An Analytical Examination of the Intervaling Effect on Skewness and Other Moments
用数学推导证明证券收益率的偏度（三阶矩除以标准差立方）会随测量区间长度变化，为已有实证矛盾提供解析解释。
The purpose of this paper is to demonstrate mathematically that the skewness of securities' returns--the ratio of the third moment to the standard deviation cubed--is sensitive to the length of the differencing interval over which returns are measured. Empirical observations of this so-called intervaling effect on skewness have been reported in at least three articles in this Journal . There have been no attempts, however, to examine this effect analytically. The empirical evidence presented in the literature is often contradictory and remains unexplained because of a lack of an analytical insight into the causes of the intervaling effect.