The optimal approach for emerging markets is the one that can equally well capture both leptokurtosis
(excess kurtosis) and time-varying volatility (heteroscedasticity).
Hence, the contracts show existence of leptokurtosis
in the mean data generating process, with too many observations around the mean and in the both tails and too few observations around one standard deviation from the mean, seem present.
These statistical problems are in addition to the various problems considered above, which may cause returns to exhibit positive or negative autocorrelation, an increased or reduced variance, a biased mean and leptokurtosis
This indicates that a leptokurtosis
at the left, which was smaller than the value of three, means that the data distribution is normal.
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.
Fortunately, there remains a compelling asset class for the more pedestrian advisor seeking leptokurtosis
in exchange-traded investments--specifically, among less liquid publicly-traded stocks.
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.
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.