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

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F15%3A43873157" target="_blank" >RIV/70883521:28120/15:43873157 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.7441/joc.2015.03.10" target="_blank" >http://dx.doi.org/10.7441/joc.2015.03.10</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.7441/joc.2015.03.10" target="_blank" >10.7441/joc.2015.03.10</a>

Result language

angličtina

Original language name

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

Original language description

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 multivariatestatistical methods, we focus on investigating relations between selected well-known market indices- U.S. treasury bond yields- the 30-year treasury yield index (TYX) and the 10-year treasury yield (TNX); commodity futuresthe TR/J CRB; and implied volatility of S&P 500 index- the VIX. We estimate relative logarithmic returns by using monthly close prices adjusted for dividends and splits and run normality and correlation analyses. This paper indicates that the TR/J CRB can be adequately modeled by a normal distribution, whereas the rest of benchmarks do not come from a normal distribution. This paper, inter alia, points out some evidence of a statistically significant negative relationship between bond yields and the VIX in the past fi

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AE - Management, administration and clerical work

OECD FORD branch

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Project

<a href="/en/project/EE2.3.20.0147" target="_blank" >EE2.3.20.0147: Development of Manpower in the Research Field of Performance Measurement and Operation, Companies, Clusters and Regions</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of Competitiveness

ISSN

1804-171X

e-ISSN

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Volume of the periodical

7

Issue of the periodical within the volume

3

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

16

Pages from-to

143-158

UT code for WoS article

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EID of the result in the Scopus database

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