leptokurtosis


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leptokurtosis

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All this volatility results in pronounced tail risks, that is, much higher leptokurtosis in the distribution of time series of asset prices and interest rates (Orlowski, 2012; Gabrisch and Orlowski, 2011).
These facts together with a third moment different from zero and a fourth moment higher than three, indicates a non-normal distribution and leptokurtosis.
To avoid the possible dependencies across different trading rules, leptokurtosis, autocorrelation, conditional heteroskedasticity, and changing conditional means, they applied the bootstrap methodology to test and validate their empirical findings.
14; and that the distribution of principal's self-ratings had much higher values of leptokurtosis than teacher ratings, which means that the variance for the principal's self-ratings was much smaller than that for the teachers' ratings.
Our option pricing model can deal with these effects in the same way as the Black-Scholes models deal with skewness and leptokurtosis.
The author cautions about the use of applying VaR to measure a portfolio or an enterprise as it has limitations due to its heuristic nature, and is subject to attendant assumptions and complications as represented by skewness, leptokurtosis and outliers (especially), and conditional volatility and conditional correlation.
Besides their ability to accommodate volatility clustering, Gaussian GARCH models can not capture all the leptokurtosis in the data.
Which distribution to use in VaR calculations and model dynamics remain important areas of research since marginal foreign exchange return distributions are characterized by leptokurtosis and volatility clustering.
The sample kurtosis in Table 2 for the standardized residuals indicates that (G)ARCH accounts for some, but not all, of the leptokurtosis for the output growth rate.
Knowing the full distribution of data also makes clear what stylized facts need to be explained in theory; if the data were skewed heavily to the right and suffered from leptokurtosis, a theory explaining that data should be able to replicate these properties.
The data also failed to support this model: the degree of leptokurtosis was much too high, so that the curves were far from the normal distribution.
The KSE 100 index excess stock returns demonstrate significant leptokurtosis.