In July 1990, the project of the European Monetary Union (EMU) started and finally led to the introduction of the Euro in January 1999. This paper analyses the development of the government bond market integration during the three stages of the EMU. Based on the results from dynamic conditional...

Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions which result from the assumption of conditionally...

The H-family of distributions or H-distributions, introduced by Tukey (1960, 1977), are generated by a single transformation of the standard normal distribution and allow for leptokurtosis represented by the parameter h. Alternatively, Haynes, MacGillivray and Mengersen (1997) generated...

Using the Gaussian distribution as statistical model for data sets is widely spread, especially in practice. However, departure from normality seems to be more the rule than the exception. The H-distributions, introduced by Tukey (1960, 1977), are generated by a single transformation...