25 citations · 89 across the 33 of their papers we have counts for
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math.ST2016★ 2 cited
Asymptotic properties of the realized skewness and related statistics
Yuta Koike, Zhi Liu
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, s…
math.ST2016★ 1 cited
On the asymptotic structure of Brownian motions with a small lead-lag effect
Yuta Koike
This paper considers two Brownian motions in a situation where one is correlated to the other with a slight delay. We study the problem of estimating the time lag parameter between…