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.
New Ways to Measure Volatility (Ben Chu interviews Bezirgen Veliyev)
Ben Chu, the economics editor of The Independent, interviews Bezirgen Veliyev who alongside Ulrich Hounyo received the Denis Sargan econometrics prize at the Royal Economic Society 2018 Annual Conference. The Royal Economic Society is one of the oldest and most prestigious economic associations in the world. It is a learned society, founded in 1890 to promote the study of economic science.
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
RES 2018: Sargan Lecture (Dave Donaldson)
Sargan Lecture taking place in the Jubilee Large Lecture Theatre, University of Sussex. "Identification of International Trade Models, External Economies of Scale, and the (Elusive) Gains from industrial Policy" - Dave Donaldson (MIT) Chair: Peter Neary (University of Oxford and RES Past President)