Shehadeh, Ali; Alwadi, Sadam M.; Almaharmeh, Mohammad I. - In: Cogent economics & finance 10 (2022) 1, pp. 1-14
outlying returns with an average of 6%. Conservatively, about 1.4% of return series are extreme outliers. Negative outliers are … found more frequent, influential, severe and transmissible. The bulk of detected outliers are found to be in the magnitude … of three standard deviations. Also, outliers tend to cluster together, both within individual return series over time and …