Extreme Events – Specimen Question A.6.1
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Question and Answer Summary
A daily series that you are analysing seems to have a small
number of extreme movements that look suspiciously like errors to you.
(a) To what extent
should you exclude such observations when developing a robust portfolio
(b) What sorts of circumstances
(applying to what sorts of financial series) might lead to extreme movements
that are not actually errors?
(c) What other sorts
of observations arising in financial series might be ones that you would
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