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Non-centered asymptotic distribution of realized skewness under endogenous sampling
The realized skewness estimator is considered for a process $X^c$ sampled at times $(t_i^n)$ , where the sampling scheme may depend on $X^c$ . In particular, it may happen that … con…
Conjectureopenhigh-frequency-statistics realized-skewness stochastic-processesarXiv posted 2 days ago

Non-centered asymptotic distribution of realized skewness under endogenous sampling