PT  - JOURNAL ARTICLE
AU  - Naoshi Tsuchida
AU  - Rosella Giacometti
AU  - Frank J. Fabozzi
AU  - Young Shin Kim
AU  - Robert J. Frey
TI  - Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns
AID  - 10.3905/jfi.2014.24.1.075
DP  - 2014 Jun 30
TA  - The Journal of Fixed Income
PG  - 75--87
VI  - 24
IP  - 1
4099  - https://pm-research.com/content/24/1/75.short
4100  - https://pm-research.com/content/24/1/75.full
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