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

C-Tier

Journal: Journal of Empirical Finance

Year: 2008

Volume: 15

Issue: 4

Pages: 700-713

Authors (2)

Schluter, Christian (not in RePEc) Trede, Mark (Universität Münster)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count