we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …

forecast model that dominates all competitors. Focusing on Brazilian data, this paper aims to identify the existence of … models may vary over time. The problems of using individual models may be reduced by applying forecast combining schemes. The … empirical results show consistent forecast gains of combining schemes over time. In particular, the longer the forecast horizon …