High-Frequency Return Dynamics is a theoretical framework that characterizes the temporal evolution and statistical behavior of asset returns at intraday intervals, distinguished by its focus on microstructure noise, irregular timing, and rapid volatility fluctuations inherent in high-frequency financial data.
56
Publications
4.8K
Citations
114
Authors
104
Institutions
Publications per year
2017–2026
18
Publications
56
David Cutler, James M. Poterba, Lawrence H. Summers · The Review of Economic Studies · 1991 · 453 citations · Full text
Jun Cai, Yan‐Leung Cheung, Michael C. S. Wong · Journal of Futures Markets · 2001 · 198 citations
1–5 of 56
Authors
114
- JH
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- DB
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- SC
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- AC
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1–5 of 114
Institutions
104
Baruch College
New York, United States
3 h-index
3 publications
129 citations
University of Economics Ho Chi Minh City
Ho Chi Minh City, Vietnam
3 h-index
3 publications
387 citations
Johns Hopkins University
Baltimore, United States
3 h-index
3 publications
181 citations
Federal Reserve Board of Governors
Washington D.C., United States
3 h-index
7 publications
599 citations
National Bureau of Economic Research
Cambridge, United States
3 h-index
3 publications
790 citations
Federal Reserve
Washington D.C., United States
3 h-index
7 publications
599 citations
Universidad de la República de Uruguay
Montevideo, Uruguay
2 h-index
4 publications
106 citations
Harvard University
Cambridge, United States
2 h-index
4 publications
1.5K citations
1–8 of 104
Venues
- SSRN Electronic Journal
Repository · 10 publications · 415 citations
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- Journal of Business and Economic Statistics
JBES · 4 publications · 133 citations
4
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- Physica A Statistical Mechanics and its Applications
3 publications · 79 citations
3
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- Journal of Statistical Mechanics Theory and Experiment
JSTAT · 3 publications · 61 citations
3
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- Review of Financial Studies
2 publications · 977 citations
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