Homogeneity tests for Levy processes and applications

Daniel Ciuiu

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we will check the homogeneity/heterogeneity of Levy processes using some non-parametric homogeneity tests. First we create two samples from two Levy processes starting from the definition of the Levy process, and next we test if the two samples have the same distribution. Using the Levy—Ito decomposition we will perform the homogeneity tests for given parts of the Levi processes. The study of the homogeneity of stock markets shocks is usefull because the eventualy homogeneity can produce a phenomenon analogue to the resonance that can be observed in mechanics. This resonance increase the idiosyncratic risk.

Keywords: Levy processes; jump processes; homogeneity tests; idiosyncratic risk (search for similar items in EconPapers)
JEL-codes: C14 C16 D53 G11 (search for similar items in EconPapers)
Date: 2011-09, Revised 2011-11
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:36457

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