23 March 2016 4:05PM
Professor Tim Bollerslev has been named a fellow of the Society for Economic Measurement (SEM). He is one of three nominees to be elected this year.
Bollerslev was nominated by longtime co-author Francis Diebold, a professor of finance and statistics at the University of Pennsylvania.
“I’ve known Tim for some 30 years, and throughout he has been a world leader in the econometrics of volatility measurement, broadly defined, with emphasis on financial markets,” said Diebold. “Hence, I view Tim’s SEM fellowship effectively as an immensely well-deserved ‘lifetime achievement’ award.”
According to the society’s bylaws, the primary qualification for the fellowship is a substantial advancement of applied or theoretical economic measurement.
Diebold said Bollerslev has made “distinct and massive contributions” during his career, but cited two in particular: “Earlier, his work on conditional volatility GARCH modeling (circa mid-1980s), building on Rob Engle's conditional volatility ARCH modeling, was an explosive hit that propelled Engle to a Nobel Prize. Later, his work on realized volatility modeling (circa early 2000s) was an independent and similarly explosive hit that radically changed the focus of both academic and industrial financial market volatility measurement, taking it into the modern age of Big Data, both in terms of high-frequency and high-dimensional observations.”
The society is a relatively new scientific organization that aims to promote research on economic measurement. The current list of SEM fellows includes more than 30 Nobel laureates, including Kenneth J. Arrow, Angus Deaton, and William F. Sharpe.
Economics Department