Jeffrey R. Russell

University of Chicago - Booth School of Business - Econometrics and Statistics

Assistant Professor of Econometrics and Statistics

Chicago, IL 60637

United States

SCHOLARLY PAPERS

6

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3,190

SSRN CITATIONS
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Top 10,863

in Total Papers Citations

116

CROSSREF CITATIONS

35

Scholarly Papers (6)

1.
Downloads 1,287 (30,337)
Citation 34

Measuring and Modeling Execution Cost and Risk

NYU Working Paper No. FIN-06-044
Number of pages: 54 Posted: 03 Nov 2008
Robert F. Engle, Robert Ferstenberg and Jeffrey R. Russell
New York University (NYU) - Department of Finance, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 913 (48,610)
Citation 27

Abstract:

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Measuring and Modeling Execution Cost and Risk

NYU Working Paper No. FIN-07-044
Number of pages: 30 Posted: 03 Nov 2008
Robert F. Engle, Robert Ferstenberg and Jeffrey R. Russell
New York University (NYU) - Department of Finance, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 374 (149,104)

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Measuring and Modeling Execution Cost and Risk

Chicago GSB Research Paper No. 08-09, https://doi.org/10.3905/jpm.2012.38.2.014
Posted: 21 May 2019
Robert F. Engle, Robert Ferstenberg and Jeffrey R. Russell
New York University (NYU) - Department of Finance, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics

Abstract:

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2.

Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model

CRSP Working Paper No. 470; University of California at San Diego Working Paper No. 98-10
Number of pages: 33 Posted: 14 Aug 1998
Jeffrey R. Russell and Robert F. Engle
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University (NYU) - Department of Finance
Downloads 923 (48,603)
Citation 24

Abstract:

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3.

Separating Microstructure Noise from Volatility

Number of pages: 49 Posted: 02 Jan 2005
Federico M. Bandi and Jeffrey R. Russell
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 849 (54,532)
Citation 76

Abstract:

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volatility, microstructure noise, high-frequency data

4.

Forecasting Transaction Rates: The Autoregressive Conditional Duration Model

NBER Working Paper No. w4966
Number of pages: 47 Posted: 30 Aug 2000 Last Revised: 29 Jul 2022
Jeffrey R. Russell and Robert F. Engle
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University (NYU) - Department of Finance
Downloads 131 (404,234)

Abstract:

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5.

Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model

Posted: 22 Aug 1998
Jeffrey R. Russell and Robert F. Engle
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University (NYU) - Department of Finance

Abstract:

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6.

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

Posted: 21 Apr 1998
Jeffrey R. Russell and Robert F. Engle
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University (NYU) - Department of Finance

Abstract:

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