Intraday Return Dynamics is a theoretical construct in high-frequency data analysis that characterizes the temporal evolution and distribution of asset returns within a single trading day, distinguished by its focus on intraday periodicity, microstructure noise, and short-term serial dependence.
334
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476
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84
Parents
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334
Local Return Factors and Turnover in Emerging Stock Markets
K. Geert Rouwenhorst · The Journal of Finance · 1999 · 894 citations
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656
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476
UNSW Sydney
Sydney, Australia
7 h-index
8 publications
658 citations
City University of Hong Kong
Hong Kong, Hong Kong
7 h-index
11 publications
1.1K citations
Hong Kong Polytechnic University
Hong Kong, Hong Kong
7 h-index
12 publications
555 citations
Monash University
Melbourne, Australia
6 h-index
7 publications
250 citations
Tianjin University
Tianjin, China
6 h-index
16 publications
632 citations
Northwestern University
Evanston, United States
5 h-index
9 publications
1.2K citations
Hanken School of Economics
Helsinki, Finland
5 h-index
6 publications
372 citations
National Bureau of Economic Research
Cambridge, United States
5 h-index
5 publications
1.1K citations
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- Journal of Banking & Finance
25 publications · 2.3K citations
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- SSRN Electronic Journal
Repository · 36 publications · 1.4K citations
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- The Journal of Finance
14 publications · 4.4K citations
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- Physica A Statistical Mechanics and its Applications
15 publications · 493 citations
12
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- Pacific-Basin Finance Journal
12 publications · 567 citations
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