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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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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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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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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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Autoregressive conditional duration : a new model for irregularly spaced transaction data
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 66 (1998) 5, pp. 1127-1162
Persistent link: https://www.econbiz.de/10001249588
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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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Autoregressive conditional duration : a new model for irregularly spaced time series data
Engle, Robert F.; Russell, Jeffrey R. - 1995 - [Rev.]
Persistent link: https://www.econbiz.de/10000929636
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Forecasting transaction rates : the autoregressive conditional duration model
Engle, Robert F.; Russell, Jeffrey R. - 1994
Persistent link: https://www.econbiz.de/10000904213
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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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Kurtosis of GARCH and stochastic volatility models with non-normal innovations
Bai, Xuezheng; Russell, Jeffrey R.; Tiao, George C. - In: Journal of econometrics 114 (2003) 2, pp. 349-360
Persistent link: https://www.econbiz.de/10001750817