We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the … skewness and next week?'s stock returns. A trading strategy that buys stocks in the lowest realized skewness decile and sells … stocks in the highest realized skewness decile generates an average weekly return of 24 basis points with a t-statistic of 3 …

Yes. We use intraday data to compute weekly realized variance, skewness and kurtosis for individual equities and assess … negative relationship between realized skewness and next week?s stock returns, and a positive relationship between realized … kurtosis and next week?s stock returns. We do not ?nd a strong relationship between realized volatility and stock returns. A …

volatility, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …

forecasting. We consider option-implied volatilities, skewness, kurtosis, and densities. More generally, we discuss how any …