My PhD thesis consists in a multi-frequency approach to High Mass X-ray Binaries (HMXBs), using infrared and X-ray data. On one side, my research project aimed at the identification and characterization of IR counterparts to obscured HMXBs in the Scutum and Norma inner galactic arms. The identification of optical/IR counterparts to HMXBs is a necessary step to undertake detailed studies of these systems. With data limited to the high-energy range, the understanding of their complex structure and dynamics cannot be complete. In the last years, INTEGRAL has revealed the presence of an important population of heavily absorbed HMXBs in the Scutum and Norma regions, virtually unobservable below 4 keV. Optical counterparts to these obscured sources are hardly observable, due to the high interstellar extinction. I selected candidate counterparts by means of a photometric search for emission-line stars in the error boxes of the X-ray sources detected by INTEGRAL. With this objective, I built up (Brγ-K)-(H-K) and (HeI-K)-(H-K) IR color-color diagrams, in which emission-line stars are expected to show up below the absorption-line stars sequence. I applied this technique to search for counterparts to Be/XRBs, whose transient nature prevents the counterpart identification with follow-up X-ray observations with high spatial resolution. For each field, one to four candidate counterparts were identified. I also took spectra of proposed counterparts. The confirmation and spectral classifications of the systems led to unveil the nature of nine INTEGRAL objects. On the other hand, the work intended to provide for the first time a systematic study of four Be/XRBs during giant (type II) outbursts. I employed RXTE data, applying the three techniques of color-color/hardness-intensity diagrams (CD/HID), spectral fitting and Fourier power-spectral analysis, simultaneously, and using the retrieved results and correlations to try to define and characterize spectral states for this class of systems. In this way I followed both a model-independent (CD/HID) and model-dependent approach (spectral fits) to investigate the rapid aperiodic variability as a function of spectral sates in HMXBs. I obtained lightcurves, energy and power spectra for a total number of 320 observations. From X-ray colors, spectral and timing fitting, I clearly identified in all the four systems two different spectral states, i.e. the Diagonal Branch (DB) and Horizontal Branch (HB). The HB corresponds to a lower-flux state, with larger rms than the DB. Also, the power-law photon index decreases with flux in the HB, while stays constant or increases in the DB. The HB shows lower characteristic frequencies of the noise components than in the DB. The cyclotron resonant scattering features are generally associated with the DB, while absent or weaker during the DB. We showed how the transition between the two states may correspond to the transition from the standing shock emission to the thermal mound emission due to the turning point from super-Eddington luminosity regime (DB) to sub-Eddington luminosity regime (HB). From color, spectral and timing point of view, differences among systems easily distinguishes two subgroups, with the slower pulsars, KS 1947+300 and EXO2030+375, on one side, and the faster ones, 4U 0115+63 and V 0332+53, on the other. The first group is characterized by softer spectra in the HB compared with the other systems. Hysteresis is not observed in the slower pulsars, while it is evident in V 0332+53 and 4U 0115+63. Cyclotron resonant scattering features are crucial in the spectral shape of V 0332+53 and 4U 0115+63, where also a harmonic is observed in the 3-30 keV energy range. They are instead absent or very weak in the first group. According to timing features, a strong difference between the two groups is the presence of QPOs in the faster pulsars.El trabajo de tesis consiste en un estudio multifrecuencia de Binarias de rayos X de Alta Masa (HMXBs), utilizando datos infrarrojos y en banda X. E n l o s úl t i m o s a ñ o s l a m i s i ó n I N T E G R A L d e l a A g e n c i a E s p a c i a l E u r o p e a h a r e v e l a d o l a p r e s e n c i a d e u n a i m p o r t a n t e p o b l a c i ó n d e H M X Bs e n l o s b r a z o s g a l ác t i c o s d e S c u t u m y N o r m a . E n e f e c t o , l a m a y o r í a d e l a s n u e v a s H M X Bs d e s c u b i e r t a s p o r INTEGRAL e s t án f u e r t e m e n t e a b s o r b i d a s , v i r t u a l m e n t e i n o b s e r v a b l e s a e n e r g ía s i n f e r i o r e s a l o s 4 k e V . E s o e x p l i c a c o m o n o f u e r o n d e t e c t a d a s p o r l a s m i s i o n e s d e r a y o s X a n t e r i o r e s a I N T E G R A L . L a s c o n t r a p a r t i d a s ó p t i c a s d e e s t a s f u e n t e s o s c u r e c i d a s s o n d i f í c i l m e n t e o b s e r v a b l e s a c a u s a d e l a e l e v a d a e x t i n c i ó n i n t e r e s t e l a r. Por un lado, el objetivo de este proyecto fue la i d e n t i f i c a c i ó n d e c o n t r a p a r t i d a s i n f r a r r o j a s a l a s f u e n t e s d e r a y o s g a m m a d e s c u b i e r t a s p o r I N T E G R A L . La identificación se llevó a cabo a partir de fotometría en las bandas H, K, Br y HeI, y espectroscopía de resolución intermedia en la banda K. Para cada campo de INTEGRAL analizado se identificaron de una a cuatro posibles contrapartidas; nueve objetos desconocidos fueron clasificados como HMXBs. Por otro lado, se llevó a cabo el primer estudio sistemático de cuatro HMXBs durante outbursts gigantes, con el objetivo de definir estados espectrales en esta clase de binarias de rayos X. Utilizando datos del satélite RXTE, se extrajeron curvas de luz, espectros de energía y espectros de potencia de 320 observaciones. A través de los tres diferentes tipos de análisis (colores en banda X, ajustes espectrales y temporales), se identificaron en todas las fuentes dos estados espectrales, denominados “Rama Horizontal” (HB) y “Rama Diagonal” (DB). Al mismo tiempo, las diferencias entre las fuentes analizadas permitieron definir dos subgrupos de sistemas, con características espectrales y temporales propias: por una lado los púlsares lentos, y por otro los más rápidos.