ANNALS OF ECONOMICS AND STATISTICS

NUMBER 123 / 124 – December 2016

SPECIAL ISSUE ON RECENT DEVELOPMENTS IN FINANCIAL ECONOMETRICS

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

FEATURE ARTICLE

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