2016/12/27 by Yuta Koike, Zhi Liu, Koike, Yuta +1
Economics, Econometrics and Finance · #62G05 #62M10 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistics Theory (math.ST) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1612.08526
openalex publication_date 2016/12/27 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.