Robert F. Engle

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Robert F. Engle III
0603-Kraneshares KRBN-RobertEngle-JonDemske-16 (cropped).jpg
Engle in 2022
Born (1942-11-10) November 10, 1942 (age 81)
Education Williams College (BS)
Cornell University (MS, PhD)
Academic career
Field Econometrics
Institution New York University, since 2000
University of California, San Diego, (1975–2003)
Massachusetts Institute of Technology, (1969–1975)
Doctoral
advisor
Ta-Chung Liu [1]
Doctoral
students
Mark Watson
Tim Bollerslev
Influences David Hendry
Contributions ARCH
Cointegration
Awards Nobel Memorial Prize in Economic Sciences (2003)
Information at IDEAS / RePEc
Academic background
Thesis Biases From Time-Aggregation of Distributed Lag Models  (1969)

Robert Fry Engle III (born November 10, 1942) is an American economist and statistician. He won the 2003 Nobel Memorial Prize in Economic Sciences, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".

Contents

Biography

Engle was born in Syracuse, New York into a Quaker family [2] and went on to graduate from Williams College with a BS in physics. He earned an MS in physics and a PhD in economics, both from Cornell University, in 1966 and 1969 respectively. [3] After completing his PhD, Engle became an economics professor at the Massachusetts Institute of Technology from 1969 to 1977. [4] He joined the faculty of the University of California, San Diego (UCSD) in 1975, wherefrom he retired in 2003. He now holds positions of Professor Emeritus and Research Professor at UCSD. He currently teaches at New York University, Stern School of Business where he is the Michael Armellino professor in Management of Financial Services. At New York University, Engle teaches for the Master of Science in Risk Management Program for Executives. [5] [6]

Engle's most important contribution was his path-breaking discovery of a method for analyzing unpredictable movements in financial market prices and interest rates. Accurate characterization and prediction of these volatile movements are essential for quantifying and effectively managing risk. For example, risk measurement plays a key role in pricing options and financial derivatives. Previous researchers had either assumed constant volatility or had used simple devices to approximate it. Engle developed new statistical models of volatility that captured the tendency of stock prices and other financial variables to move between high volatility and low volatility periods ("Autoregressive Conditional Heteroskedasticity: ARCH"). These statistical models have become essential tools of modern arbitrage pricing theory and practice.

Engle was the central founder and director of NYU-Stern's Volatility Institute which publishes weekly date on systemic risk across countries on its V-LAB site. [7] [8] He was awarded a Doctor Honoris Causa by the Comillas Pontifical University in Spain in 2024. [9]

Selected works

See also

Related Research Articles

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References

  1. Engle, Robert F.; Liu, Ta-Chung (1972), "Effects of Aggregation Over Time on Dynamic Characteristics of An Econometric Model", in Hickman, Bert G. (ed.), Econometric Models of Cyclical Behavior (PDF), Conference on Research in Income and Wealth. Studies in income and wealth, vol. 2, NBER, p. 673.
  2. Robert F. Engle III on Nobelprize.org OOjs UI icon edit-ltr-progressive.svg , accessed 2 May 2020
  3. Homepage at New York University
  4. MIT Nobel laureates
  5. "NYU Stern School of Business" . Retrieved 10 March 2017.
  6. "Amsterdam Institute of Finance – Financial Training" . Retrieved 10 March 2017.
  7. The Volatility Institute at NYU-Stern School of Business site
  8. Engle, Robert (2022). Farmer, Doyne; Kleinnijenhuis, Alissa; Schuermann, Til; Wetzer, Thom (eds.). Stress Testing with Market Data. Cambridge University Press. p. 142–161.
  9. "Dos honoris causa que estudian la relación entre cambio climático y finanzas". Comillas Pontifical University. 2024.
Awards
Preceded by Laureate of the Nobel Memorial Prize in Economics
2003
Served alongside: Clive W.J. Granger
Succeeded by