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Asymptotic properties of the realized skewness and related statistics
Yuta Koike1,2,3,4; Zhi Liu5
2018-04-17
Source PublicationAnnals of the Institute of Statistical Mathematics
ISSN0020-3157
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.

KeywordHigh-frequency Data Realized Skewness Stochastic Sampling Itô Semimartingale Jumps Microstructure Noise
DOIhttps://doi.org/10.1007/s10463-018-0659-8
Language英语
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Document TypeJournal article
CollectionFaculty of Science and Technology
DEPARTMENT OF MATHEMATICS
Corresponding AuthorZhi Liu
Affiliation1.Graduate School of Mathematical Sciences, University of Tokyo, Tokyo 153-8914, Japan
2.Department of Business Administration, Graduate School of Social Sciences, Tokyo Metropolitan University, Tokyo 100-0005, Japan
3.The Institute of Statistical Mathematics, 10-3 Midori-cho, Tachikawa, Tokyo 190-8562, Japan
4.CREST, Japan Science and Technology Agency, Kawaguchi 333-0012, Japan
5.Department ofMathematics, University ofMacau, Avenida da Universidade, Taipa,Macau 999078, China
Recommended Citation
GB/T 7714
Yuta Koike,Zhi Liu. Asymptotic properties of the realized skewness and related statistics[J]. Annals of the Institute of Statistical Mathematics,2018.
APA Yuta Koike,&Zhi Liu.(2018).Asymptotic properties of the realized skewness and related statistics.Annals of the Institute of Statistical Mathematics.
MLA Yuta Koike,et al."Asymptotic properties of the realized skewness and related statistics".Annals of the Institute of Statistical Mathematics (2018).
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