Jefirey R. Russell

Finance · 2008

A researcher in the Science corpus: 1 paper; trusts 15 researchers and is trusted by 21 researchers here, as inferred from the citation graph.

Subfields

• Finance — 20 citations into it; #1,207 of 10,518 by trust here, #2,459 by citations
• Economics and Econometrics — 17 citations into it; #2,463 of 23,481 by trust here, #6,263 by citations
• Statistics and Probability — 6 citations into it

Whom Jefirey R. Russell trusts overall

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

1. Roel C. A. Oomen
2. Ole E. Barndorff-Nielsen
3. P. R. Hansen
4. N. Shephard
5. F. Bandi
6. Torben G. Andersen
7. Michael Mcaleer
8. Asger Lunde
9. Tim Bollerslev
10. Jeffrey R. Russell

Who trusts Jefirey R. Russell overall

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

Papers from Jefirey R. Russell's perspective

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

1. Separating Microstructure Noise from Volatility
2. Estimating Daily Volatility in Financial Markets Utilizing Intraday Data
3. The distribution of realized stock return volatility
4. Properties of Realized Variance Under Alternative Sampling Schemes
5. Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
6. Realized Variance and Market Microstructure Noise
7. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
8. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
9. Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise
10. The Impact of Jumps in Volatility and Returns

Their papers

• Microstructure Noise, Realized Variance, and Optimal Sampling (2008) — 562 citations