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OUTLIERS and DUMMY VARIABLEs

Asked by Maty on 17 Jul 2013

HI all, I have a vector of returns of dimension 100x1 (obtained from the price of a financial time series) The boxplot of the series highlights some outliers. In particular, some outliers are linked to stock collapses and euphoria moments. I wanna fit a proper model for this time series.

How should I treat these outliers? I thought of using dummy variables. is that correct? How should I do?

Thanks in advance for your consideration and any help! Maty

2 Comments

Matt Kindig on 17 Jul 2013

Treat these outliers for what purpose? Its not clear what "treating" the outliers differently even means.

Maty on 17 Jul 2013

Thanks for your interest. I have rewritten the question.

Maty

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