Mike Urbancic · May 11

The spikes in 2017, 2019, and 2021 are probably just due to outliers, tho.

James Feigenbaum · May 11

Maybe some of those hits are papers that say "We don't winsorize"?

Dan Schwab · May 11

I’m guessing from your post you think that’s bad practice. Can you elaborate on why?

Lily Czukay · May 11

I thought winsorizing is common practice for handling asset returns, besides taking the logarithm.