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A nonlinear autoregressive con...
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Zeitreihenanalyse
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Russell, Jeffrey R.
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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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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2
Testing for noninvertible models with applications
Tsay, Ruey S.
- In:
Journal of business & economic statistics : JBES ; a …
11
(
1993
)
2
,
pp. 225-233
Persistent link: https://www.econbiz.de/10001142122
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3
Econometric analysis of discrete-valued irregulary-spaced financial transactions data using a new autoregressive conditional multinominal model
Russell, Jeffrey R.
;
Engle, Robert F.
-
1998
Persistent link: https://www.econbiz.de/10000988764
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4
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/10002781639
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5
Using high-frequency data in dynamic portfolio choice
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Zhu, Yinghua
- In:
Econometric reviews
27
(
2008
)
1/3
,
pp. 163-198
Persistent link: https://www.econbiz.de/10003761222
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6
Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim
(
ed.
);
Engle, Robert F.
(
honouree
); …
-
2010
-
1. publ.
Volatility and Time Series Econometrics: Essays in Honor of Robert F. .Engle Edited by Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson OXFORD UNIVERSITY PRESS ...
Persistent link: https://www.econbiz.de/10003861657
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7
Long-range dependence in daily stock volatilities
Ray, Bonnie K.
;
Tsay, Ruey S.
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
2
,
pp. 254-262
Persistent link: https://www.econbiz.de/10001469693
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Nonlinearity in high-frequency financial data and hierarchical models
McCulloch, Robert E.
(
contributor
); …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
5
(
2001
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10001769738
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9
Market based credit rating and its applications
Tsay, Ruey S.
;
Zhu, H.
- In:
Applied quantitative finance
,
(pp. 113-128)
.
2017
Persistent link: https://www.econbiz.de/10011794956
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