RT Journal Article
SR Electronic
T1 Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 75
OP 87
DO 10.3905/jfi.2014.24.1.075
VO 24
IS 1
A1 Naoshi Tsuchida
A1 Rosella Giacometti
A1 Frank J. Fabozzi
A1 Young Shin Kim
A1 Robert J. Frey
YR 2014
UL https://pm-research.com/content/24/1/75.abstract
AB In this article, we analyze the distribution of returns on seven major Eurozone sovereign bonds and their co-movement for the period 2001 to 2011. We investigate five ARMA-GARCH models based on different innovation distributions: Gaussian, Student-t, classical tempered stable, normal tempered stable, and a-stable. For each model, we apply four copula dependence structures: Gaussian, Student-t, skewed Student-t, and multivariate normal tempered stable. Finally, we assess the forecasting performance of these models, and provide a forward-looking measure of the financial crisis of Greece.TOPICS: Fixed income and structured finance, statistical methods, developed