Asymptotic properties of the realized skewness and related statistics
Asymptotic properties of the realized skewness and related statistics
复制标题
已实现偏度的渐近特性及相关统计量
DOI：
10.1007/s10463-018-0659-8
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发表时间：
2018
影响因子：
1
通讯作者：
Liu Zhi
中科院分区：
文献类型：
--
作者：
Koike Yuta;Liu Zhi
最近的实证研究指出，已实现偏度，即金融资产日内高频收益的样本偏度，可以用来预测横截面上的未来收益。从理论上讲，实现的偏度被解释为离散观测的半鞅在固定区间内收益的样本偏度。本文的目的是在这样的框架下研究已实现的偏度的渐近性质。在测量误差存在且采样时间是随机的情况下，我们还发展了已实现偏度极限特性的估计理论。
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.