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leptokurtosis

   Also found in: Financial 0.09 sec.
leptokurtosis
see kurtosis.
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In this paper, therefore, we employ the family of nested Power EWMA estimators, based on exponential power distribution, that offer a robust approach to fat-tailedness and leptokurtosis in the conditional distribution of returns to forecast VaR.
Fat--tails and VaR estimation using power EWMA models by Lee, Hsien-Feng / Journal of Academy of Business and Economics
Since then, numerous studies have demonstrated that market returns are not normal, but instead exhibit leptokurtosis (try this term at a cocktail party
Changing the answers: the gap between the risk we are taking and the ... by Panning, William H. / Best's Review
Another characteristic of the estimated model is its ability to capture leptokurtosis in the data, even at the conditional level.
Heteroskedastic behavior of the Indian stock market: evidence and ... by Karmakar, Madhusudan / Journal of Academy of Business and Economics
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