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Article

Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns

Naoshi Tsuchida, Rosella Giacometti, Frank J. Fabozzi, Young Shin Kim and Robert J. Frey
The Journal of Fixed Income Summer 2014, 24 (1) 75-87; DOI: https://doi.org/10.3905/jfi.2014.24.1.075
Naoshi Tsuchida
is a doctoral student in the Department of Applied Mathematics and Statistics at Stony Brook University in Stony Brook, NY.
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  • For correspondence: tsuchida.1981.naoshi@gmail.com
Rosella Giacometti
is a professor in the Department of Management, Economics and Quantitative Methods at University of Bergamo in Bergamo, Italy.
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  • For correspondence: rosella.giacometti@unibg.it
Frank J. Fabozzi
is a professor of finance at EDHEC Business School in Nice, France.
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  • For correspondence: frank.fabozzi@edhec.edu
Young Shin Kim
is a professor in the College of Business at Stony Brook University in Stony Brook, NY.
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  • For correspondence: aaron.kim@stonybrook.edu
Robert J. Frey
is a professor in the Department of Applied Mathematics and Statistics at Stony Brook University in Stony Brook, NY.
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  • For correspondence: frey@ams.sunysb.edu
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Abstract

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.

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The Journal of Fixed Income: 24 (1)
The Journal of Fixed Income
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Summer 2014
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Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns
Naoshi Tsuchida, Rosella Giacometti, Frank J. Fabozzi, Young Shin Kim, Robert J. Frey
The Journal of Fixed Income Jun 2014, 24 (1) 75-87; DOI: 10.3905/jfi.2014.24.1.075

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Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns
Naoshi Tsuchida, Rosella Giacometti, Frank J. Fabozzi, Young Shin Kim, Robert J. Frey
The Journal of Fixed Income Jun 2014, 24 (1) 75-87; DOI: 10.3905/jfi.2014.24.1.075
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