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Quantile-on-quantile connectedness measures: Evidence from the US treasury yield curve
15 references·2 citing·43 second hop
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2015Oil prices, US stock return, and the dependence between their quantiles1,428 cited
  • 2021Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach524 cited
  • 2022Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets519 cited
  • 2012New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing453 cited
  • 1995Time-Varying Expected Returns in International Bond Markets286 cited
  • 2009Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature214 cited
  • 2019International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression154 cited
  • 2014Why do term structures in different currencies co-move?128 cited

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2012
Level, slope, curvature of the sovereign yield curve, and fiscal behaviour
75 cited

Cited by

  • 2024Quantile connectedness between VIX and global stock markets39 cited
  • 2024Green bonds and financial markets: Interdependence across different market situations30 cited