Georg ChmielGeorg ChmielCatherine SoSina LejuSidney TongBrendon ChauGeorg ChmielCatherine SoUrban VillaDonna Si
Finally, the kurtosis (“Kurtosis”) is large until the Dot-Com crisis and during the Sub-Prime crisis, indicative that there are fat tails in those periods, while before and after the Sub-Prime crisis it is too low. Thick tails in the kurtosis mean that there are large outliers in the...