Denis Sargan Econometrics Prize 2016

01 May 2018

The 2016 Denis Sargan Econometrics Prize was awarded to K. Ulrich Hounyo and Bezirgen Veliyev for their article "Validity of Edgeworth expansions for realized volatility estimators” in the February 2016 issue of The Econometrics Journal

The Sargan 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 awarded their doctorate.

The Royal Economic Society and the Managing Editor and Co-Editors of The Econometrics Journal warmly congratulate Ulrich and Bezirgen on this achievement.

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.

Watch Andrew Chesher present the prize to Ulrich and Bezirgen at the RES Annual Conference 2018