答案和详解如下： 1、Which of the following statements about skewness and kurtosis is FALSE? A) Kurtosis is measured using deviations raised to the fourth power. B) Values of relative skewness in excess of 0.5 in absolute value indicate large levels of skewness. C) Positive values of kurtosis indicate a distribution that has fat tails. D) Relative skewness is equal to the absolute skewness divided by the cubed standard deviation. The correct answer was C) Positive values of kurtosis do not indicate a distribution that has fat tails. Positive values of excess kurtosis (kurtosis > 3) indicate fat tails. 2、Which of the following statements concerning kurtosis is FALSE? A: A) distribution that is more peaked than a normal distribution is leptokurtic. B) distribution that is less peaked than a normal distribution is platykurtic. C) leptokurtic distribution has fatter tails than a normal distribution. D) leptokurtic distribution has excess kurtosis less than zero. The correct answer was D) A leptokurtic distribution is more peaked than normal and has fatter tails. However, the excess kurtosis is greater than zero. 3、Which of the following statements concerning skewness is FALSE? A distribution with: A) positive skewness has a long left tail. B) negative skewness has a large number of outliers on its left side. C) a distribution with skew equal to 1 is not symmetrical. D) a distribution with positive skewness has a mean that is higher than its median. The correct answer was A) A distribution with positive skewness has long right tails. 4、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: A) is positively skewed. B) has positive excess kurtosis. C) is negatively skewed. D) has negative excess kurtosis. The correct answer was B) 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. 5、Which of the following statements about kurtosis is FALSE? Kurtosis: A) is used to reflect a departure from the normal distribution. B) describes the degree to which a distribution is not symmetric about its mean. C) measures the peakedness of a distribution reflecting a greater or lesser concentration of returns around the mean. D) is used to reflect the probability of extreme outcomes for a return distribution. The correct answer was B) 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. | 
发表于 2008-4-8 18:25
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