Jeffrey R. Russell

Available identifiers

zbMath Open russell.jeffrey-rMaRDI QIDQ205406

List of research outcomes

Publication	Date of Publication	Type
Realized Volatility Forecasting in the Presence of Time-Varying Noise	2025-01-20	Paper
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations	2016-08-10	Paper
Realized volatility forecasting and option pricing	2016-06-22	Paper
Using High-Frequency Data in Dynamic Portfolio Choice	2008-11-19	Paper
Microstructure Noise, Realized Variance, and Optimal Sampling	2008-05-22	Paper
Kurtosis of GARCH and stochastic volatility models with non-normal innovations	2003-06-09	Paper
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data	2002-05-28	Paper
A nonlinear autoregressive conditional duration model with applications to financial transaction data	2001-10-10	Paper

Research outcomes over time

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