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arXiv · 1612.08526

Asymptotic properties of the realized skewness and related statistics

Yuta Koike·Zhi Liu
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Abstract

The recent empirical work of Amaya et al. (2015) has pointed out that the realized skewness, which is the sample skewness of intraday high-frequency returns of a financial asset, serves as forecasting future returns in the cross-section. Theoretically, the realized skewness is interpreted as the sample skewness of returns of a discretely observed semimartingale in a fixed interval. The aim of this paper is to investigate the asymptotic property of the realized skewness in such a framework. We also develop an estimation theory for the limiting characteristic of the realized skewness in a situation where measurement errors are present and sampling times are stochastic.

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Yuta Koike, Zhi Liu. 2016-12-27. Asymptotic properties of the realized skewness and related statistics. https://arxiv.org/abs/1612.08526

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