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

Overview It has been observed that return distributions in general and interest rates in particular exhibit skewness and kurtosis that are inadequately modeled by the lognormal distribution. We have modeled the skewness and kurtosis of the short rate using the g-and-h distribution and Generalized Beta Distribution of the Second Kind (GB2) and compare their performance. The g-and-h distribution is a functional transformation of the standard normal distribution and spans a much wider area in the skewness-kurtosis plane than many well-known skewed and leptokurtic distributions including GB2.

Further White Paper Details
Publisher	Wharton Financial Institutions Center	File Format	HTML & PDF
Date Published	June 2002	Downloads	520
Format	White Papers
Topics	Currency Conversion, Economic Modeling, Online Trading

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