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Note: Nyse volume: An application of outlier analysis
Author(s) -
Guerard John B.
Publication year - 1990
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980090506
Subject(s) - outlier , volume (thermodynamics) , series (stratigraphy) , econometrics , random walk , stock exchange , stock (firearms) , statistics , mathematics , economics , geography , finance , geology , physics , thermodynamics , archaeology , paleontology
The purpose of this study is to examine the monthly volume series of the New York Stock Exchange (NYSE) during the January 1965‐December 1987 period. The NYSE volume series follows a random walk with drift process; however, the events of October 1987 give rise to the application of outlier analysis.