Robert F. Engle

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Robert F. Engle
Robert F. Engle.jpg
Occupation Michael Armellino Professor of Finance and Director, Volatility Institute
Employer Stern School of Business, New York University
Location New York
Website http://pages.stern.nyu.edu/~rengle/

Robert F. Engle is the Michael Armellino Professor in the Management of Financial Services and a member of the Affiliated Faculty of the Statistics Group at the Stern School of Business at New York University. He is also a Fellow of the Institute For Quantitative Research in Finance and the Director of the Volatility Institute. [1]

Engle was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.

Background

Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models.

Before joining NYU Stern in 2000, Professor Engle was Chancellor's Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology. [2]

Education

BS Physics, Williams College, 1964

MS Physics, Cornell University, 1966

PhD Economics, Cornell University, 1969

References

  1. Robert Engle. NYU Department of Finance.
  2. IAFE Annual Conference 2009. IAFE.