Meeting ID: 938 9750 3169
Only the NYU Community is allowed to attend in person. All other guests can attend synchronously via Zoom.
The Department of Finance and Risk Engineering welcomes Federico Bandi, Endowed Professor, Johns Hopkins University to the BQE Lecture Series.
Spectral Asset Pricing
I discuss new time/scale methods and their role in extracting frequency-specific information for the purpose of cross-sectional and time-series asset pricing. Particular emphasis is placed on the mapping between the suggested techniques and aggregation. I show when aggregation (the typical way in which frequency-specific dynamics are captured in finance) may fail as a frequency-extraction mechanism. The pricing of consumption risk is used throughout to illustrate the proposed methods.
Federico M. Bandi is the James Carey Endowed Professor and a Professor of Finance at Carey Business school, Johns Hopkins University. His research has been published in leading economics, econometrics, and finance journals. From 2015 to 2019, he served as a Joint Managing Editor of the Journal of Financial Econometrics. He is currently an Associate Editor of Econometric Theory, the Journal of Business and Economic Statistics, and the Econometrics Journal.