The main aim of the paper is to study and determine the optimal sampling frequency for modelling cryptoasset volatility. For that purpose, the noise-to-signal ratio is estimated for six selected cryptoassets, separately for each month of existance on Kraken exchange. The minimal noise-to-signal...

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...