GSB Logo

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



Accessing Articles

"Realized Volatility Forecasting in the Presence of Time-Varying Noise." Federico M. Bandi, Jeffrey R. Russell and Chen Yang; Journal of Business & Economic Statistics, 2013, 31(3), pp. 331-45.
http://dx.doi.org/10.1080/07350015.2013.803866

"Measuring and Modeling Execution Cost and Risk." Robert Engle, Robert Ferstenberg and Jeffrey Russell; Journal of Portfolio Management, 2012, 38(2), pp. 14-28.
http://search.ebscohost.com/login.aspx?direct=true&db=eoh&AN=1297602

"Market Microstructure Noise, Integrated Variance Estimators, and the Accuracy of Asymptotic Approximations." Federico M. Bandi and Jeffrey R. Russell; Journal of Econometrics, 2011, 160(1), pp. 145-59.
http://dx.doi.org/10.1016/j.jeconom.2010.03.027

"A New Model for Limit Order Book Dynamics," Jeffrey R. Russell and Taejin Kim, in M. W. Watson, T. Bollerslev and J. R. Russell: Volatility and Time Series Econometrics : Essays in Honor of Robert F. Engle. Oxford ; New York: Oxford University Press, 2010
http://dx.doi.org/10.1093/acprof:oso/9780199549498.001.0001

Volatility and Time Series Econometrics : Essays in Honor of Robert F. Engle; Mark W. Watson, Tim Bollerslev and Jeffrey R. Russell; Oxford ; New York: Oxford University Press, 2010
http://dx.doi.org/10.1093/acprof:oso/9780199549498.001.0001

" Analysis of High-Frequency Data," Jeffrey R. Russell and Robert F. Engle, in Y. Ait-Sahalia and L. P. Hansen: Handbook of Financial Econometrics: Tools and Techniques. San Diego: North-Holland, 2010, pp. 383-426
http://dx.doi.org/10.1016/B978-0-444-50897-3.50010-9

"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.