Selected Bibliography for Jeffrey R. Russell

Alper Family Professor of Econometrics and Statistics

Home page of Jeffrey R. Russell
Jeffrey Russell author profile at Scopus

Published Works

"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.

"Measuring and Modeling Execution Cost and Risk." Robert Engle, Robert Ferstenberg and Jeffrey Russell; Journal of Portfolio Management, 2012, 38(2), pp. 14-28.

"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.

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

Volatility and Time Series Econometrics : Essays in Honor of Robert F. Engle Mark W. Watson, Tim Bollerslev and Jeffrey R. Russell; Advanced Texts in Econometrics.; Oxford ; New York: Oxford University Press, 2010.

" Analysis of High-Frequency Data," Jeffrey R. Russell and Robert F. Engle, in Handbook of Financial Econometrics: Tools and Techniques. Y. Ait-Sahalia and L. P. Hansen, San Diego: North-Holland, 2010, pp. 383-426.

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

"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.

"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.

"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.

"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.

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

"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.

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

"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.

"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.

"Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model," Robert F. Engle and Jeffrey R. Russell, in Forecasting Financial Markets Volume 2. T. C. Mills, 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.

"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.

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.