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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/10010154955
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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/10008143206
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Realized volatility forecasting and option pricing
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of econometrics 147 (2008) 1, pp. 34-47
Persistent link: https://www.econbiz.de/10008898207
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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/10006498931
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The 2005 Invited Address - Comment - Realized Variance and Market Microstructure Noise
Bandi, Federico M.; Russell, Jeffrey R. - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 2, pp. 167-172
Persistent link: https://www.econbiz.de/10008222691
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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. 145-160
Persistent link: https://www.econbiz.de/10008770547
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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
Engle, Robert F.; Russell, Jeffrey R. - In: Econometrica : journal of the Econometric Society, an … 66 (1998) 5, pp. 1127-1162
Persistent link: https://www.econbiz.de/10006787996
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A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model
Russell, Jeffrey R.; Engle, Robert F. - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 2, pp. 166-180
Persistent link: https://www.econbiz.de/10008214400
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True or Spurious Long Memory? A New Test
Ohanissian, Arek; Russell, Jeffrey R.; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10008221205
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A nonlinear autoregressive conditional duration model with applications to financial transaction data
Zhang, Michael Yuanjie; Russell, Jeffrey R.; Tsay, Ruey S. - In: Journal of econometrics 104 (2001) 1, pp. 179
Persistent link: https://www.econbiz.de/10006774037