Black swans or dragon kings? A simple test for deviations from the power law

Joanna Janczura and Rafał Weron

No HSC/11/01, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: We develop a simple test for deviations from power law tails, which is based on the asymptotic properties of the empirical distribution function. We use this test to answer the question whether great natural disasters, financial crashes or electricity price spikes should be classified as dragon kings or 'only' as black swans.

Keywords: Black swan; Dragon king; Power-law; Weibull distribution; Tail behavior; Outlier; Hypothesis test (search for similar items in EconPapers)
JEL-codes: C12 C16 G32 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2011
New Economics Papers: this item is included in nep-ene and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Forthcoming in EPJ – Special Topics "Discussion & Debate: From black swans to dragon kings. Is there life beyond power laws?", 2011.

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Related works:
Working Paper: Black swans or dragon kings? A simple test for deviations from the power law (2011)
Working Paper: Black swans or dragon kings? A simple test for deviations from the power law (2011)
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