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Asymptotic properties of the realized skewness and related statistics

Author

Listed:
  • Yuta Koike

    (University of Tokyo
    Tokyo Metropolitan University
    The Institute of Statistical Mathematics
    CREST, Japan Science and Technology Agency)

  • Zhi Liu

    (University of Macau)

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.

Suggested Citation

  • Yuta Koike & Zhi Liu, 2019. "Asymptotic properties of the realized skewness and related statistics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(4), pages 703-741, August.
    • Handle: RePEc:spr:aistmt:v:71:y:2019:i:4:d:10.1007_s10463-018-0659-8
    DOI: 10.1007/s10463-018-0659-8
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    References listed on IDEAS

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    Cited by:

    1. Ole Martin & Mathias Vetter, 2019. "Laws of large numbers for Hayashi–Yoshida-type functionals," Finance and Stochastics, Springer, vol. 23(3), pages 451-500, July.

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