This collection of original articles 8 years in the making shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Ait-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume.
Presents a broad survey of current research-from local characterizations of the Markov process dynamics to financial market trading activityContributors include Nobel Laureate Robert Engle and leading econometriciansOffers a clarity of method and explanation unavailable in other financial econometrics collections"

This book presents theoretical discussions and practical examples of Action Research from Scandinavia, Latin America and Africa, primarily dealing with how to combine nature conservation and management with local democratic community development, seeing the renewal of Commons as a way to transcend the present dichotomy between these two dimensions.

Contemporary society encounters profound economical, socio-ecological and political crises challenging the democratic foundation of our societies. This book addresses the potentials and challenges for Action Research supporting democratic alternatives. It offers a broad spectrum of examples from Scandinavian Action Research showing different openings towards democratic development. The book's first part contributes with a wide range of examples such as Action Research in relation to the Triple Helix/Mode II contexts, to design as a democratic process, to renewal of welfare work and public institutions, to innovation policies combining Action Research with gender science. In the second part of the book epistemological and ontological dimensions of Action Research are discussed addressing questions of validity criteria related to Action Research, the transformation of knowledge institutions and the specific character of creativity in Action Research. The book offers a basis for theoretical as well as practical oriented discussions and critical reflections within the field of Action Research and related research orientations, involving a wide range of actors.

This is the third of three volumes containing edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and discuss future directions in a wide range of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields these volumes provide a unique survey of progress in the discipline.

At the core of the rational expectations revolution is the insight that economic policy does not operate independently of economic agents' knowledge of that policy and their expectations of the effects of that policy. This means that there are very complicated feedback relationships existing between policy and the behaviour of economic agents, and these relationships pose very difficult problems in econometrics when one tries to exploit the rational expectations insight in formal economic modelling. This volume consists of work by two rational expectations pioneers dealing with the "nuts and bolts" problems of modelling the complications introduced by rational expectations. Each paper deals with aspects of the problem of making inferences about parameters of a dynamic economic model on the basis of time series observations. Each exploits restrictions on an econometric model imposed by the hypothesis that agents within the model have rational expectations.

Written by Lars Peter Hansen (Nobel Laureate in Economics, 2013) and Thomas Sargent (Nobel Laureate in Economics, 2011), Uncertainty within Economic Models includes articles adapting and applying robust control theory to problems in economics and finance. This book extends rational expectations models by including agents who doubt their models and adopt precautionary decisions designed to protect themselves from adverse consequences of model misspecification. This behavior has consequences for what are ordinarily interpreted as market prices of risk, but big parts of which should actually be interpreted as market prices of model uncertainty. The chapters discuss ways of calibrating agents' fears of model misspecification in quantitative contexts.

This book presents theoretical discussions and practical examples of Action Research from Scandinavia, Latin America and Africa, primarily dealing with how to combine nature conservation and management with local democratic community development, seeing the renewal of Commons as a way to transcend the present dichotomy between these two dimensions.

Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for years.

Presents a broad survey of current research
Contributors are leading econometricians
Offers a clarity of method and explanation unavailable in other financial econometrics collections

These three volumes contain edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and future directions in a wide range of topics in economics and econometrics. They cover theory and applications and provide a unique survey of progress in the discipline.

This is the second of three volumes containing edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and discuss future directions in a wide range of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields these volumes provide a unique survey of progress in the discipline.

Contemporary society encounters profound economical, socio-ecological and political crises challenging the democratic foundation of our societies. This book addresses the potentials and challenges for Action Research supporting democratic alternatives. It offers a broad spectrum of examples from Scandinavian Action Research showing different openings towards democratic development. The book's first part contributes with a wide range of examples such as Action Research in relation to the Triple Helix/Mode II contexts, to design as a democratic process, to renewal of welfare work and public institutions, to innovation policies combining Action Research with gender science. In the second part of the book epistemological and ontological dimensions of Action Research are discussed addressing questions of validity criteria related to Action Research, the transformation of knowledge institutions and the specific character of creativity in Action Research. The book offers a basis for theoretical as well as practical oriented discussions and critical reflections within the field of Action Research and related research orientations, involving a wide range of actors.

Handbook of Econometrics, Volume 7A, examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world-class editors and contributors, it succeeds in unifying leading studies of economic models, mathematical statistics and economic data. Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods has driven the field of econometrics to unimaginable places. By designing methods of inference from data based on models of human choice behavior and social interactions, econometricians have created new subfields now sufficiently mature to require sophisticated literature summaries.

Reading is a unique human ability that has become very pivotal for functioning in our world today. As modern societies rely extensively on literacy skills, and as reading disabilities have profound personal, economic and social consequences, it is surprising that we have a very underdeveloped scientific understanding of the neural basis of reading and visual word recognition in the normal brain. A better understanding of normal reading processes could help individuals with developmental dyslexia and other reading disabilities, and also inform our strategies for improving early learning and carrying out effective interventions. Neuroimaging offers a unique window on reading through which we have achieved profound insights into its neural correlates in both health and disease, and has also raised important questions that have generated much scientific debate.
This book addresses some of the fundamental questions in reading research. Piers Cornelissen, Peter Hansen, Morten Kringelbach, and Ken Pugh have brought together some of the leading scientists to provide comprehensive articles that shed light on the neural basis of reading. Its broad-yet-integrative treatment is divided into three parts: 1) behavioural data and modelling (with direct implications for neuroimaging), 2) neuroimaging, and 3) impaired reading. The book will be a useful resource for everyone interested in the reading brain, particularly those in neuroimaging, cognition and attention, sensation and perception, language, development and aging, education, and computational modelling.

A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. In "Recursive Models of Dynamic Linear Economies," Lars Peter Hansen and Thomas Sargent use these tools to create a class of econometrically tractable models of prices and quantities. They present examples from microeconomics, macroeconomics, and asset pricing. The models are cast in terms of a representative consumer. While Hansen and Sargent demonstrate the analytical benefits acquired when an analysis with a representative consumer is possible, they also characterize the restrictiveness of assumptions under which a representative household justifies a purely aggregative analysis.

Based on the 2012 Gorman lectures, the authors unite economic theory with a workable econometrics while going beyond and beneath demand and supply curves for dynamic economies. They construct and apply competitive equilibria for a class of linear-quadratic-Gaussian dynamic economies with complete markets. Their book stresses heterogeneity, aggregation, and how a common structure unites what superficially appear to be diverse applications. An appendix describes MATLAB(r) programs that apply to the book's calculations.