Asymptotic properties of the realized skewness and related statistics
arXiv:1612.08526
Abstract
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.
40 pages