We identify local and global factors across international bond markets that arepoorly spanned by the traditional level …, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are … jointly signicant predictors of bond returns, where the global factor isclosely linked to US bond risk premia and …

time-varying dynamics for conditional variance of bond and currency returns. Furthermore, we propose an m+n model structure …