In this paper, we examine potential time-varying correlations between crude oil future and USA bond markets. We employ … a dynamic conditional correlation (DCC) multivariate GARCH model in order to quantify potential contagion effects …. Empirical results reveal increased conditional correlation in the first sub-period (2005-2012) and no contagion in the second …

principles. Empirically, we show that four factors explain the discount bond excess return curve and term structure premium. Cash …

prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966 … pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results … differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more …

prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966 … pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results … differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more …