The Econometrics Journal News

Denis Sargan Econometrics Prize 2016 Awarded to Ulrich Hounyo and Bezirgen Veliyev

  • Published Date: 24 January 2018

The Editors of The Econometrics Journal are happy to announce that the 2016 Denis Sargan Econometrics Prize will be shared equally between

K. Ulrich Hounyo (SUNY Albany)

and

Bezirgen Veliyev (Aarhus)

for their article

"Validity of Edgeworth expansions for realized volatility estimators

in the February 2016 issue of The Econometrics Journal.

Ulrich and Bezirgen's Prize winning article contributes to the literature on bootstrapping realised volatility measures, i.e. estimators of volatility over a longer horizon based on high frequency data. It rigorously establishes the validity of the Edgeworth expansions in the key paper by Gonçalves and Meddahi (2009, "Bootstrapping realized volatility," Econometrica 77, 283–306) and extends that paper by considering realised measures that are robust to microstructure noise, which is an important feature of the data, and one that was often left aside in the early work in this literature.

The Prize will be presented to Ulrich and Bezirgen by Andrew Chesher at 10:00am on Monday 26 March, just before the Sargan lecture at the 2018 Annual Conference of the Royal Economic Society. 

The Denis Sargan Econometrics Prize is awarded for the best (unsolicited) article published in The Econometrics Journal in a given year by anyone who is within five years of being granted their doctorate. For more information about this Prize, including videos of an interview with and the award to its 2015 winner, Igor Kheifets, click here.

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