http://proxy.uchicago.edu/login?url=http://dx.doi.org/10.1016/j.jeconom.2005.06.033
"Comment on 'Realized Variance and Market Microstructure Noise'." Federico M. Bandi and Jeffrey R. Russell; Journal of Business and Economic Statistics, 2006, 24(2), pp. 167-73.http://dx.doi.org/10.1198/073500106000000107
"Long Memory and the Relation between Implied and Realized Volatility." Federico M. Bandi and Benoit Perron; Journal of Financial Econometrics, 2006, 4(4), pp. 636-70.http://jfec.oxfordjournals.org/cgi/content/abstract/4/4/636
"Separating Microstructure Noise from Volatility." Federico M. Bandi and Jeffrey R. Russell; Journal of Financial Economics, 2006, 79(3), pp. 655-92.http://dx.doi.org/10.1016/j.jfineco.2005.01.005
A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions; Federico M. Bandi and Peter C. B. Phillips; Cowles Foundation Discussion Papers: 1522; Cowles Foundation, Yale University, 2005.
http://cowles.econ.yale.edu/P/cd/d15a/d1522.pdf
"On the Functional Estimation of Jump-Diffusion Models." Federico M. Bandi and Thong H. Nguyen; Journal of Econometrics, 2003, 116(1-2), pp. 293-328.http://dx.doi.org/10.1016/S0304-4076(03)00110-6
"Fully Nonparametric Estimation of Scalar Diffusion Models." Federico M. Bandi and Peter C. B. Phillips; Econometrica, 2003, 71(1), pp. 241-83.http://dx.doi.org/10.1111/1468-0262.00395
"Short-Term Interest Rate Dynamics: A Spatial Approach." Federico M. Bandi; Journal of Financial Economics, 2002, 65(1), pp. 73-110.http://dx.doi.org/10.1016/S0304-405X(02)00135-6
Fully Nonparametric Estimation of Scalar Diffusion Models; Federico M. Bandi and P. C. B. Phillips; New Haven, CT.: Cowles Foundation for Research in Economics, 2001.http://cowles.econ.yale.edu/P/cd/d13a/d1332.pdf
Essays in the Econometrics of Continuous-Time Finance; Federico M. Bandi; Ph.D Dissertation, Yale University, 1999.http://proquest.umi.com/pqdweb?did=730825971&sid=1&Fmt=2&clientId=13392&RQT=309&VName=PQD