Biography:Robert F. Engle
Robert F. Engle III | |
|---|---|
 Engle in 2022 | |
| Born | November 10, 1942 Syracuse, New York, U.S. |
| 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) |
| 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 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)".
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]
Selected works
- Engle, Robert F. (1982). "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation". Econometrica 50 (4): 987–1008. doi:10.2307/1912773.
- Engle, Robert F.; Hendry, David F.; Richard, Jean-Francois (1983). (with David F. Hendry and Jean-Francois Richard). "Exogeneity". Econometrica 51 (2): 277–304. doi:10.2307/1911990.
- . (with C. Granger, J. Rice and A. Weiss)"Semi-parametric Estimates of the Relation between Weather and Electricity Demand". J. Amer. Statist. Assoc. 81 (394): 310–320. 1986. doi:10.1080/01621459.1986.10478274.
- Engle, Robert F.; Granger, C. W. J. (1987). (with Clive Granger). "Co-Integration and Error Correction: Representation, Estimation, and Testing". Econometrica 55 (2): 251–276. doi:10.2307/1913236. http://pe.cemi.rssi.ru/pe_2015_3_106-135.pdf.
- Engle, Robert F.; Lilien, David M.; Robins, Russell P. (1987). (with David Lilien and Russell Robins). "Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model". Econometrica 55 (2): 391–407. doi:10.2307/1913242.
- . (with V. Ng, and M. Rothschild)"Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills". Journal of Econometrics 45 (1–2): 213–237. 1990. doi:10.1016/0304-4076(90)90099-F. https://deepblue.lib.umich.edu/bitstream/2027.42/28496/1/0000293.pdf.
- Engle, Robert F.; Russell, Jeffrey R. (1998). (with J.R. Russell). "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data". Econometrica 66 (5): 1127–1162. doi:10.2307/2999632.
- "Dynamic Conditional Correlation – A Simple Class of Multivariate GARCH Models". Journal of Business and Economic Statistics 20 (3): 339–350. 2002. doi:10.1198/073500102288618487.
- Easley, D.; Engle, R. F.; O'Hara, M.; Wu, L. (2008). (with Maureen O'Hara, David Easley and L. Wu). "Time-Varying Arrival Rates of Informed and Uninformed Traders". Journal of Financial Econometrics 6 (2): 171–207. doi:10.1093/jjfinec/nbn003.
See also
- Modeling and analysis of financial markets
References
- ↑ Engle, Robert F.; Liu, Ta-Chung (1972), "Effects of Aggregation Over Time on Dynamic Characteristics of An Econometric Model", Econometric Models of Cyclical Behavior, Conference on Research in Income and Wealth. Studies in income and wealth, 2, NBER, p. 673, https://www.nber.org/chapters/c2787.pdf.
- ↑ Miss nobel-id as parameter , accessed 2 May 2020
- ↑ Homepage at New York University
- ↑ MIT Nobel laureates
- ↑ "NYU Stern School of Business". http://w4.stern.nyu.edu/academic/global/riskmanagement/.
- ↑ "Amsterdam Institute of Finance – Financial Training". http://www.aif.nl/.
- ↑ The Volatility Institute at NYU-Stern School of Business site
- ↑ Engle, Robert (2022). Farmer, Doyne; Kleinnijenhuis, Alissa; Schuermann, Til et al.. eds. Stress Testing with Market Data. Cambridge University Press. p. 142–161. https://doi.org/10.1017/9781108903011.011.
External links
- V-Lab: real time financial volatility and correlation measurements, modeling and forecasting
- The Society for Financial Econometrics (SoFiE)
- "Robert F. Engle (1942– )". The Concise Encyclopedia of Economics. Library of Economics and Liberty (2nd ed.). Liberty Fund. 2008. http://www.econlib.org/library/Enc/bios/Engle.html.
- Robert F. Engle at the Mathematics Genealogy Project
- Appearances on C-SPAN
| 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 |
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