A Quantile Alternative for Kurtosis

Recently, Moors (1986) showed that kurtosis is easily interpreted as a measure of dispersion around the two values u ? a. For this dispersion an alternative measure, based on quantiles, is proposed here. It is shown to have several desirable properties: (i) the measure exists even for distributions for which no moments exist, (ii) it is not influenced by the (extreme) tails of the distribution, and (iii) the calculation is simple (and is even possible by graphical means).