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

Joanna Janczura and Rafał Weron

Papers from arXiv.org

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.

Date: 2011-02
New Economics Papers: this item is included in nep-ene and nep-rmg
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://arxiv.org/pdf/1102.3712 Latest version (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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1102.3712

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().