Asymptotic properties of the realized skewness and related statistics

  • Yuta Koike
  • Zhi Liu


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.


High-frequency data Itô semimartingale Jumps Microstructure noise Realized skewness Stochastic sampling 


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Copyright information

© The Institute of Statistical Mathematics, Tokyo 2018

Authors and Affiliations

  1. 1.Graduate School of Mathematical SciencesUniversity of TokyoTokyoJapan
  2. 2.Department of Business Administration, Graduate School of Social SciencesTokyo Metropolitan UniversityTokyoJapan
  3. 3.The Institute of Statistical MathematicsTokyoJapan
  4. 4.CREST, Japan Science and Technology AgencyKawaguchiJapan
  5. 5.Department of MathematicsUniversity of MacauTaipaChina

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