Homogeneity tests for Levy processes and applications

Ciuiu, Daniel (2011): Homogeneity tests for Levy processes and applications. Published in: Romanian Journal of Mathematics and Computer Science , Vol. 1, (December 2011): pp. 37-50.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Levy processes; jump processes; homogeneity tests; idiosyncratic risk
• Subjects: D - Microeconomics > D5 - General Equilibrium and Disequilibrium > D53 - Financial Markets; ; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General

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