| Autoregressive conditional duration: a new model for irregularly spaced transaction data RF Engle, JR Russell Econometrica, 1127-1162, 1998 | 2453 | 1998 |
| Microstructure noise, realized variance, and optimal sampling FM Bandi, JR Russell The Review of Economic Studies 75 (2), 339-369, 2008 | 1015 | 2008 |
| Separating microstructure noise from volatility FM Bandi, JR Russell Journal of Financial Economics 79 (3), 655-692, 2006 | 840 | 2006 |
| A nonlinear autoregressive conditional duration model with applications to financial transaction data MY Zhang, JR Russell, RS Tsay Journal of Econometrics 104 (1), 179-207, 2001 | 469 | 2001 |
| Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model RF Engle, JR Russell Journal of empirical finance 4 (2-3), 187-212, 1997 | 365 | 1997 |
| True or spurious long memory? A new test A Ohanissian, JR Russell, RS Tsay Journal of Business & Economic Statistics 26 (2), 161-175, 2008 | 252 | 2008 |
| Kurtosis of GARCH and stochastic volatility models with non-normal innovations X Bai, JR Russell, GC Tiao Journal of econometrics 114 (2), 349-360, 2003 | 234 | 2003 |
| The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange DD Cho, J Russell, GC Tiao, R Tsay Journal of Empirical Finance 10 (1-2), 133-168, 2003 | 228 | 2003 |
| Measuring and modeling execution cost and risk R Engle, R Ferstenberg, J Russell | 227 | 2006 |
| A discrete-state continuous-time model of financial transactions prices and times: The autoregressive conditional multinomial–autoregressive conditional duration model JR Russell, RF Engle Journal of Business & Economic Statistics 23 (2), 166-180, 2005 | 210 | 2005 |
| Analysis of high frequency financial data RF Engle, JR Russell Handbook of financial econometrics, 2004 | 202* | 2004 |
| Consultative decision engine method and system for financial transactions J Russell, R Gagliano US Patent App. 10/145,263, 2002 | 192 | 2002 |
| Econometric modeling of multivariate irregularly-spaced high-frequency data JR Russell Manuscript, GSB, University of Chicago, 1999 | 190 | 1999 |
| Realized covariation, realized beta and microstructure noise FM Bandi, JR Russell Unpublished paper, Graduate School of Business, University of Chicago 122, 2005 | 130 | 2005 |
| Using high-frequency data in dynamic portfolio choice FM Bandi, JR Russell, Y Zhu Econometric Reviews 27 (1-3), 163-198, 2008 | 126 | 2008 |
| Econometric analysis of discrete-valued irregularly-spaced financial transactions data using a new autoregressive conditional multinomial model J Russell, RF Engle | 123* | 1998 |
| Forecasting transaction rates: the autoregressive conditional duration model RF Engle III, JR Russell National Bureau of Economic Research, 1994 | 123 | 1994 |
| Volatility and time series econometrics: essays in honor of Robert Engle T Bollerslev, J Russell, M Watson OUP oxford, 2010 | 114* | 2010 |
| Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations FM Bandi, JR Russell Journal of Econometrics 160 (1), 145-159, 2011 | 113 | 2011 |
| Realized volatility forecasting and option pricing FM Bandi, JR Russell, C Yang Journal of Econometrics 147 (1), 34-46, 2008 | 94 | 2008 |
