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Separating microstructure noise from volatility

Journal of financial economics, 2006-03, Vol.79 (3), p.655-692

2006

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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Econometrica, 1998-09, Vol.66 (5), p.1127-1162

1998

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Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations

Journal of econometrics, 2011, Vol.160 (1), p.145-159

2011

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Realized Volatility Forecasting in the Presence of Time-Varying Noise

Journal of business & economic statistics, 2013-07, Vol.31 (3), p.331-345

2013

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Realized volatility forecasting and option pricing

Journal of econometrics, 2008-11, Vol.147 (1), p.34-46

2008

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Using High-Frequency Data in Dynamic Portfolio Choice

Econometric reviews, 2008-01, Vol.27 (1-3), p.163-198

2008

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True or Spurious Long Memory? A New Test

Journal of business & economic statistics, 2008-04, Vol.26 (2), p.161-175

2008

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A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model

Journal of business & economic statistics, 2005-04, Vol.23 (2), p.166-180

2005

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A nonlinear autoregressive conditional duration model with applications to financial transaction data

Journal of econometrics, 2001-08, Vol.104 (1), p.179-207

2001

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Kurtosis of GARCH and stochastic volatility models with non-normal innovations

Journal of econometrics, 2003-06, Vol.114 (2), p.349-360

2003

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Determinants of bid and ask quotes and implications for the cost of trading

Journal of empirical finance, 2008-09, Vol.15 (4), p.656-678

2008

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Microstructure Noise, Realized Variance, and Optimal Sampling

The Review of economic studies, 2008-04, Vol.75 (2), p.339-369

2008

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Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model

Journal of empirical finance, 1997, Vol.4 (2), p.187-212

1997

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Measuring and Modeling Execution Cost and Risk

Journal of portfolio management, 2012-01, Vol.38 (2), p.14-28

2012

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Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations: REALIZED VOLATILITY

Journal of econometrics, 2010, Vol.160 (1), p.145-159

2010

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Realized volatility forecasting and option pricing: Econometric modelling in finance and risk management

Journal of econometrics, 2008, Vol.147 (1), p.34-46

2008

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[Realized Variance and Market Microstructure Noise]: Comment

Journal of business & economic statistics, 2006-04, Vol.24 (2), p.167-173

2006

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Comment

Journal of business & economic statistics, 2006-04, Vol.24 (2), p.167-173

2006

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Comment

Journal of business & economic statistics, 2006-04, Vol.24 (2), p.167-173

2006

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Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model

SSRN Electronic Journal

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Econometric analysis of irregularly spaced transaction data using a new class of accelerated failure time models with applications to financial transaction data

Russell, Jeffrey R

1996

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CHAPTER 7 - Analysis of High-Frequency Data

Handbook of Financial Econometrics, Vol 1, 2010, p.383-426

2010

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The Joint Pricing of Volatility and Liquidity

SSRN Electronic Journal

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Chapter 5 Volatility

Handbooks in Operations Research and Management Science, 2007, Vol.15, p.183-222

2007

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Separating Microstructure Noise from Volatility

SSRN Electronic Journal

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Separating microstructure noise from volatility

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations

Realized Volatility Forecasting in the Presence of Time-Varying Noise

Realized volatility forecasting and option pricing

Using High-Frequency Data in Dynamic Portfolio Choice

True or Spurious Long Memory? A New Test

A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model

A nonlinear autoregressive conditional duration model with applications to financial transaction data

Kurtosis of GARCH and stochastic volatility models with non-normal innovations

Determinants of bid and ask quotes and implications for the cost of trading

Microstructure Noise, Realized Variance, and Optimal Sampling

Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model

Measuring and Modeling Execution Cost and Risk

Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations: REALIZED VOLATILITY

Realized volatility forecasting and option pricing: Econometric modelling in finance and risk management

[Realized Variance and Market Microstructure Noise]: Comment

Comment

Comment

Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model

Econometric analysis of irregularly spaced transaction data using a new class of accelerated failure time models with applications to financial transaction data

CHAPTER 7 - Analysis of High-Frequency Data

The Joint Pricing of Volatility and Liquidity

Chapter 5 Volatility

Separating Microstructure Noise from Volatility

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