The Department of Finance and Risk Engineering welcomes Federico Bandi who is the James Carey Endowed Professor and a Professor of Finance at Carey Business school, 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.