Concepedia

Multivariate High-frequency Analysis

Multivariate High-Frequency Analysis is a statistical methodology within time series analysis that involves the simultaneous modeling and inference of multiple interdependent high-frequency financial or economic processes to capture dynamics such as co-movements, lead-lag relationships, and cross-market spillovers at fine temporal resolutions.

32

Publications

3.4K

Citations

69

Authors

52

Institutions

Publications per year

2017–2026

2

Parents

Publications

32

Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

Ole E. Barndorff–Nielsen, Neil Shephard · Econometrica · 2004 · 948 citations

, , +17

Dependence Structures for Multivariate High-Frequency Data in Finance

Figshare · 2002 · 389 citations · Full text

, , +15

Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange

Francis X. Diebold, Jinyong Hahn, Anthony S. Tay · The Review of Economics and Statistics · 1999 · 357 citations · Full text

, , +17

Dependence structures for multivariate high-frequency data in finance

Quantitative Finance · 2003 · 317 citations · Full text

, , +15

Multivariate high‐frequency‐based volatility (HEAVY) models

Diaa Noureldin, Neil Shephard, Kevin Sheppard · Journal of Applied Econometrics · 2011 · 243 citations

, , +17

1–5 of 32

Authors

69

  1. MD
    Manfred Deistler

    TU Wien, Austria

    2 publications · 53 citations

    2

    h-index

  2. SP
    Stefano Peluso

    Università Cattolica del Sacro Cuore, Italy

    2 publications · 34 citations

    2

    h-index

  3. BD
    Brian D. O. Anderson

    Australian National University, Australia

    2 publications · 53 citations

    2

    h-index

  4. DX
    Dacheng Xiu

    University of Chicago, United States

    2 publications · 252 citations

    2

    h-index

  5. MZ
    Mohsen Zamani

    University of Newcastle Australia, Australia

    2 publications · 53 citations

    2

    h-index

1–5 of 69

Institutions

52

  1. University of Oxford

    Oxford, United Kingdom

    3 h-index

    5 publications

    1.7K citations

  2. ETH Zurich

    Zurich, Switzerland

    2 h-index

    3 publications

    187 citations

  3. University of Minnesota

    Minneapolis, United States

    2 h-index

    6 publications

    201 citations

  4. Stanford University

    Stanford, United States

    2 h-index

    2 publications

    156 citations

  5. Swiss Re (Switzerland)

    Zurich, Switzerland

    2 h-index

    2 publications

    364 citations

  6. Credit Suisse (Switzerland)

    Zurich, Switzerland

    2 h-index

    2 publications

    364 citations

  7. Data61

    Sydney, Australia

    2 h-index

    2 publications

    53 citations

  8. University of Warwick

    Coventry, United Kingdom

    2 h-index

    2 publications

    119 citations

1–8 of 52

Venues

  1. SSRN Electronic Journal

    Repository · 5 publications · 127 citations

    5

    h-index

  2. Quantitative Finance

    3 publications · 374 citations

    3

    h-index

  3. 3

    h-index

  4. Journal of Econometrics

    2 publications · 330 citations

    2

    h-index

  5. The European Physical Journal B

    1 publications · 12 citations

    1

    h-index

1–5