High-Frequency Dependence Modeling is a methodological framework within time series analysis that specifically characterizes the dynamic, often nonlinear, interdependencies among variables observed at high-frequency intervals, distinguishing it from conventional dependence modeling by its focus on intraperiodic structures, microstructure noise, and asynchronous trading effects inherent in ultra-high-frequency financial and economic data.
56
Publications
3.5K
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171
Authors
126
Institutions
Publications per year
2017–2026
23
Publications
56
Dependence structures for multivariate high-frequency data in finance
Quantitative Finance · 2003 · 317 citations · Full text
1–5 of 56
Authors
171
- MU
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- XV
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- YA
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1–5 of 171
Institutions
126
University of Economics Ho Chi Minh City
Ho Chi Minh City, Vietnam
3 h-index
7 publications
182 citations
Wenzhou-Kean University
Wenzhou, China
2 h-index
2 publications
57 citations
HEC Paris
Jouy-en-Josas, France
2 h-index
3 publications
155 citations
Credit Suisse (Switzerland)
Zurich, Switzerland
2 h-index
2 publications
364 citations
ETH Zurich
Zurich, Switzerland
2 h-index
3 publications
187 citations
Aarhus University
Aarhus, Denmark
2 h-index
4 publications
151 citations
Princeton University
Princeton, United States
2 h-index
3 publications
452 citations
ILMA University
Karachi, Pakistan
2 h-index
2 publications
81 citations
1–8 of 126
Venues
- Physica A Statistical Mechanics and its Applications
10 publications · 317 citations
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- The North American Journal of Economics and Finance
3 publications · 162 citations
3
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- SSRN Electronic Journal
Repository · 3 publications · 128 citations
3
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- The Quarterly Review of Economics and Finance
QREF · 2 publications · 68 citations
2
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- Journal of Applied Physics
2 publications · 71 citations
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