Pre-averaging is a popular strategy for mitigating microstructure in high frequency financial data. As the term suggests, transaction or quote data are averaged over short time periods ranging from 30 seconds to five minutes, and the resulting averages approximate the efficient price process...

In this paper, we derive a new algebraic property of two scales estimation in high frequency data, under which the effect of sampling times is cancelled to high order. This is a particular robustness property of the two scales construction. In general, irregular, asynchronous, or endogenous...

Leverage effect has become an extensively studied phenomenon which describes the negative relation between the stock return and its volatility. Although this characteristic of stock returns is well acknowledged, most studies about it are based on cross-sectional calibration with parametric...

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...