Concepedia

Jeffrey R. Russell

JR

25

Publications

5.1K

Citations

22

H-Index

1997

Active since

Affiliations

University of Chicago(Current)

New York University

National Bureau of Economic Research

Johns Hopkins University

Ecole des Hautes Etudes Commerciales du Nord

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

Top concepts

FinanceBusinessEconomicsStatisticsEconometricsAsset PricingVolatility ModelingEngineeringFinancial EngineeringEconomic Analysis

Publications per year

1997–2013

25

Publications

25

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

Robert F. Engle, Jeffrey R. Russell · Econometrica · 1998 · 1.9K citations

Volatility Modeling, Time Series Econometrics, Asset Pricing +17

Separating microstructure noise from volatility

Federico M. Bandi, Jeffrey R. Russell · Journal of Financial Economics · 2005 · 621 citations

Volatility Modeling, Engineering, Uncertainty Quantification +6

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

Jeffrey R. Russell, Robert F. Engle · SSRN Electronic Journal · 1998 · 353 citations · Full text

Arrival Times, Engineering, Business Analytics +17

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

Michael Yuanjie Zhang, Jeffrey R. Russell, Ruey S. Tsay · Journal of Econometrics · 2001 · 328 citations

Financial Transaction Data, Economics, Business +6

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 · 1997 · 232 citations

Foreign Exchange Prices, Economics, International Finance +8

Rows per page

1–5 of 25