Hi there!
I would need some references to methods and algorithms for cleaning
and detecting outliers and wrong observations on financial time series
for daily or intraday data but also for UHF data (or tick-by-tick data).
So far I have been reading the chapters on data cleaning and outliers
treatment from "Analysis of Financial Time Series" of Ruey Tsay,
from "An Introduction to High Frequency" of Dacorogna, Olsen et al.
and "An introduction to wavelets and other filtering methods in
finance and Economics" by Ramazan Gencay et al..
Any other paper, book or any other reference specially on daily data
containing cleaning and filtering algorithms would be more than welcome.
I would forward the final list to those that might be interested.
Kind regards and thank you so much in advance,
Pep
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