List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| Realized Volatility Forecasting in the Presence of Time-Varying Noise Journal of Business and Economic Statistics | 2025-01-20 | Paper |
| Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations Journal of Econometrics | 2016-08-10 | Paper |
| Realized volatility forecasting and option pricing Journal of Econometrics | 2016-06-22 | Paper |
| Using High-Frequency Data in Dynamic Portfolio Choice Econometric Reviews | 2008-11-19 | Paper |
| Microstructure Noise, Realized Variance, and Optimal Sampling Review of Economic Studies | 2008-05-22 | Paper |
| Kurtosis of GARCH and stochastic volatility models with non-normal innovations Journal of Econometrics | 2003-06-09 | Paper |
| Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data Econometrica | 2002-05-28 | Paper |
| A nonlinear autoregressive conditional duration model with applications to financial transaction data Journal of Econometrics | 2001-10-10 | Paper |
Research outcomes over time
This page was built for person: Jeffrey R. Russell
