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Investing Glossary:
Kurtosis.
Copyright 2009,
Campbell R. Harvey. All Rights Reserved.
Do not reproduce without explicit permission.
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| Definition: |
| 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.
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