This paper presents an algebraic method to construct convolutional codes with guaranteed \emph{free and local minimum distances} without limit based on cyclic codes of odd lengths. The constructions are simple but effective, and no computer search is needed. For any two positive integers $r$ and $t$ with $1 \leq r < t$, a rate-$r/t$ convolutional code $\mathcal{C}_{\text{convol}}$ can be constructed by using a chain of $r$ cyclic codes $\mathcal{C}_0, \mathcal{C}_1, \ldots, \mathcal{C}_{r-1}$ of the same length $n$ which satisfy the inclusion condition, $\mathcal{C}_0 \supset \mathcal{C}_1 \supset \ldots \supset \mathcal{C}_{r-1}$. Such a convolutional code $\mathcal{C}_{\text{convol}}$ is composed of a \emph{semi-infinite chain of identical local codes} confined in a diagonal band of width $n$. Each local code $\mathcal{C}_{\text{local}}$ of $\mathcal{C}_{\text{convol}}$ is formed from the $r$ cyclic codes in the code chain and is a specially localized subcode of the \emph{mother code} $\mathcal{C}_0$ in the code chain. The minimum distance $d_{\text{local}}$ of each local code of $\mathcal{C}_{\text{convol}}$ is lower bounded by the minimum distance $d_0$ of the mother code $\mathcal{C}_0$ in the code chain. The local structure of $\mathcal{C}_{\text{convol}}$ allows it to be decoded based on a designed parity-check matrix of the mother code $\mathcal{C}_0$ using a sliding window decoding scheme.

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