Concepedia

High-frequency Correlation Modeling

High-Frequency Correlation Modeling is a statistical framework that captures the dynamic interdependencies among asset returns at ultra-high temporal resolutions by accounting for microstructure noise, non-synchronicity, and rapid time variation in correlations.

23

Publications

775

Citations

63

Authors

41

Institutions

Publications per year

2017–2026

2

Parents

Publications

23

The Factor–Spline–GARCH Model for High and Low Frequency Correlations

José Gonzalo Rangel, Robert F. Engle · Journal of Business and Economic Statistics · 2012 · 89 citations

, , +17

Graph-based stock correlation and prediction for high-frequency trading systems

Tao Yin, Chenzhengyi Liu, Fangyu Ding et al. · Pattern Recognition · 2021 · 66 citations

, , +14

SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS

Alexander Aue, Siegfried Hörmann, Lajos Horváth et al. · Econometric Theory · 2011 · 61 citations

, , +14

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Nikolaus Hautsch · Journal of Economic Dynamics and Control · 2008 · 57 citations

, , +16

High Frequency and Dynamic Pairs Trading Based on Statistical Arbitrage Using a Two-Stage Correlation and Cointegration Approach

George J. Miao · International Journal of Economics and Finance · 2014 · 56 citations · Full text

, , +17

1–5 of 23

Authors

63

  1. RF
    Robert F. Engle

    New York University, United States

    3 publications · 125 citations

    3

    h-index

  2. JG
    José Gonzalo Rangel

    New York University, United States

    3 publications · 125 citations

    3

    h-index

  3. EK
    Evžen Kočenda

    Charles University, Czechia

    1 publications · 22 citations

    1

    h-index

  4. JD
    José Da Fonseca

    Auckland University of Technology, New Zealand

    1 publications · 16 citations

    1

    h-index

  5. WD
    Wang Duan

    University of Rijeka, Croatia

    1 publications · 21 citations

    1

    h-index

1–5 of 63

Institutions

41

  1. New York University

    New York, United States

    3 h-index

    3 publications

    125 citations

  2. Charles University

    Prague, Czechia

    2 h-index

    3 publications

    105 citations

  3. National Bureau of Economic Research

    Cambridge, United States

    2 h-index

    2 publications

    36 citations

  4. Pukyong National University

    Busan, South Korea

    1 h-index

    1 publications

    46 citations

  5. University of Cape Coast

    Cape Coast, Ghana

    1 h-index

    6 publications

    222 citations

  6. Istituto Nazionale per la Fisica della Materia

    Genoa, Italy

    1 h-index

    2 publications

    26 citations

  7. University of Bergamo

    Bergamo, Italy

    1 h-index

    3 publications

    60 citations

  8. Imperial College London

    London, United Kingdom

    1 h-index

    1 publications

    36 citations

1–8 of 41

Venues

  1. 4

    h-index

  2. SSRN Electronic Journal

    Repository · 3 publications · 77 citations

    3

    h-index

  3. Journal of Financial Econometrics

    1 publications · 20 citations

    1

    h-index

  4. Econometric Theory

    1 publications · 61 citations

    1

    h-index

  5. Pattern Recognition

    1 publications · 66 citations

    1

    h-index

1–5