Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be...

Volatility is a concern of many investors. In turbulent financial times there can be a flight from the equity market to treasury bonds in order to provide greater security, liquidity and guarantee of returns. Calculated as a weighted average of put and call options on the S&P 500 Index, the VIX...