GSB Logo

Selected Bibliography for Jeffrey R. Russell
Alper Family Professor of Econometrics and Statistics



Accessing Articles

"Realized Volatility Forecasting and Option Pricing." Federico M. Bandi, Jeffrey R. Russell and Chen Yang; Journal of Econometrics, 2008, 147(1), pp. 34-46.

http://dx.doi.org/10.1016/j.jeconom.2008.09.002

"Determinants of Bid and Ask Quotes and Implications for the Cost of Trading." Michael Yuanjie Zhang, Jeffrey R. Russell and Ruey S. Tsay; Journal of Empirical Finance, 2008, 15(4), pp. 656-78.

http://dx.doi.org/10.1016/j.jempfin.2007.12.003

"True or Spurious Long Memory? A New Test." Arek Ohanissian, Jeffrey R. Russell and Ruey S. Tsay; Journal of Business and Economic Statistics, 2008, 26, pp. 161-75.

http://dx.doi.org/10.1198/073500107000000340

"Using High-Frequency Data in Dynamic Portfolio Choice." Federico M. Bandi, Jeffrey R. Russell and Yinghua Zhu; Econometric Reviews, 2008, 27(1), pp. 163 - 98.

http://dx.doi.org/10.1080/07474930701870461

"Comment on 'Realized Variance and Market Microstructure Noise'." Federico M. Bandi and Jeffrey R. Russell; Journal of Business and Economic Statistics, 2006, 24(2), pp. 167-73.

http://dx.doi.org/10.1198/073500106000000107

"Separating Microstructure Noise from Volatility." Federico M. Bandi and Jeffrey R. Russell; Journal of Financial Economics, 2006, 79(3), pp. 655-92.

http://dx.doi.org/10.1016/j.jfineco.2005.01.005

"A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model." Jeffrey R. Russell and Robert F. Engle; Journal of Business & Economic Statistics, 2005, 23(2), pp. 166.

http://proquest.umi.com/pqdlink?did=821245511&sid=2&Fmt=2&clientId=13392&RQT=309&VName=PQD

"The Magnet Effect of Price Limits: Evidence from High-Frequency Data on Taiwan Stock Exchange." David D. Cho, Jeffrey Russell, George C. Tiao and Ruey Tsay; Journal of Empirical Finance, 2003, 10( 1-2), pp. 133.

http://dx.doi.org/10.1016/S0927-5398(02)00024-5

"Kurtosis of GARCH and Stochastic Volatility Models with Non Normal Innovations." Bai Xuezheng, Jeffrey R Russell and George C Tiao; Journal of Econometrics, 2003, 114(2), pp. 349.

http://dx.doi.org/10.1016/S0304-4076(03)00088-5

"Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model," Robert F. Engle and Jeffrey R. Russell, in R. Batchelor and P. Dua: Financial Forecasting Volume 2 Interest Rates. Cheltenham, U.K. and Northampton, Mass.: Elgar, 2003, pp. 433-58

"Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model," Robert F. Engle and Jeffrey R. Russell, in T. C. Mills: Forecasting Financial Markets Volume 2. Cheltenham, U.K. and Northampton, Mass.: Elgar, 2002, pp. 595-620

"A Nonlinear Autoregressive Conditional Duration Model with Applications to Financial Transaction Data." Michael Yuanjie Zhang, Jeffrey R Russell and Ruey S Tsay; Journal of Econometrics, 2001, 104(1), pp. 179.

http://dx.doi.org/10.1016/S0304-4076(01)00063-X

Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model; Jeffrey R. Russell and R. F. Engle; Discussion paper no. 98-10; University of California San Diego Dept. of Economics, 1998.

http://www.econ.ucsd.edu/publications/abstracts/9810.html

"Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data." Robert F. Engle and Jeffrey R. Russell; Econometrica, 1998, 66(5), pp. 1127-62.

http://links.jstor.org/sici?sici=0012-9682%28199809%2966%3A5%3C1127%3AACDANM%3E2.0.CO%3B2-O

Econometric Analysis of Irregularly-Spaced Time Series Data Using a New Class of Accelerated Failure Time Models with Applications to Financial Transaction Data; Jeffrey Russell; Ph.D. Dissertation, University of California San Diego, 1996.

Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model; Robert F. Engle and Jeffrey R. Russell; Department of Economics, UC San Diego, 1995.

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Time Series Data; Robert F. Engle and Jeffrey R. Russell; Department of Economics, UC San Diego, 1995.

Forecasting Transaction Rates: The Autoregressive Conditional Duration Model; Robert F. Engle and Jeffrey R. Russell; NBER Working Papers no.4966; Cambridge: National Bureau of Economic Research, 1994.

http://papers.nber.org/papers/4966

 

Accessing Linked Articles

Links to articles are, in most cases, to University of Chicago subscription databases. University of Chicago users who are off-campus will need to use IT Services' ProxyIt bookmarklet to authenticate themselves as authorized users. Vistors to our site may be able to get access through a local library; contact your local library for assistance.