Robert F. Engle

Last updated
Robert F. Engle III
Robert Engle SantiagoWEAI2017.png
Engle in 2017
Born (1942-11-10) November 10, 1942 (age 78)
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, (Ph.D. 1969)
Williams College, (B.S. 1964)
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

Robert Fry Engle III (born November 10, 1942) is an American statistician and the winner of 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 Quaker family [2] and went on to graduate from Williams College with a B.S. in physics. He earned an M.S. in physics and a Ph.D. in economics, both from Cornell University in 1966 and 1969 respectively. [3] After completing his Ph.D., Engle became Professor of Economics 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).

Personal life

Selected works

See also

Related Research Articles

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Clive Granger

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 heteroscedasticity (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.

Heteroscedasticity

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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, 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
Awards
Preceded by
Daniel Kahneman
Vernon L. Smith
Laureate of the Nobel Memorial Prize in Economics
2003
Served alongside: Clive W.J. Granger
Succeeded by
Finn E. Kydland
Edward C. Prescott