High frequency ANOVA that is robust to jumps, microstructure noise and asynchronous observation times

Publication Type

Journal Article

Publication Date

4-2026

Abstract

This article develops the necessary methodology for high frequency ANOVA, focusing on the estimationsof idiosyncratic volatility and averaged R-Squared. As a nonlinear and complicated functional of the spotcovariance matrix, idiosyncratic volatility estimation poses significant challenges, particularly with jumps,microstructure noise, and asynchronous observation times. Averaged R-Squared, a newly introduced quan-tity in high frequency econometrics, provides a measure of goodness-of-fit and allows for time-varyingfeatures for the coefficient of determination. This article extends the existing theories of Truncated S-TSRVand integrated volatility functional estimation to the case with price/volatility jumps, microstructure noise,and asynchronous/irregular observation times simultaneously. As an additional theoretical contribution, thisarticle proposes the central limit theorems for the functional of integrated volatility functionals (FIVF). MonteCarlo simulations confirm the robustness of our estimators. Empirical studies are conducted to investigatethe empirical features of the idiosyncratic volatility estimate, and the averaged R-Squared estimate.

Keywords

ANOVA, Asynchronous observation times, Averaged R-Squared, High frequency data, Idiosyncratic volatility, Jumps, Microstructure noise

Discipline

Econometrics | Statistics and Probability

Research Areas

Econometrics

Publication

Journal of Business and Economic Statistics

Volume

44

Issue

2

First Page

652

Last Page

664

ISSN

0735-0015

Identifier

10.1080/07350015.2025.2547945

Publisher

Taylor and Francis Group

Additional URL

https://doi.org/10.1080/07350015.2025.2547945

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