This paper develops the necessary methodology for high frequency ANOVA, which includes the estimations of idiosyncratic volatility and realized R-Squared. Because the residual process is latent in the high frequency regression, the estimation of idiosyncratic volatility is notoriously difficult...

High frequency regression has received more and more attention recent years. This is the first paper about detecting the change points in the beta process of high frequency regression. As an intermediate modelling approach between the constant beta and continuous beta process, this paper employs...

This is the first paper about the high dimensional beta tests with high frequency financial data, which allowing that the number of regressors can be larger than the number of observations within each estimation block and can also grow to infinity in asymptotics. In this paper, the sum-type test...