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.
Found on
http://www.duke.edu/~charvey/Classes/wpg/bfglosk.htm
Measures the fatness of the tails of a probability distribution. A fat-tailed distribution has highe
Found on
http://www.encyclo.co.uk/local/22402
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