return is a significant determinant of every sector's return and/or return volatility, (iii) oil effects are asymmetric for … oil returns above and below the thresholds, (iv) asymmetry is stronger when oil return volatility is greater, (v …

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 …