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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
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A nonlinear autoregressive conditional duration model with applications to financial transaction
Zhang, Michael Yuanjie; Russel, Jeffrey R.; Tsay, Ruey S. - In: Journal of econometrics 104 (2001) 1, pp. 179-207
Persistent link: https://www.econbiz.de/10001589535
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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
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Analysis of high-frequency data
Russell, Jeffrey R.; Engle, Robert F. - 2010
Persistent link: https://www.econbiz.de/10003900661
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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. 145-159
Persistent link: https://www.econbiz.de/10009242529
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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/10009785979
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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
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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/10003289304
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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/10003783782
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Volatility
Bandi, Federico M.; Russell, Jeffrey R. - In: Financial engineering, (pp. 183-222). 2008
Persistent link: https://www.econbiz.de/10003567122