Jeffrey R. Russell - Concepedia

Author

Jeffrey R. Russell

University of Chicago ORCID

Also Known As

Jeffrey R Russell, Jeffrey R. Russell, Jeffrey Russell, Jeffrey S. Russell

Publications

5.2K

Citations

H-Index

Concepts

All Affiliations

University of Chicago New York University National Bureau of Economic Research Johns Hopkins University Ecole des Hautes Etudes Commerciales du Nord

About

Jeffrey R. Russell is an author at University of Chicago specializing in business, finance, and economics.

Top Concepts

#	Concept	H-Index	Publications	Citations
1	Business	15	16	4K
2	Engineering	8	8	1.4K
3	Management	2	2	275
4	Business Analytics	2	2	458
5	Social Sciences	1	1	189

Jeffrey R. Russell

Publications

5.1K

Citations

H-Index

Page 1

	Year	Citations
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data Robert F. Engle, Jeffrey R. Russell Econometrica Volatility ModelingTime Series EconometricsAsset PricingFinancial Time Series AnalysisTemporal Data	1998	1.9K
Separating microstructure noise from volatility Federico M. Bandi, Jeffrey R. Russell Journal of Financial Economics Volatility ModelingEngineeringUncertainty QuantificationEntropyNoise	2005	621
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data Jeffrey R. Russell, Robert F. Engle SSRN Electronic Journal Arrival TimesEngineeringBusiness AnalyticsTime Series EconometricsData Science	1998	353
A nonlinear autoregressive conditional duration model with applications to financial transaction data Michael Yuanjie Zhang, Jeffrey R. Russell, Ruey S. Tsay Journal of Econometrics Financial Transaction DataEconomicsBusinessEconometricsFinancial Engineering	2001	328
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model Robert F. Engle, Jeffrey R. Russell Journal of Empirical Finance Foreign Exchange PricesEconomicsInternational FinanceMacroeconomicsBusiness	1997	232
True or Spurious Long Memory? A New Test Arek Ohanissian, Jeffrey R. Russell, Ruey S. Tsay Journal of Business and Economic Statistics Volatility ModelingNeuropsychologyCognitionTime Series EconometricsSocial Sciences	2008	189
Volatility and Time Series Econometrics Tim Bollerslev, Jeffrey R. Russell, Mark W. Watson Oxford University Press eBooks Econometric ModelVolatility ModelingEconomicsFinancial EconomicsAsset Pricing	2010	185
The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange David D. Cho, Jeffrey R. Russell, George C. Tiao, Journal of Empirical Finance Market MicrostructureEmpirical FinanceEconomicsPrice LimitsInternational Finance	2003	170
Kurtosis of GARCH and stochastic volatility models with non-normal innovations Xuezheng Bai, Jeffrey R. Russell, George C. Tiao Journal of Econometrics Volatility ModelingMultivariate Stochastic VolatilityEngineeringAsset PricingBusiness	2003	164
A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times Jeffrey R. Russell, Robert F. Engle Journal of Business and Economic Statistics Time Series EconometricsFinancial MathematicsComputational FinanceAsset PricingFinancial Time Series Analysis	2005	144

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