{
  "abstract": "We propose a nonparametric test of return asymmetry based on the realized quadratic covariation between a cumulative return path and its square using high-frequency data. Our null hypothesis is that the volatility path is independent of the Brownian motion driving returns. Under this null and a martingale condition, the infill limit of the statistic is conditionally Gaussian given the volatility path, with a conditional variance determined by integrated variance. Studentization by a feasible variance estimator yields an asymptotically standard normal statistic without specifying a parametric model for volatility. Simulations under Heston and Bates dynamics show near-nominal per-window size, quantify power gains from independent-window aggregation, and assess sensitivity to jump removal and volatility-dependent drift. An application to 165 U.S. stocks over 1998--2025 finds that rejections concentrate in negative asymmetry, consistent with the leverage effect.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2611.06368",
  "author_total": 3,
  "authors": [
    {
      "name": "Haozhe Jiang"
    },
    {
      "name": "Ostap Okhrin"
    },
    {
      "name": "Michael Rockinger"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/6tkfd6jcm3jvr.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2611.06368",
  "fulltext_url": null,
  "id": "6tkfd6jcm3jvr",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2611.06368",
  "language": null,
  "licence": "LicenseRef-arXiv-nonexclusive-1.0",
  "licence_label": "arXiv licence",
  "licence_source": "article",
  "licence_url": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "math.ST"
    ],
    [
      "arxiv",
      "stat.TH"
    ]
  ],
  "openalex": null,
  "pdf_url": "https://arxiv.org/pdf/2611.06368",
  "pmcid": null,
  "pmid": null,
  "published": "2026-11-04",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/6tkfd6jcm3jvr.ris",
  "sources": [
    {
      "first_seen": "2026-11-05T15:21:00Z",
      "native_id": "2611.06368",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2611.06368"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.ST",
      "subfield": "statistics"
    }
  ],
  "title": "Inference for Realized Quadratic Covariation of $R$ and $R^2$ as a Measure of Return Asymmetry",
  "title_text": "Inference for Realized Quadratic Covariation of R and R^2 as a Measure of Return Asymmetry",
  "type": "preprint",
  "updated_at": "2026-11-09T00:20:32Z",
  "url": "https://research.draconitic.com/paper/6tkfd6jcm3jvr",
  "venue": "arXiv",
  "versions": []
}