Kurtosis

(redirected from Leptokurtic distribution)
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Related to Leptokurtic distribution: Mesokurtic, skewness, Excess kurtosis

Kurtosis

Measures the fatness of the tails of a probability distribution. A fat-tailed distribution has higher-than-normal chances of a big positive or negative realization. Kurtosis should not be confused with skewness, which measures the fatness of one tail. Kurtosis is sometimes referred to as the volatility of volatility.
References in periodicals archive ?
The recent financial crisis has underscored the importance of active responses to extreme tail risks that are associated with a leptokurtic distribution of key monetary variables and stem from their volatility outbursts (Orlowski, 2010b).
If the estimated GED parameter is less than 2, leptokurtic distribution is detected.
In fact, it is easy to demonstrate that the sample median is more efficient than the sample mean when the data are drawn from leptokurtic distributions (i.