Robert F. Engle

Robert F. Engle III
Born (1942-11-10) November 10, 1942
Syracuse, New York, USA
Nationality American
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]
Influences David Hendry
Influenced Tim Bollerslev
Mark Watson
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 economist and the winner of the 2003 Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".

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.

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

Personal life

Selected works

See also

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., 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 - Biographical
  3. ↑ Homepage at New York University
  4. ↑ MIT Nobel laureates
  5. ↑ Master of Science in Risk Management for Executives Program
  6. ↑ Amsterdam Institute of Finance
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