Normal-distributed returns have a kurtosis of 3, irrespective their mean or standard deviation. Distributions with kurtosis of 3 are said to be mesokurtic. If a distribution’s kurtosis is greater than 3, it is said to be leptokurtic. If its kurtosis is less than 3, it is said to be platykurtic. Leptokurtosis is often associated with distributions that are simultaneously “peaked” and have “fat tails.” Platykurtosis is often associated with distributions that are simultaneously "less peaked" and have "thinner tails".
发表于 2012-6-7 11:26
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