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Leptokurtosis |
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Leptokurtosis The condition of a probability density curve to have fatter tails and a higher peak at the mean than the normal distribution. Leptokurtosis A state in which the volatility of a security is itself not volatile. That is, lepkurtosis is a state in which the volatility of a security changes at a relatively low rate. This is shown on a chart by a distribution line with data points resembling fat tails and a higher mean, with an even distribution. See also: Kurtosis, Platykurtosis. How to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit webmaster's page for free fun content. |
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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. Since then, numerous studies have demonstrated that market returns are not normal, but instead exhibit leptokurtosis (try this term at a cocktail party Another characteristic of the estimated model is its ability to capture leptokurtosis in the data, even at the conditional level. |
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