Jeffrey Russell

Jeffrey Russell

University of Chicago Booth School of Business - Chicago / United States
Business & Management / Business Administration
AD Scientific Index ID: 1772829
Chicago Booth
person_outline Jeffrey Russell's MOST POPULAR ARTICLES
1-) Autoregressive conditional duration: a new model for irregularly spaced transaction dataRF Engle, JR RussellEconometrica, 1127-1162, 199822901998
2-) Microstructure noise, realized variance, and optimal samplingFM Bandi, JR RussellThe Review of Economic Studies 75 (2), 339-369, 20088572008
3-) Separating microstructure noise from volatilityFM Bandi, JR RussellJournal of Financial Economics 79 (3), 655-692, 20067992006
4-) A nonlinear autoregressive conditional duration model with applications to financial transaction dataMY Zhang, JR Russell, RS TsayJournal of Econometrics 104 (1), 179-207, 20014652001
5-) Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration modelRF Engle, JR RussellJournal of empirical finance 4 (2-3), 187-212, 19973621997