NUMBER 123 / 124 – December 2016


Introduction (pp. 7-8)
Serge Darolles, Christian Gouriéroux and Sébastien Laurent

Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels (pp. 9-28)
Christian Francq and Jean-Michel Zakoïan

Systemic Tail Risk Distribution (pp. 29-52)
Alexis Bienvenüe and Christian Y. Robert

Currency Risk: Comovements and Intraday Cojumps (pp. 53-76)
Jérôme Lahaye

Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models (pp. 77-101)
Anne Péguin-Feissolle and Bilel Sanhaji

Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices (pp. 103-134)
Luc Bauwens, Manuela Braione and Giuseppe Storti

Do We Need High Frequency Data to Forecast Variances? (pp. 135-174)
Denisa Banulescu-Radu, Christophe Hurlin, Bertrand Candelon and Sébastien Laurent

Spread Term Structure and Default Correlation (pp. 175-223)
Patrick Gagliardini and Christian Gouriéroux

Intrinsic Liquidity in Conditional Volatility Models (pp. 225-245)
Serge Darolles, Gaëlle Le Fol, Christian Francq and Jean-Michel Zakoïan

Gauging Liquidity Risk in Emerging Market Bond Index Funds (pp. 247-269)
Serge Darolles, Jérémy Dudek and Gaëlle Le Fol

Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options (pp. 271-306)
Alexandru Badescu, Joan del Castillo and Juan-Pablo Ortega

Identification of Mixed Causal-Noncausal Models in Finite Samples (pp. 307-331)
Alain Hecq, Lenard Lieb and Sean Telg

Sparse Graphical Vector Autoregression: A Bayesian Approach (pp. 333-361)
Daniel Felix Ahelegbey, Monica Billio and Roberto Casarin


Immigration Policy and Macroeconomic Performance in France: Corrigendum (pp. 363-364)
Hippolyte d’Albis, Ekrame Boubtane and Dramane Coulibaly


Welcome to the new website of the Annals of Economics and Statistics. The launch of this site gives me the opportunity to review some significant recent changes which reflect the development of the journal. After switching to English in 2010, the Annals of Economics and Statistics is now taking a step further in 2015 by participating in the JSTOR Current Scholarship Program (CSP). Now readers can access the journal in both electronic and print versions. The JSTOR CSP includes distinguished academic journals, and we are proud to be a member of this very selective group. The Annals of Economics and Statistics is 45 years old and has achieved a well-established scientific reputation, with some of its articles quoted many times. Our goal is, of course, to maintain this high standing, but also to increase the international visibility of the journal. Participating in the JSTOR CSP will be an important asset for accomplishing this mission. The Annals of Economics and Statistics will continue to publish refereed articles in all fields of economic theory, econometrics, and applied economics, either as feature articles or in special issues with various Guest Editors. We strive to improve the management of manuscripts and submissions by making the maximal effort to reach a decision before three months. In terms of organization, the list of Associate Editors has been partially modified with the arrival of several talented young economists, and the Board of Directors has been completely renewed. I firmly believe these evolutions are leading us in the right direction, and that they will contribute to the success and vitality of our journal.

Pierre Picard | Editor

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