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~person:"Russell, Jeffrey R."
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Search: subject:"Mikrostrukturanalyse"
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Market microstructure
9
Marktmikrostruktur
9
Noise Trading
5
Noise trading
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5
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5
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Russell, Jeffrey R.
Rime, Dagfinn
45
Hautsch, Nikolaus
42
Kyle, Albert S.
35
Theissen, Erik
35
O'Hara, Maureen
30
Mykland, Per A.
25
Grammig, Joachim
23
Reitz, Stefan
22
Taylor, Mark P.
22
Evans, Martin D. D.
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Menkhoff, Lukas
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Obizhaeva, Anna A.
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Easley, David
18
Frino, Alex
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Horst, Ulrich
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Lyons, Richard K.
17
Menkveld, Albert J.
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Lux, Thomas
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Obižaeva, Anna
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Podolskij, Mark
16
Zhang, Lan
15
Biais, Bruno
14
Li, Yingying
14
Nolte, Ingmar
14
Rindi, Barbara
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Fleming, Michael J.
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Li, Z. Merrick
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Lillo, Fabrizio
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Loretan, Mico
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Melvin, Michael
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Ait-Sahalia, Yacine
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Aït-Sahalia, Yacine
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Bollerslev, Tim
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Gradojevic, Nikola
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ECONIS (ZBW)
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1
Realized volatility forecasting in the presence of time-varying noise
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
3
,
pp. 331-345
Persistent link: https://www.econbiz.de/10009785979
Saved in:
2
Analysis of high-frequency data
Russell, Jeffrey R.
;
Engle, Robert F.
-
2010
Persistent link: https://www.econbiz.de/10003900661
Saved in:
3
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Bandi, Federico M.
;
Russell, Jeffrey R.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 145-159
Persistent link: https://www.econbiz.de/10009242529
Saved in:
4
Volatility
Bandi, Federico M.
;
Russell, Jeffrey R.
- In:
Financial engineering
,
(pp. 183-222)
.
2008
Persistent link: https://www.econbiz.de/10003567122
Saved in:
5
Realized volatility forecasting and option pricing
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
Saved in:
6
Microstructure noise, realized variance, and optimal sampling
Bandi, F. M.
;
Russell, Jeffrey R.
- In:
The review of economic studies
75
(
2008
)
2
,
pp. 339-369
Persistent link: https://www.econbiz.de/10003678717
Saved in:
7
Determinants of bid and ask quotes and implications for the cost of trading
Zhang, Michael Yuanjie
;
Russell, Jeffrey R.
;
Tsay, Ruey S.
- In:
Journal of empirical finance
15
(
2008
)
4
,
pp. 656-678
Persistent link: https://www.econbiz.de/10003759740
Saved in:
8
Separating microstructure noise from volatility
Bandi, Federico M.
;
Russell, Jeffrey R.
- In:
Journal of financial economics
79
(
2006
)
3
,
pp. 655-692
Persistent link: https://www.econbiz.de/10003289304
Saved in:
9
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.
;
Russell, Jeffrey R.
-
1995
Persistent link: https://www.econbiz.de/10000929607
Saved in:
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