Identifying outliers in asset pricing data with a new weighted forward search estimator
ABSTRACT The purpose of this work is to present the Weighted Forward Search (FSW) method for the detection of outliers in asset pricing data. This new estimator, which is based on an algorithm that downweights the most anomalous observations of the dataset, is tested using both simulated and empiric...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidade de São Paulo
2020-01-01
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| Series: | Revista Contabilidade & Finanças |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1519-70772020000300458&tlng=en |