On Two Hypotheses in Economic Analysis of Stochastic Processes

Dmitry Endovitsky (), Valery Davnis () and Viacheslav Korotkikh ()
Additional contact information
Dmitry Endovitsky: Voronezh State University Voronezh Russian Federation, Postal: RU
Valery Davnis: Voronezh State University Voronezh Russian Federation, Postal: RU
Viacheslav Korotkikh: Voronezh State University Voronezh Russia, Postal: RU

Journal of Advanced Research in Law and Economics, 2017, vol. 8, issue 8, 2391-2398

Abstract: Purpose Development of the apparatus of the stochastic processes econometric modeling Discussion The authors identify risk component in the dynamics of stochastic processesin the economy Theoretical justification of the alternative and proportional expectations is usedto make probabilistic nature of the risk Results The authors suggest stochastic process decomposition based on econometric approach to allocate a probability space of risks and to identify shocks realizations that lie beyond the boundary of this space Proportional expectations hypothesis distinguished two types of the event influence on the stochastic process realization continuous risk and discrete shock The authors suggest model errors and residualsas the main source of information for the identification of the probability space of risks The technique of econometric modeling of the price and return processes on stock market under theconditions of the proposed hypotheses is considered in the empirical part of the study F testresults have not disproved the statement that the model residuals provide additional information about the simulated rate in the case of lack of relevant factors

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:srs:jarle0:v:8:y:2017:i:8:p:2391-2398

Access Statistics for this article

Journal of Advanced Research in Law and Economics is currently edited by Madalina Constantinescu

More articles in Journal of Advanced Research in Law and Economics from ASERS Publishing
Bibliographic data for series maintained by Claudiu Popirlan ( this e-mail address is bad, please contact ).