Asymptotic properties of the realized skewness and related statistics

DOI10.1007/S10463-018-0659-8zbMATH Open1430.62223arXiv1612.08526OpenAlexW2962822429MaRDI QIDQ2317879FDOQ2317879

Authors: Yuta Koike, Zhi Liu 

Publication date: 13 August 2019

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

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.

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

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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)

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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

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