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

DOWNLOADS
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SSRN RANKINGS

Top 20,778

in Total Papers Downloads

2,391

SSRN CITATIONS
Rank 14,873

SSRN RANKINGS

Top 14,873

in Total Papers Citations

27

CROSSREF CITATIONS

34

Scholarly Papers (6)

1.

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 - Leonard N. Stern School of Business - Department of Economics
Downloads 826 (29,692)
Citation 21

Abstract:

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2.
Downloads 768 ( 32,817)
Citation 6

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 - Leonard N. Stern School of Business - Department of Economics, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 613 (43,877)
Citation 1

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 - Leonard N. Stern School of Business - Department of Economics, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 155 (197,766)

Abstract:

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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 - Leonard N. Stern School of Business - Department of Economics, Morgan Stanley and University of Chicago - Booth School of Business - Econometrics and Statistics

Abstract:

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3.

Separating Microstructure Noise from Volatility

AFA 2005 Philadelphia Meetings
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 708 (36,632)
Citation 41

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: 30 Jul 2010
Jeffrey R. Russell and Robert F. Engle
University of Chicago - Booth School of Business - Econometrics and Statistics and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 89 (296,369)

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 - Leonard N. Stern School of Business - Department of Economics

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 - Leonard N. Stern School of Business - Department of Economics

Abstract:

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