Jeffrey R. Russell - Working Papers


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Measuring and Modeling Execution Cost and Risk (coauthored with Robert Engle and Robert Ferstenberg) The Journal of Portfolio Management Winter 2012 

Realized volatility forecasting in the Presence of Time-Varying Noise” (coauthored with Federico Bandi and Chen Yang) 2012

A New Model for Limit Order Book Dynamics,” . (with Taejin Kim), “Volatility and Time Series Forecasting: Essays in Honor of Robert Engle” eds Tim Bollerslev, Jeffrey Russell and Mark Watson. (with Taejin Kim), 2010

 "Realized Volatility Forecasting and Option Pricing" (coauthored with Federico Bandi and Chen Yang) Journal of Econometrics 2008


“Using High-Frequency Data in Dynamic Portfolio Choice”,  (coauthored with Federico Bandi and Yinghua Zhu), 2008,  Econometric Reviews.

“Market Microstructure Noise, Integrated Variance Estimators, and the Accuracy of Asymptotic Approximations” (coauthored with Federico Bandi) January 2011.

“Realized Covariation, Realized Beta, and Microstructure Noise” (coauthored with Federico Bandi) January 2005

“Volatility” (coauthored with Federico Bandi), Handbook of Financial Engineering eds. John R. Birge and Vadim Linetsky,  revised August 2006

Comment on “Realized Variance and Microstructure Noise” by Peter Hansen and Asger Lunde (coauthored with Federico Bandi) 2006, Journal of Business and Economics Statistics

“Separating Market Microstructure Noise from Volatility”  (coauthored with Federico Bandi)  March 2006, Journal of Financial Economics

"Full Information Transaction Costs"  (coauthored with Federico Bandi)  Revised January 2006.

"Microstructure Noise, Realized Variance, and Optimal Sampling" (coauthored with Federico Bandi) Revised February 2005

 "True or Spurious Long Memory: Does it Matter for Pricing Options?" (coauthored with Arek Ohanissian and Ruey Tsay) November 2004

"True or Spurious Long Memory? A New Test"  (coauthored with Arek Ohanissian and Ruey Tsay) 2007 Forthcoming in Journal of Business and Economic Statistics


"Information Determinants of Bid and Ask Quotes: Implications for Market Liquidity and Volatility" (coauthored with Ruey Tsay and Michael Zhang). January 2007

"Econometric Modeling of Multivariate Irregularly-Spaced High-Frequency Data" Revised November 1999

"Effects of Non-Normality and Dependence on the Precision of Variance Estimates Using High-Frequency Financial Data" (coauthored with Xuezheng Bai and George Tiao) Revised April 2004

"A Discrete-State Continuous-Time Model of Financial Transaction Prices and Times:  The ACM-ACD Model" (coauthored with Robert F. Engle), forthcoming in Journal of Business Economics and Statistics.






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This page was last updated October 2006