| Microstructure noise, realized variance, and optimal sampling FM Bandi, JR Russell The Review of Economic Studies 75 (2), 339-369, 2008 | 948 | 2008 |
| Separating microstructure noise from volatility FM Bandi, JR Russell Journal of Financial Economics 79 (3), 655-692, 2006 | 840 | 2006 |
| Fully nonparametric estimation of scalar diffusion models FM Bandi, PCB Phillips Econometrica 71 (1), 241-283, 2003 | 441 | 2003 |
| On the functional estimation of jump–diffusion models FM Bandi, TH Nguyen Journal of Econometrics 116 (1-2), 293-328, 2003 | 209 | 2003 |
| Long memory and the relation between implied and realized volatility FM Bandi, B Perron Journal of Financial Econometrics 4 (4), 636-670, 2006 | 183 | 2006 |
| Price and volatility co-jumps FM Bandi, R Reno Journal of Financial Economics 119 (1), 107-146, 2016 | 182 | 2016 |
| Realized covariation, realized beta and microstructure noise FM Bandi, JR Russell Unpublished paper, Graduate School of Business, University of Chicago 122, 2005 | 130 | 2005 |
| Time-varying leverage effects FM Bandi, R Renò Journal of Econometrics 169 (1), 94-113, 2012 | 127 | 2012 |
| Using high-frequency data in dynamic portfolio choice FM Bandi, JR Russell, Y Zhu Econometric Reviews 27 (1-3), 163-198, 2008 | 125 | 2008 |
| Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations FM Bandi, JR Russell Journal of Econometrics 160 (1), 145-159, 2011 | 112 | 2011 |
| Short-term interest rate dynamics: a spatial approach FM Bandi Journal of Financial Economics 65 (1), 73-110, 2002 | 105 | 2002 |
| Long-run risk-return trade-offs FM Bandi, B Perron Journal of Econometrics 143 (2), 349-374, 2008 | 97 | 2008 |
| The scale of predictability FM Bandi, B Perron, A Tamoni, C Tebaldi Journal of Econometrics 208 (1), 120-140, 2019 | 96 | 2019 |
| Realized volatility forecasting and option pricing FM Bandi, JR Russell, C Yang Journal of Econometrics 147 (1), 34-46, 2008 | 94 | 2008 |
| Nonparametric stochastic volatility FM Bandi, R Renò Econometric Theory 34 (6), 1207-1255, 2018 | 93 | 2018 |
| Spectral factor models FM Bandi, SE Chaudhuri, AW Lo, A Tamoni Journal of Financial Economics 142 (1), 214-238, 2021 | 68 | 2021 |
| A simple approach to the parametric estimation of potentially nonstationary diffusions FM Bandi, PCB Phillips Journal of Econometrics 137 (2), 354-395, 2007 | 68 | 2007 |
| Business-cycle consumption risk and asset prices FM Bandi, A Tamoni Journal of Econometrics 237 (2), 105447, 2023 | 67 | 2023 |
| Excess idle time FM Bandi, D Pirino, R Reno Econometrica 85 (6), 1793-1846, 2017 | 61 | 2017 |
| Nonstationary continuous-time processes FM Bandi, PCB Phillips Handbook of financial econometrics: Tools and techniques, 139-201, 2010 | 56 | 2010 |
