Identifying multiple outliers in heavy-tailed distributions with an application to market crashes-Reference-Cited by-同舟云学术

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

Published:2008-09 Issue:4 Volume:15 Page:700-713
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Schluter Christian,Trede Mark

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference46 articles.

1. Outliers in Statistical Data;Barnett,1994

2. Outlier...s;Beckman;Technometrics,1983

3. Statistics of Extremes: Theory and Applications,2004

4. Evaluating parametric income distribution models;Brachmann;Allgemeines Statistisches Archiv,1996

5. Robust estimation of tail parameters for two-parameter Pareto and exponential models via generalized quantile statistics;Brazauskas;Extremes,2000

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