kurtosis

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Related to Excess kurtosis: platykurtic, leptokurtic, Curtosis

kurtosis

 [ker-to´sis]
the degree of peakedness or flatness of a probability distribution, relative to the normal distribution with the same variance. See illustration.
Kurtosis. From Dorland's, 2000.

kur·to·sis

(kŭr-tō'sis),
The extent to which a unimodal distribution is peaked.
[G., an arching]

kurtosis

[kerto′sis]
the degree of peakedness or flatness of a probability distribution relative to the normal distribution with the same variance.

kurtosis

the quality of peakedness in a unimodal distribution. Abnormalities are leptokurtosis where values are clustered about the mean and the tails of the curve, and platykurtosis where the clustering produces a plateau-shaped curve.
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However, some researchers have pointed out that if the distribution of causal effects exhibits a high degree of non-normality, fat tails, excess kurtosis and skewness (e.
Far from normal where the excess kurtosis would be 0.
Compared to the BS model, the jump diffusion model attributes the skewness and excess kurtosis observed in the implied distribution of the underlying asset returns to the random jumps in the underlying asset returns.
Both series are not normally distributed; the changes in the NZVIX have a high excess kurtosis, while the NZX 15 returns are negatively skewed.
Second, the significant statistical property of excess kurtosis provides a cautionary note.
Daily returns on the indices are negatively skewed, and all the indices exhibit excess kurtosis.
The table shows traditional t values and--because of the excess kurtosis of the dependent variable--significance levels obtained from distribution free bootstrap t intervals (see Efron and Tibshirani, 1993).
Second, we look for signs of large shocks, and associated skewness and excess kurtosis, in the relevant distributions.
A further transform is applied, if necessary, to remove residual excess kurtosis (5).
Calculated per annum, we find the standard deviation [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] The skewness is [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] and excess kurtosis (over and above that occurring with a normal distribution) is defined by [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII].
Nearly 70% of individual stocks exhibit excess kurtosis.
Non-Gaussian features of excess skewness and excess kurtosis are documented in many cases, especially for the Range measures.