22. In looking at the frequency distribution of weekly crude oil price changes between 1984 and 2008, an analyst notices that the frequency distribution has a surprisingly large number of observations for extremely large positive price changes and a smaller number, but still a surprising one, of observations for extremely large negative price changes. The analyst provides you with the following statistical measures. Which measures would help you identify these characteristics of the frequency distribution? [source: FRM 2010 practice exam]

i.  Serial correlation of weekly price changes
ii.  Variance of weekly price changes
iii.  Skewness of weekly price changes
iv.  Kurtosis of weekly price changes

a.  i, ii, iii, and iv
b.  ii only
c.  iii and iv only
d.  i, iii, and iv only

[my adds]

22.2. Define skewness and kurtosis
22.3 What skew & kurtosis does Linda Allen assert in equity (asset) returns?
22.4 Which of Gujarati’s sampling distributions are both skewed and heavy-tailed?
22.5 What is the kurtosis of a coin toss (i.e., a Bernoulli where p = 0.5); try to work this out yourself!
22.6 Identify several heavy-tailed distributions in Rachev (FRM assigned)
22.7 Identify several skewed distribution in Rachev (FRM assigned)

Answers:

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