Nearly unbiased estimation of sample skewness

In this paper we examine the finite sample bias of sample skewness estimator for financial returns. We show that the bias of conventional sample skewness comes from two sources: the covariance between past return and future volatility, known as the leverage effect, and the covariance between past volatility and future return, commonly referred to as the volatility feedback effect. We derive explicit expressions for this bias and propose a nearly...