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On Measuring Skewness and Kurtosis in Short Rate Distributions: The Case of the US Dollar London Inter Bank Offer Rates

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  • Kabir K. Dutta
  • David F. Babbel

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Paper provided by Wharton School Center for Financial Institutions, University of Pennsylvania in its series Center for Financial Institutions Working Papers with number 02-25.

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Date of creation: Jun 2002
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Handle: RePEc:wop:pennin:02-25

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References

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  1. Bookstaber, Richard M & McDonald, James B, 1987. "A General Distribution for Describing Security Price Returns," The Journal of Business, University of Chicago Press, vol. 60(3), pages 401-24, July.
  2. McDonald, James B. & Xu, Yexiao J., 1995. "A generalization of the beta distribution with applications," Journal of Econometrics, Elsevier, vol. 69(2), pages 427-428, October.
  3. Lina El-Jahel & Hans Lindberg & William Perraudin, 1996. "Interest Rate Distributions, Yield Curve Modelling and Monetary Policy," Archive Working Papers 021, Birkbeck, Department of Economics, Mathematics & Statistics.
  4. Badrinath, S G & Chatterjee, Sangit, 1991. "A Data-Analytic Look at Skewness and Elongation in Common-Stock-Return Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(2), pages 223-33, April.
  5. Badrinath, S G & Chatterjee, Sangit, 1988. "On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index," The Journal of Business, University of Chicago Press, vol. 61(4), pages 451-72, October.
  6. Kabir K. Dutta & David F. Babbel, 2002. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," Center for Financial Institutions Working Papers 02-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
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Cited by:
  1. Andreas A. Jobst, 2007. "It's all in the data – consistent operational risk measurement and regulation," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 15(4), pages 423-449, November.
  2. Kabir K. Dutta & David F. Babbel, 2002. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," Center for Financial Institutions Working Papers 02-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
  3. Kabir Dutta & Jason Perry, 2006. "A tale of tails: an empirical analysis of loss distribution models for estimating operational risk capital," Working Papers 06-13, Federal Reserve Bank of Boston.
  4. Xu, Yihuan & Iglewicz, Boris & Chervoneva, Inna, 2014. "Robust estimation of the parameters of g-and-h distributions, with applications to outlier detection," Computational Statistics & Data Analysis, Elsevier, vol. 75(C), pages 66-80.

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