Asymptotic properties of the realized skewness and related statistics
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DOI: 10.1007/s10463-018-0659-8
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Cited by:
- Ole Martin & Mathias Vetter, 2019. "Laws of large numbers for Hayashi–Yoshida-type functionals," Finance and Stochastics, Springer, vol. 23(3), pages 451-500, July.
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Keywords
High-frequency data; Itô semimartingale; Jumps; Microstructure noise; Realized skewness; Stochastic sampling;All these keywords.
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