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

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  • Joanna Janczura
  • Rafal Weron

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.

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File URL: http://arxiv.org/pdf/1102.3712
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Paper provided by arXiv.org in its series Papers with number 1102.3712.

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Date of creation: Feb 2011
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Handle: RePEc:arx:papers:1102.3712

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  1. Krzysztof Burnecki & Rafal Weron, 2006. "Visualization tools for insurance risk processes," HSC Research Reports HSC/06/06, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005. "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0501.
  3. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
  4. Rafal Weron & Adam Misiorek, 2005. "Modeling and forecasting electricity loads: A comparison," Econometrics 0502004, EconWPA.
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