  The recent empirical work of Amaya et al. (2015) has pointed out that the
realized skewness, which is the sample skewness of intraday high-frequency
returns of a financial asset, serves as forecasting future returns in the
cross-section. Theoretically, the realized skewness is interpreted as the
sample skewness of returns of a discretely observed semimartingale in a fixed
interval. The aim of this paper is to investigate the asymptotic property of
the realized skewness in such a framework. We also develop an estimation theory
for the limiting characteristic of the realized skewness in a situation where
measurement errors are present and sampling times are stochastic.
