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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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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Bookstaber, Richard M & McDonald, James B, 1987. "A General Distribution for Describing Security Price Returns," Journal of Business, University of Chicago Press, vol. 60(3), pages 401-24, July. [Downloadable!] (restricted)
  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. [Downloadable!] (restricted)
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  3. 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. [Downloadable!]
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  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," Journal of Business, University of Chicago Press, vol. 61(4), pages 451-72, October. [Downloadable!] (restricted)
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  1. 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. [Downloadable!]
    Other versions:
  2. 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. [Downloadable!]
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