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Asymptotic properties of the realized skewness and related statistics Journal article
Annals of the Institute of Statistical Mathematics, 2018
Authors:  Yuta Koike;  Zhi Liu
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High-frequency Data  Realized Skewness  Stochastic Sampling  Itô Semimartingale  Jumps  Microstructure Noise  
Realized skewness at high frequency and link to conditional market premium Conference paper
proceedings of Asian Finance Association (AsFA) 2013 Conference, Nanchang, China, 15‐17 JULY 2013
Authors:  Zhi Liu;  Kent Wang;  Junwei Liu
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High-frequency  Jump  Microstructure Noise  Realized Skewness  Stock Return Prediction