European University Institute Library
Russell, Jeffrey R
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Russell, Jeffrey R
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Russell, Jeffrey R
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Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Autoregressive conditional duration, a new model for irregularly spaced time series data
Forecasting transaction rates, the autoregressive conditional duration model
Volatility and time series econometrics, essays in honor of Robert Engle, edited by Tim Bollerslev, Jeffrey R. Russell and Mark W. Watson
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Econometric analysis of discrete-valued irregularly-spaced financial transactions data using a new autoregressive conditional multinomial model
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