In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan. We analyze both currency-hedged as well as unhedged bond returns. For currency-hedged bond returns, we find that five factors explain 96.5% of the...

This paper proposes a model for self-assessed health at an aggregate level that allows to generate age- and gender-specific stochastic forecasts of future health. We decompose health status into a time effect and an age effect. We then further decompose the time effect into observed...