The University of Southampton
University of Southampton Institutional Repository

Identifying multiple outliers in heavy-tailed distributions with an application to market crashes

Identifying multiple outliers in heavy-tailed distributions with an application to market crashes
Identifying multiple outliers in heavy-tailed distributions with an application to market crashes
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.
outliers, outward testing, masking
0927-5398
700-713
Schluter, Christian
ae043254-4cc4-48aa-abad-56a36554de2b
Trede, M.
5ad7e623-b129-4796-a5bb-b1e56cf2f9a6
Schluter, Christian
ae043254-4cc4-48aa-abad-56a36554de2b
Trede, M.
5ad7e623-b129-4796-a5bb-b1e56cf2f9a6

Schluter, Christian and Trede, M. (2008) Identifying multiple outliers in heavy-tailed distributions with an application to market crashes. Journal of Empirical Finance, 15 (4), 700-713. (doi:10.1016/j.jempfin.2007.10.003).

Record type: Article

Abstract

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.

This record has no associated files available for download.

More information

e-pub ahead of print date: 12 November 2007
Published date: September 2008
Keywords: outliers, outward testing, masking
Organisations: Economics

Identifiers

Local EPrints ID: 153073
URI: http://eprints.soton.ac.uk/id/eprint/153073
ISSN: 0927-5398
PURE UUID: 534a41eb-088c-41f4-ba5a-ef89213681a2

Catalogue record

Date deposited: 18 May 2010 11:33
Last modified: 14 Mar 2024 01:26

Export record

Altmetrics

Contributors

Author: M. Trede

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×