Asymptotic properties of the realized skewness and related statistics

DOI10.1007/S10463-018-0659-8MaRDI QIDQ2317879zbMATH OpenOpenAlexFDO

Authors Yuta Koike, Zhi Liu

Publication date 13 August 2019

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.08526

zbMATH Keywords

jumpsmicrostructure noisehigh-frequency datastochastic samplingrealized skewnessItô semimartingale

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalizations of martingales (60G48) Jump processes on discrete state spaces (60J74)

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.

Recommendations

• Realized volatility with stochastic sampling
• A generalized skewness statistic for stationary ergodic martingale differences
• Nearly unbiased estimation of sample skewness
• Asymptotic distributions and performance of empirical skewness measures
• Effects of intervaling on high-frequency realized higher-order moments

Cites work

• scientific article; zbMATH DE number 44889 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 6324332 (Why is no real title available?)
• A note on central limit theorems for quadratic variation in case of endogenous observation times
• A note on the central limit theorem for bipower variation of general functions
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
• Discretization of processes.
• Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• Microstructure noise in the continuous case: the pre-averaging approach
• On Discontinuous Martingales
• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
• Realized volatility when sampling times are possibly endogenous
• Realized volatility with stochastic sampling
• Testing for simultaneous jumps in case of asynchronous observations
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation

Cited in

(6)

• A generalized skewness statistic for stationary ergodic martingale differences
• Laws of large numbers for Hayashi-Yoshida-type functionals
• Effects of intervaling on high-frequency realized higher-order moments
• Skew shape asymptotics, a case-based introduction
• Nearly unbiased estimation of sample skewness
• Statistical properties of a skew product with a curve of neutral points

This page was built for publication: Asymptotic properties of the realized skewness and related statistics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2317879)