Abstract

http://ssrn.com/abstract=1807804
 
 

References (31)



 
 

Citations (11)



 


 



Realized Skewness


Anthony Neuberger


University of Warwick - Warwick Business School

March 12, 2012


Abstract:     
The third moment of returns is important for asset pricing. But skewness, particularly of long horizon returns, is hard to measure precisely. In the case of the second moment, the measurement problem is addressed through the use of realized volatility. This paper proposes an analogous definition of the realized third moment that is computed from high frequency returns, and provides an unbiased estimate of the third moment of long horizon returns. The realized skewness of index returns is shown to be predictable and time varying. The skewness of index returns increases with the length of the horizon (at least up to one year).

Number of Pages in PDF File: 50

Keywords: Skewness, realized volatility, realized variance, skew swap, variance swap

working papers series


Download This Paper

Date posted: April 15, 2011 ; Last revised: March 13, 2012

Suggested Citation

Neuberger, Anthony, Realized Skewness (March 12, 2012). Available at SSRN: http://ssrn.com/abstract=1807804 or http://dx.doi.org/10.2139/ssrn.1807804

Contact Information

Anthony Neuberger (Contact Author)
University of Warwick - Warwick Business School ( email )
Coventry CV4 7AL
United Kingdom
Feedback to SSRN


Paper statistics
Abstract Views: 1,573
Downloads: 429
Download Rank: 35,517
References:  31
Citations:  11

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo8 in 0.359 seconds