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 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)
New Economics Papers: this item is included in nep-ene and nep-rmg
Date: 2011
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Forthcoming in EPJ – Special Topics "Discussion & Debate: From black swans to dragon kings. Is there life beyond power laws?", 2011.

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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_11_01.pdf Original version, 2011 (application/pdf)

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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Persistent link: http://EconPapers.repec.org/RePEc:wuu:wpaper:hsc1101

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