Jefirey R. Russell

Microstructure Noise, Realized Variance, and Optimal Sampling

Federico M. Bandi, F. Bandi, Jefirey R. Russell, 2008 .

Full-information transaction costs ⁄

F. Bandi, Jefirey R. Russell, 2004 .

Market microstructure noise, integrated variance estimators, and the limitations of asymptotic approximations: a solution ⁄

F. Bandi, Jefirey R. Russell, 2005 .

THE JOINT PRICING OF VOLATILITY AND LIQUIDITY

J. Heaton, René Garcia, T. Andersen, 2008 .

Comment on \An unbiased measure of realized variance" and \Realized variance and market microstructure noise" by Peter Hansen and Asger Lunde

F. Bandi, Jefirey R. Russell, 2005 .