined the Chicago Booth faculty in 1999. Prior to attending Yale, he attended Bocconi University in Milan, Italy, where he earned a master's degree in economics in 1995 and a laurea in economics in 1994.

Selected Publications

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

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

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

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With J.R. Russell, "Separating Microstructure Noise from Volatility," Journal of Financial Economics (2006).

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With J.R. Russell, "Volatility," Handbook of Financial Engineering, North Holland (forthcoming).

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