TY - JOUR T1 - Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns JF - The Journal of Fixed Income SP - 75 LP - 87 DO - 10.3905/jfi.2014.24.1.075 VL - 24 IS - 1 AU - Naoshi Tsuchida AU - Rosella Giacometti AU - Frank J. Fabozzi AU - Young Shin Kim AU - Robert J. Frey Y1 - 2014/06/30 UR - https://pm-research.com/content/24/1/75.abstract N2 - 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 ER -