... Methods in Finance, International Thomson Business Press, London, UK 16 Introduction to Financial Econometrics Chapter Review of Random Variables and Probability Distributions Eric Zivot Department ... normal random variable This relative value of kurtosis is referred to as excess kurtosis and is de& ned as excess kurt(X) = kurt(X) If excess the excess kurtosis of a random variable is equal to ... Course in Econometrics Harvard University Press, Cambridge, MA [3] Hoel, P.G., Port, S.C and Stone, C.J (1971) Introduction to Probability Theory Houghton Miin, Boston, MA [4] Johnson, x, and Kotz,...