Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence

Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence

This paper aims to explore specific cross-asset market correlations over the past fifteen- yearperiod-from January 04, 1999 till April 01, 2015, and within four sub-phases covering both the crisis and the non-crisis periods. On the basis of multivariate statistical methods, we focus on investigating...

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Bibliographic Details
Main Author: Vychytilova Jana
Format: Article
Language:English
Published: Tomas Bata University in Zlín 2015-09-01
Series:Journal of Competitiveness
Subjects:
return-volatility relation
stocks
commodities
VIX
TYX
Online Access:http://www.cjournal.cz/files/201.pdf

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