Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; … - 2023
We examine the predictive value of expected skewness of oil returns for the realized volatility using monthly data from … structural breaks. In-sample results show that the predictive impact of expected skewness on realized volatility can be both … positive and negative, with these signs contingent on the quantiles of realized volatility. Moreover, we detected statistically …