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This paper analyzes whether realized higher moments are able to predict out-of-sample sovereign bond returns using high-frequency data from the European bond market. We study bond return predictability over tranquil and crisis periods and across core and periphery markets at the index and country level. We provide fresh evidence that realized kurtosis is the dominant predictor of subsequent returns among higher moments and other predictors such as CDS spreads, short-term interest rates and implied stock market volatility. Our findings further underline that sovereign bond return predictability is stronger during crisis periods and more pronounced for bonds of lower credit ratings. University College Dublin

The global integration of the Central and Eastern European countries (CEECs’) sovereign bond markets was investigated in this paper. Summarizing the results of this study it can be stated that the global and regional integration of the CEECs sovereign bond markets is stronger in terms of sovereign bond CDS spreads volatilities comparing the sovereign bond CDS spreads changes and regional integration of CEECs bond markets is higher than global integration.