@article {Tsuchida75, author = {Naoshi Tsuchida and Rosella Giacometti and Frank J. Fabozzi and Young Shin Kim and Robert J. Frey}, title = {Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns}, volume = {24}, number = {1}, pages = {75--87}, year = {2014}, doi = {10.3905/jfi.2014.24.1.075}, publisher = {Institutional Investor Journals Umbrella}, 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.TOPICS: Fixed income and structured finance, statistical methods, developed}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/24/1/75}, eprint = {https://jfi.pm-research.com/content/24/1/75.full.pdf}, journal = {The Journal of Fixed Income} }