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Jeffrey R. Russell · Study

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Jeffrey R. Russell

19 works· latest 2012· 1 institutionscluster: provisionalORCID 0009-0004-7783-1870

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i1019

Citations4,662

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Most cited in this library

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1998 · 1,817 citations
Separating microstructure noise from volatility2005 · 635 citations
A nonlinear autoregressive conditional duration model with applications to financial transaction data2001 · 319 citations
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1998 · 315 citations
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model1997 · 224 citations

Works

19 shown

Measuring and Modeling Execution Cost and Risk

The Journal of Portfolio Management·2012·2 authors·Open access

129citations

Measuring and Modeling Execution Cost and Risk

SSRN Electronic Journal·2011·3 authors·preprint·Open access

85citations

Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations

Journal of Econometrics·2010·2 authors

88citations

Volatility and Time Series Econometrics

Oxford University Press eBooks·2010·3 authors·book

190citations

Analysis of High-Frequency Data

Elsevier eBooks·2010·2 authors·chapter

80citations

Realized volatility forecasting and option pricing

Journal of Econometrics·2008·3 authors

69citations

Using High-Frequency Data in Dynamic Portfolio Choice

Econometric Reviews·2008·2 authors

96citations

Determinants of bid and ask quotes and implications for the cost of trading

Journal of Empirical Finance·2008·3 authors

39citations

Separating microstructure noise from volatility

Journal of Financial Economics·2005·2 authors·Open access

635citations

Microstructure noise, realized volatility, and optimal sampling

RePEc: Research Papers in Economics·2004·2 authors·preprint

49citations

Kurtosis of GARCH and stochastic volatility models with non-normal innovations

Journal of Econometrics·2003·3 authors

161citations

The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange

Journal of Empirical Finance·2003·4 authors

163citations

A nonlinear autoregressive conditional duration model with applications to financial transaction data

Journal of Econometrics·2001·3 authors

319citations

Econometric Modeling of Multivariate Irregularly-Spaced High-Frequency Data

·2000·1 author

101citations

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Econometrica·1998·2 authors

1,817citations

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

SSRN Electronic Journal·1998·2 authors·preprint·Open access

315citations

Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model

SSRN Electronic Journal·1998·2 authors·preprint·Open access

60citations

Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model

Journal of Empirical Finance·1997·2 authors

224citations

Forecasting Transaction Rates: The Autoregressive Conditional Duration Model

National Bureau of Economic Research·1994·2 authors·report·Open access

42citations