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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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