This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets. Decomposing the term structure of U.S. Treasury yields into two components, the expectations factor and ...

This paper shows that time-varying oil return volatility predicts regime transitions across a majority of global stock sectors, particularly for durables, financials, industrials, oil & gas, telecommunications and utilities. ...

This paper examines the information content of the U.S. term structure of interest rates on the market for real estate investment trusts (REITs) by decomposing the term structure of U.S. Treasury yields into two components ...