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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


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

Thanks for your interest. I have rewritten the question.

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1 Answer

Answer by Jos (10584)
on 18 Jul 2013


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