  We develop a general multivariate aggregation property which encompasses the
distinct versions of the property that were introduced by Neuberger [2012] and
Bondarenko [2014] independently. This way, we classify new types of model-free
realised characteristics for which risk premia may be estimated without bias.
We focus on the aggregation property for multivariate martingales and log
martingales, and then define realised third and fourth moments which allow
long-term higher-moment risk premia to be measured, efficiently and without
bias, using high-frequency returns.
