Asymptotic properties of the realized skewness and related statistics

Yuta Koike and Zhi Liu ()
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Yuta Koike: University of Tokyo
Zhi Liu: University of Macau

Annals of the Institute of Statistical Mathematics, 2019, vol. 71, issue 4, No 1, 703-741

Abstract: Abstract The recent empirical works have 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.

Keywords: High-frequency data; Itô semimartingale; Jumps; Microstructure noise; Realized skewness; Stochastic sampling (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s10463-018-0659-8

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