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

Joanna Janczura and Rafał Weron

MPRA Paper from University Library of Munich, Germany

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: dragon king; black swan; outlier; power law (search for similar items in EconPapers)
JEL-codes: C12 C16 G32 Q47 (search for similar items in EconPapers)
Date: 2011-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://mpra.ub.uni-muenchen.de/28959/1/MPRA_paper_28959.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/32489/1/MPRA_paper_32489.pdf revised 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)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:28959

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