The third moment of returns is important for asset pricing. But skewness, particularly of long horizon returns, is hard to measure precisely. In the case of the second moment, the measurement problem is addressed through the use of realized volatility. This paper proposes an analogous definition...

Higher moments of long-horizon returns are important for asset pricing but are hard to measure accurately using standard techniques. We provide theory showing that short-horizon (e.g. daily) returns can be used to construct precise estimates of long-horizon (e.g. annual) moments without making...