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 … volatility feedback effect. We derive explicit expressions for this bias and propose a nearly unbiased skewness estimator under …

We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non …-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact … identical. Next, based on a detailed simulation study, we show that when the model is stationary this simple bias formula …

investigate multiplicative and additive bias correction methods within our framework. The multiplicative bias correction method …

, however, causes bias in small samples and possibly asymptotically when the variance is infinite, so we exploit a rarely used …