期刊
JOURNAL OF EMPIRICAL FINANCE
卷 15, 期 4, 页码 700-713出版社
ELSEVIER
DOI: 10.1016/j.jempfin.2007.10.003
关键词
outliers; outward testing; masking
Heavy-tailed distributions, such as the distribution of stock returns, are prone to generate large values. This renders difficult the detection of outliers. We propose a new outward testing procedure to identify multiple outliers in these distributions. A major virtue of the test is its simplicity. The performance of the test is investigated in several simulation studies. As a substantive empirical contribution we apply the test to Dow Jones Industrial Average return data and find that the Black Monday market crash was not a structurally unusual event. (C) 2007 Elsevier B.V. All rights reserved.
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