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Homogeneity tests for Levy processes and applications


  • Ciuiu, Daniel


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.

Suggested Citation

  • Ciuiu, Daniel, 2011. "Homogeneity tests for Levy processes and applications," MPRA Paper 36457, University Library of Munich, Germany, revised Nov 2011.
  • Handle: RePEc:pra:mprapa:36457

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    References listed on IDEAS

    1. Amit Goyal & Pedro Santa-Clara, 2003. "Idiosyncratic Risk Matters!," Journal of Finance, American Finance Association, vol. 58(3), pages 975-1008, June.
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    More about this item


    Levy processes; jump processes; homogeneity tests; idiosyncratic risk;

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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