Jeffrey R. Russell

Finance · 2001–2011

A researcher in the Science corpus: 9 papers; trusts 29 researchers and is trusted by 67 researchers here, as inferred from the citation graph.

Subfields

• Finance — 42 citations into it; #443 of 10,518 by trust here, #1,017 by citations
• Economics and Econometrics — 40 citations into it; #921 of 23,481 by trust here, #2,171 by citations
• Statistics and Probability — 6 citations into it

Whom Jeffrey R. Russell trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Torben G. Andersen
2. Tim Bollerslev
3. Ole E. Barndorff-Nielsen
4. N. Shephard
5. Daniel B. Nelson
6. F. Bandi
7. P. R. Hansen
8. Francis X. Diebold
9. Robert F. Engle
10. Lan Zhang

Who trusts Jeffrey R. Russell overall

1. Roel C. A. Oomen
2. Ole E. Barndorff-Nielsen
3. F. Bandi
4. Torben G. Andersen
5. Kim Christensen
6. Andrew J. Patton
7. Tim Bollerslev
8. P. R. Hansen
9. N. Shephard
10. M. Martens

Papers from Jeffrey R. Russell's perspective

Ordered by how strongly the researchers Jeffrey R. Russell trusts endorse each paper. Same corpus, a different order for every researcher.

1. Separating Microstructure Noise from Volatility
2. The jump-risk premia implicit in options: evidence from an integrated time-series study $
3. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
4. The distribution of realized stock return volatility
5. Microstructure Noise, Realized Variance, and Optimal Sampling
6. Generalized autoregressive conditional heteroskedasticity
7. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
8. MODELING AND FORECASTING REALIZED VOLATILITY
9. Estimating Daily Volatility in Financial Markets Utilizing Intraday Data
10. Post-'87 crash fears in the S&P 500 futures option market

Their papers

• Separating Microstructure Noise from Volatility (2006) — 629 citations
• A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times (2005) — 168 citations
• True or Spurious Long Memory? A New Test (2008) — 210 citations
• The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003) — 158 citations
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations (2003) — 181 citations
• A nonlinear autoregressive conditional duration model with applications to financial transaction data (2001) — 356 citations
• Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (2011) — 82 citations
• Volatility and Time Series Econometrics (2010) — 132 citations
• Microstructure noise, realized volatility, and optimal sampling (2004) — 235 citations