Cite this data

If you use this data in your research, please cite the accompanying paper.

Paper citation

Elkassabgi, Ahmed. 2026. "The Sensitivity of High-Frequency Empirical Results to Data Cleaning Methodology." Journal of Financial Econometrics.

@article{elkassabgi2026sensitivity,
  author  = {Elkassabgi, Ahmed},
  title   = {The Sensitivity of High-Frequency Empirical
             Results to Data Cleaning Methodology},
  journal = {Journal of Financial Econometrics},
  year    = {2026}
}

Elkassabgi, A. (2026). The sensitivity of high-frequency empirical results to data cleaning methodology. Journal of Financial Econometrics.

Elkassabgi, Ahmed. "The Sensitivity of High-Frequency Empirical Results to Data Cleaning Methodology." Journal of Financial Econometrics, 2026.

Elkassabgi, A., 2026. The sensitivity of high-frequency empirical results to data cleaning methodology. Journal of Financial Econometrics.

Dataset citation

To cite the dataset itself (separate from the paper):

Elkassabgi, Ahmed. 2026. HF Data Library: High-Frequency U.S. Equity Data (version 1.0). https://hfdatalibrary.com. DOI: [pending Zenodo registration].

CITATION.cff

A machine-readable CITATION.cff file is available in the GitHub repository. GitHub will display a "Cite this repository" button automatically.

cff-version: 1.2.0
title: "HF Data Library"
message: "If you use this data, please cite it as below."
type: dataset
authors:
  - family-names: Elkassabgi
    given-names: Ahmed
    affiliation: "University of Central Arkansas"
    orcid: "https://orcid.org/0000-0002-5926-7493"
url: "https://hfdatalibrary.com"
license: CC-BY-4.0
version: "1.0"
date-released: "2026-04-09"

DOI

A persistent DOI will be issued through Zenodo upon the first public data release. Each major version will receive its own DOI, ensuring that citations reference a specific, immutable snapshot of the data.

The DOI will be registered with DataCite and indexed by Google Dataset Search, re3data.org, OpenAIRE, and ICPSR.