Robert F. Engle

Last updated
Robert F. Engle III
0603-Kraneshares KRBN-RobertEngle-JonDemske-16.jpg
Robert Engle, June 3, 2022
Born (1942-11-10) November 10, 1942 (age 79)
Institution New York University, since 2000
University of California, San Diego, (1975–2003)
Massachusetts Institute of Technology, (1969–1975)
Field Econometrics
Alma mater Cornell University, (PhD 1969)
Williams College, (BS 1964)
Ta-Chung Liu [1]
Mark Watson
Tim Bollerslev
Influences David Hendry
Contributions ARCH
Awards Nobel Memorial Prize in Economic Sciences (2003)
Information at IDEAS / RePEc

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)".



Engle was born in Syracuse, New York into 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] which is offered in partnership with the Amsterdam Institute of Finance. [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]

More recently, Engle (and Eric Ghysels) co-founded the Society for Financial Econometrics (SoFiE).

In 2022, he replaced Former secretary of state John Kerry as chairman [8] of the climate finance partners advisory board, [9] [10] which is the non discretionary sub advisor to the KraneShares Global Carbon ETF or KRBN, one of the largest carbon allowance funds globally. [11] [12]

Personal life

Selected works

See also

Related Research Articles

Econometrica is a peer-reviewed academic journal of economics, publishing articles in many areas of economics, especially econometrics. It is published by Wiley-Blackwell on behalf of the Econometric Society. The current editor-in-chief is Guido Imbens.

<span class="mw-page-title-main">Clive Granger</span> British Economist

Sir Clive William John Granger was a British econometrician known for his contributions to nonlinear time series analysis. He taught in Britain, at the University of Nottingham and in the United States, at the University of California, San Diego. Granger was awarded the Nobel Memorial Prize in Economic Sciences in 2003 in recognition of the contributions that he and his co-winner, Robert F. Engle, had made to the analysis of time series data. This work fundamentally changed the way in which economists analyse financial and macroeconomic data.

In econometrics, the autoregressive conditional heteroskedasticity (ARCH) model is a statistical model for time series data that describes the variance of the current error term or innovation as a function of the actual sizes of the previous time periods' error terms; often the variance is related to the squares of the previous innovations. The ARCH model is appropriate when the error variance in a time series follows an autoregressive (AR) model; if an autoregressive moving average (ARMA) model is assumed for the error variance, the model is a generalized autoregressive conditional heteroskedasticity (GARCH) model.

In finance, volatility clustering refers to the observation, first noted by Mandelbrot (1963), that "large changes tend to be followed by large changes, of either sign, and small changes tend to be followed by small changes." A quantitative manifestation of this fact is that, while returns themselves are uncorrelated, absolute returns or their squares display a positive, significant and slowly decaying autocorrelation function: corr(|rt|, |rt+τ |) > 0 for τ ranging from a few minutes to several weeks. This empirical property has been documented in the 90's by Granger and Ding (1993) and Ding and Granger (1996) among others; see also. Some studies point further to long-range dependence in volatility time series, see Ding, Granger and Engle (1993) and Barndorff-Nielsen and Shephard.

<span class="mw-page-title-main">Thomas J. Sargent</span> American economist

Thomas John Sargent is an American economist and the W.R. Berkley Professor of Economics and Business at New York University. He specializes in the fields of macroeconomics, monetary economics, and time series econometrics. As of 2020, he ranks as the 29th most cited economist in the world. He was awarded the Nobel Memorial Prize in Economics in 2011 together with Christopher A. Sims for their "empirical research on cause and effect in the macroeconomy".

Financial econometrics is the application of statistical methods to financial market data. Financial econometrics is a branch of financial economics, in the field of economics. Areas of study include capital markets, financial institutions, corporate finance and corporate governance. Topics often revolve around asset valuation of individual stocks, bonds, derivatives, currencies and other financial instruments.

Cointegration is a statistical property of a collection (X1X2, ..., Xk) of time series variables. First, all of the series must be integrated of order d. Next, if a linear combination of this collection is integrated of order less than d, then the collection is said to be co-integrated. Formally, if (X,Y,Z) are each integrated of order d, and there exist coefficients a,b,c such that aX + bY + cZ is integrated of order less than d, then X, Y, and Z are cointegrated. Cointegration has become an important property in contemporary time series analysis. Time series often have trends—either deterministic or stochastic. In an influential paper, Charles Nelson and Charles Plosser (1982) provided statistical evidence that many US macroeconomic time series have stochastic trends.

Sanford "Sandy" Jay Grossman is an American economist and hedge fund manager specializing in quantitative finance. Grossman’s research has spanned the analysis of information in securities markets, corporate structure, property rights, and optimal dynamic risk management. He has published widely in leading economic and business journals, including American Economic Review, Journal of Econometrics, Econometrica, and Journal of Finance. His research in macroeconomics, finance, and risk management has earned numerous awards. Grossman is currently Chairman and CEO of QFS Asset Management, an affiliate of which he founded in 1988. QFS Asset Management shut down its sole remaining hedge fund in January 2014.

<span class="mw-page-title-main">Lars Peter Hansen</span> American economist

Lars Peter Hansen is an American economist. He is the David Rockefeller Distinguished Service Professor of economics at the University of Chicago and a 2013 recipient of the Nobel Memorial Prize in Economics.

<span class="mw-page-title-main">VIX</span> Volatility index

VIX is the ticker symbol and the popular name for the Chicago Board Options Exchange's CBOE Volatility Index, a popular measure of the stock market's expectation of volatility based on S&P 500 index options. It is calculated and disseminated on a real-time basis by the CBOE, and is often referred to as the fear index or fear gauge.

Christian Gouriéroux is an econometrician who holds a Doctor of Philosophy in mathematics from the University of Rouen. He has the Professor exceptional level title from France. Gouriéroux is now a professor at University of Toronto and CREST, Paris [Center for Research in Economics and Statistics].

<span class="mw-page-title-main">Christopher A. Sims</span> American econometrician and macroeconomist

Christopher Albert Sims is an American econometrician and macroeconomist. He is currently the John J.F. Sherrerd '52 University Professor of Economics at Princeton University. Together with Thomas Sargent, he won the Nobel Memorial Prize in Economic Sciences in 2011. The award cited their "empirical research on cause and effect in the macroeconomy".

Tim Peter Bollerslev is a Danish economist, currently the Juanita and Clifton Kreps Professor of Economics at Duke University. A fellow of the Econometric Society, Bollerslev is known for his ideas for measuring and forecasting financial market volatility and for the GARCH model.

Sir David Forbes Hendry, FBA CStat is a British econometrician, currently a professor of economics and from 2001 to 2007 was head of the Economics Department at the University of Oxford. He is also a professorial fellow at Nuffield College, Oxford.

In financial econometrics, an autoregressive conditional duration model considers irregularly spaced and autocorrelated intertrade durations. ACD is analogous to GARCH. Indeed, in a continuous double auction waiting times between two consecutive trades vary at random.

Anil K. Bera is an Indian econometrician. He is Professor of Economics at University of Illinois at Urbana–Champaign's Department of Economics. He is most noted for his work with Carlos Jarque on the Jarque–Bera test.

Francis X. Diebold is an American economist known for his work in predictive econometric modeling, financial econometrics, and macroeconometrics. He earned both his B.S. and Ph.D. degrees at the University of Pennsylvania, where his doctoral committee included Marc Nerlove, Lawrence Klein, and Peter Pauly. He has spent most of his career at Penn, where he has mentored approximately 75 Ph.D. students. Presently he is Paul F. and Warren S. Miller Professor of Social Sciences and Professor of Economics at Penn’s School of Arts and Sciences, and Professor of Finance and Professor of Statistics at Penn’s Wharton School. He is also a Faculty Research Associate at the National Bureau of Economic Research in Cambridge, Massachusetts, and author of the No Hesitations blog.

High frequency data refers to time-series data collected at an extremely fine scale. As a result of advanced computational power in recent decades, high frequency data can be accurately collected at an efficient rate for analysis. Largely used in financial analysis and in high frequency trading, high frequency data provides intraday observations that can be used to understand market behaviors, dynamics, and micro-structures.

Richard T. Baillie is a British–American economist and statistician who is currently the A J Pasant Professor of Economics at the Michigan State University. He is also part time professor at King's College, London, and Senior Scientific Officer for the Rimini Center for Economic Analysis in Italy, and also on the Executive Council of the Society for Nonlinear Dynamics in Econometrics (SNDE).

<span class="mw-page-title-main">Homoscedasticity and heteroscedasticity</span> Statistical property

In statistics, a sequence of random variables is homoscedastic if all its random variables have the same finite variance. This is also known as homogeneity of variance. The complementary notion is called heteroscedasticity. The spellings homoskedasticity and heteroskedasticity are also frequently used.


  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 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. Markay, Lachlan (2021-04-30). "John Kerry discloses millions in income from finance, energy firms". Axios. Retrieved 2022-06-23.
  9. "Nobel Laureate and Robert Engle on Climate Risks and Investor Implications". ETF Trends. 2022-06-14. Retrieved 2022-06-23.
  10. "Our Team — Climate Finance Partners (CLIFI)". Climate Finance Partners. Retrieved 2022-06-23.
  11. "KRBN ETF Update: Nobel-Prize Winning Economist, Robert Engle, Named Chairman of Climate Finance Partners Advisory Board as John Kerry Joins Biden Administration". Retrieved 2022-06-23.
  12. "KRBN Quote - KraneShares Global Carbon Strategy ETF Fund". Retrieved 2022-06-23.
Preceded by Laureate of the Nobel Memorial Prize in Economics
Served alongside: Clive W.J. Granger
Succeeded by