We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...

We develop a test for stationarity of latent volatility curves over time using high-frequency financial data. For deriving the asymptotic size and power of the test, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties of our...

We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...