标题: Reading 7: Statistical Concepts and Market Returns-LOS k 习题 [打印本页]
作者: 1215 时间: 2011-3-1 14:50 标题: [2011]Session 2-Reading 7: Statistical Concepts and Market Returns-LOS k 习题
Session 2: Quantitative Methods: Basic Concepts
Reading 7: Statistical Concepts and Market Returns
LOS k: Define and interpret measures of sample skewness and kurtosis.
Which of the following statements concerning skewness is least accurate? A distribution with:
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A) |
a distribution with skew equal to 1 is not symmetrical. | |
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B) |
negative skewness has a large number of outliers on its left side. | |
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C) |
positive skewness has a long left tail. | |
A distribution with positive skewness has long right tails.
作者: 1215 时间: 2011-3-1 14:50
Which of the following statements concerning kurtosis is least accurate?
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A) |
A leptokurtic distribution has excess kurtosis less than zero. | |
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B) |
A distribution that is more peaked than a normal distribution is leptokurtic. | |
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C) |
A leptokurtic distribution has fatter tails than a normal distribution. | |
A leptokurtic distribution is more peaked than normal and has fatter tails. However, the excess kurtosis is greater than zero.
作者: 1215 时间: 2011-3-1 14:50
Which of the following statements about kurtosis is least accurate? Kurtosis:
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A) |
measures the peakedness of a distribution reflecting a greater or lesser concentration of returns around the mean. | |
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B) |
is used to reflect the probability of extreme outcomes for a return distribution. | |
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C) |
describes the degree to which a distribution is not symmetric about its mean. | |
The degree to which a distribution is not symmetric about its mean is measured by skewness. Excess kurtosis which is measured relative to a normal distribution, indicates the peakedness of a distribution, and also reflects the probability of extreme outcomes.
作者: 1215 时间: 2011-3-1 14:50
Which of the following statements concerning a distribution with positive skewness and positive excess kurtosis is least accurate?
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A) |
The mean will be greater than the mode. | |
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B) |
It has a lower percentage of small deviations from the mean than a normal distribution. | |
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C) |
It has fatter tails than a normal distribution. | |
A distribution with positive excess kurtosis has a higher percentage of small deviations from the mean than normal. So it is more “peaked” than a normal distribution. A distribution with positive skew has a mean > mode.
作者: 1215 时间: 2011-3-1 14:50
A distribution of returns that has a greater percentage of small deviations from the mean and a greater percentage of large deviations from the mean compared to a normal distribution:
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A) |
has positive excess kurtosis. | |
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|
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C) |
has negative excess kurtosis. | |
A distribution that has a greater percentage of small deviations from the mean and a greater percentage of large deviations from the mean will be leptokurtic and will exhibit positive excess kurtosis. The distribution will be taller (more peaked) with fatter tails than a normal distribution.
作者: 1215 时间: 2011-3-1 14:51
A distribution that is more peaked than normal is:
A distribution that is more peaked than normal is leptokurtic. A distribution that is flatter than normal is platykurtic.
作者: 1215 时间: 2011-3-1 14:51
A distribution that has positive excess kurtosis is:
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A) |
more peaked than a normal distribution. | |
|
B) |
more skewed than a normal distribution. | |
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C) |
less peaked than a normal distribution. | |
A distribution with positive excess kurtosis is one that is more peaked than a normal distribution.
作者: 1215 时间: 2011-3-1 14:51
Which of the following statements about skewness and kurtosis is least accurate?
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A) |
Kurtosis is measured using deviations raised to the fourth power. | |
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B) |
Positive values of kurtosis indicate a distribution that has fat tails. | |
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C) |
Values of relative skewness in excess of 0.5 in absolute value indicate large levels of skewness. | |
Positive values of kurtosis do not indicate a distribution that has fat tails. Positive values of excess kurtosis (kurtosis > 3) indicate fat tails.
作者: timi展望 时间: 2011-3-14 12:16
A distribution that has positive excess kurtosis is:
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A) |
more peaked than a normal distribution. | |
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B) |
more skewed than a normal distribution. | |
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C) |
less peaked than a normal distribution. | |
A distribution with positive excess kurtosis is one that is more peaked than a normal distribution. |
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