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This paper aims to explore specific cross-asset market correlations over the past fifteen- yearperiod-from January 04, 1999 till April 01, 2015, and within four sub-phases covering both the crisis and the non-crisis periods. On the basis of multivariate statistical methods, we focus on investigating relations between selected well-known market indices- U.S. 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 run normality and correlation analyses. This paper indicates that the TR/J CRB can be adequately modeled by a normal distribution, whereas the rest of benchmarks do not come from a normal distribution.\udThis paper, inter alia, points out some evidence of a statistically significant negative relationship between bond yields and the VIX in the past fifteen years and a statistically significant negative\udlinkage between the TR/J CRB and the VIX since 2009. In rather general terms, this paper thereafter supports the a priori idea- financial markets are interconnected. Such knowledge can\udbe beneficial for building and testing accurate financial market models, and particularly for the understanding and recognizing market cycles

Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence