Time series and copula dependency analysis for eurozone sovereign bond returns

Naoshi Tsuchida; Rosella Giacometti; Frank J. Fabozzi; Young Shin Kim; Robert J. Frey

doi:10.3905/jfi.2014.24.1.075

Time series and copula dependency analysis for eurozone sovereign bond returns

Naoshi Tsuchida
, Rosella Giacometti
, Frank J. Fabozzi
, Young Shin Kim
, Robert J. Frey

Dean's Office, College of Business

Stony Brook University
University of Bergamo
EDHEC Business School

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Original language	English
Pages (from-to)	75-87
Number of pages	13
Journal	Journal of Fixed Income
Volume	24
Issue number	1
DOIs	https://doi.org/10.3905/jfi.2014.24.1.075
State	Published - 2014

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title = "Time series and copula dependency analysis for eurozone sovereign bond returns",

author = "Naoshi Tsuchida and Rosella Giacometti and Fabozzi, \{Frank J.\} and Kim, \{Young Shin\} and Frey, \{Robert J.\}",

year = "2014",

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journal = "Journal of Fixed Income",

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AU - Tsuchida, Naoshi

AU - Giacometti, Rosella

AU - Fabozzi, Frank J.

AU - Kim, Young Shin

AU - Frey, Robert J.

PY - 2014

Y1 - 2014

UR - https://www.scopus.com/pages/publications/84904973554

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DO - 10.3905/jfi.2014.24.1.075

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VL - 24

SP - 75

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JO - Journal of Fixed Income

JF - Journal of Fixed Income

IS - 1

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Time series and copula dependency analysis for eurozone sovereign bond returns

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