Browsing Documentos de Trabajo e Informes Técnicos by Author "Gil Bazo, Javier"
Now showing items 1-3 of 3
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A Non-Parametric Dimension Test of the Term Structure
Gil Bazo, Javier; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure ... -
Conditional beta pricing models: A nonparametric approach
We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). First, conditional covariances ... -
The Black Box of Mutual Fund Fees
Gil Bazo, Javier; Martínez Sedano, Miguel Ángel(University of the Basque Country, Department of Foundations of Economic Analysis II, 2004)
This paper re-examines the determinants of mutual fund fees paid by mutual fund shareholders for management costs and other expenses. There are two novelties with respect to previous studies. First, each type of fee is ...