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LIU ZHI [2]
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2014 [1]
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Asymptotic properties of the realized skewness and related statistics
Journal article
Yuta Koike, Zhi Liu. Asymptotic properties of the realized skewness and related statistics[J]. Annals of the Institute of Statistical Mathematics, 2019.
Authors:
Yuta Koike
;
Zhi Liu
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Submit date：2019/06/10
High-frequency Data
Realized Skewness
Stochastic Sampling
Itô Semimartingale
Jumps
Microstructure Noise
Realized skewness at high frequency and link to conditional market premium
Conference paper
Zhi Liu, Kent Wang, Junwei Liu. Realized skewness at high frequency and link to conditional market premium[C], 2014.
Authors:
Zhi Liu
;
Kent Wang
;
Junwei Liu
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Submit date：2019/06/10
High-frequency
Jump
Microstructure Noise
Realized Skewness
Stock Return Prediction
