Yield eventually followed suit and declined to near 2%. As you can see on the chart, several divergences of varying degrees have been formed over the last few years, giving ample notice to a trend change in fixed income. Fortunately we don’t have to stop there. We can can take this a...
treasury bond yields- the 30-year treasury yield index (TYX) and the 10-year treasury yield (TNX); commodity futures the 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...