Jeffrey Russell conducts research on financial econometrics, time series, applied econometrics, empirical market microstructure, and high-frequency financial data. Russell's recent research has focused on using intraday price data to measure and predict financial asset volatility. His work has appeared in the Review of Economic Studies, Journal of Financial Economics and Econometrica. His research is supported by a Morgan Stanley Equity Microstructure Grant and he is the recipient of an Alfred P. Sloan Doctoral Dissertation Fellowship.
In addition to teaching and research, Russell is an associate editor of the Journal of Business and Economic Statistics. He has served on the NASDAQ Board of Economic Advisors. Additionally, he works as a consultant for legal and financial companies. He also has worked as a consultant for Citadel, where he modeled and forecasted intraday financial returns.
Russell has made presentations all over the world, including the 2006 North American Econometric Society Meetings, the 2005 Financial Econometrics Conference in Montreal, the 2005 Morgan Stanley Equity Microstructure Conference in Miami, and the 2005 American Finance Association Annual Meetings in Philadelphia.
He was the 2005-2006 Morgan Stanley visiting researcher at NYU. He earned a bachelor's of arts degree and a bachelor's of science degree in 1991. In 1996 he received a PhD in economics from the University of California at San Diego, where he earned an Econometric Analysis Fellowship and an Academic Excellence Award. He joined the Chicago Booth faculty in 1996.
2013 - 2014 Course Schedule
||Time-series Analysis for Forecasting and Model Building
Food and wine, flying sailplanes (not at the same time).
Econometrics; time series; empirical finance; analysis of high-frequency financial data.
With F. Bandi, "Microstructure Noise, Realized Volatility, and Optimal Sampling," Review of Economic Studies (forthcoming).
With F. Bandi and J. Zhu, "Using High-Frequency Data in Dynamic Portfolio Choice" Econometric Reviews (forthcoming).
With F. Bandi, "Separating Microstructure Noise from Volatility," Journal of Financial Economics (2006).
With R. Engle, "A Discrete-State, Continuous-Time Model for Financial Transactions Prices and Times: The ACM-ACD Model," Journal of Business Economics and Statistics (2006).
With R. Engle, "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica (1998).
For a listing of research publications please visit
’s university library listing