@article {Lekkos35, author = {Ilias Lekkos}, title = {Distributional Properties of Spot and Forward Interest Rates}, volume = {8}, number = {4}, pages = {35--54}, year = {1999}, doi = {10.3905/jfi.1999.319243}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article provides analysis of the distributional properties of spot and forward interest rates without imposing any ad hoc assumptions on the behavior of interest rates. Using the kernel density estimation method, we estimate the distributions of spot and forward interest rates in levels and first differences. By comparing the two distributions, we show that examination of interest rates in levels can provide incremental information about the data generation process. In addition, we examine whether commonly used distributions, like the normal and lognormal distribution, can provide an adequate description of interest rate distribution. Finally we examine a more flexible mixture of two distributions as an alternative characterization of the distribution of interest rate changes.}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/8/4/35}, eprint = {https://jfi.pm-research.com/content/8/4/35.full.pdf}, journal = {The Journal of Fixed Income} }