kurtosis

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Related to Excess kurtosis: platykurtic, leptokurtic, Curtosis

kurtosis

[kər′tō·səs]
(statistics)
The extent to which a frequency distribution is concentrated about the mean or peaked; it is sometimes defined as the ratio of the fourth moment of the distribution to the square of the second moment.

kurtosis

see MEASURES OF DISPERSION.
References in periodicals archive ?
The results reveal that soybean returns exhibit characteristics typical of financial time series such as volatility clustering, excess kurtosis, and skewness in the data.
In tables 1 and 2 we observe that all measures' distributions present large positive skewness and excess kurtosis, a well known stylized fact about volatility measures.
Caption: Figure 1: Excess kurtosis versus skewness for the CBOE S&P 500 Buy Write Index.
2) The student-t and GED are heavy-tailed distributions with positive excess kurtosis relative to a normal distribution, which has excess kurtosis of 0.
Empirical results show existence of volatility persistence and excess kurtosis in the real GDP growth rates.
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.
2002, 2003) demonstrate that distributions of hedge funds returns have a negative skewness and an excess kurtosis.
The normal distribution has an excess kurtosis of 0 but the distribution of home runs has an excess kurtosis of 13.
In particular, the ICSS algorithm neglects the excess kurtosis properties of the process and also it does not take into consideration the conditional heteroskedasiticity that is well known to exist in financial time series.
The jump feature in the JD and SVJ models cannot effectively capture the stylized facts of excess kurtosis and stochastic skewness observed in the currency options market when these models are used to hedge barrier options.
These show that the excess kurtosis of the pressure fluctuation signals depended on the operating conditions.
In addition the NZX 15 realized volatility also displays a negative excess kurtosis.