Analyzing Hedging Strategies for Fixed Income Portfolios: A Bayesian Approach for Model Selection

During the recent European sovereign debt crisis, returns on EMU government bond portfolios experienced substantial volatility clustering, leptokurtosis and skewed returns, as well as correlation spikes. Asset managers invested in European government bonds had to derive new hedging strategies to deal with the changing return properties and the higher level of uncertainty. In this market environment, conditional time series approaches such as GARCH models might be better suited to achieve a

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