OUTLIERS and DUMMY VARIABLEs
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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
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Matt Kindig
2013년 7월 17일
Treat these outliers for what purpose? Its not clear what "treating" the outliers differently even means.
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