Realized cumulants for martingales

Abstract

Generalizing the realized variance, the realized skewness (Neuberger, 2012) and the realized kurtosis (Bae and Lee, 2020), we construct realized cumulants with the so-called aggregation property. They are unbiased statistics of the cumulants of a martingale marginal based on sub-period increments of the martingale and its lower-order conditional cumulant processes. Our key finding is a relation between the aggregation property and the complete Bell polynomials.