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Robert F. Engle

Robert F. Engle

Joined Stern 2000

Leonard N. Stern School of Business
Kaufman Management Center
44 West Fourth Street, 9-62
New York, NY 10012

E-mail rengle@stern.nyu.edu
Personal website

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Biography

Robert Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, 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.

Professor 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.

He is currently the Director of the NYU Stern Volatility Institute and is the Co-Founding President of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. 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.

He received his bachelor of science in physics from Williams College and his master of science in physics and doctor of philosophy in economics from Cornell University. Born in Syracuse, NY, he grew up in Media, Pennsylvania, spent 25 years in San Diego, and now lives in New York.

Research Interests

  • Econometrics
  • Empirical Market Microstructure

Courses Taught

  • Futures and Options
  • Topics in Financial Econometrics

Academic Background

Ph.D., Economics, 1969
Cornell University

M.S., Physics, 1966
Cornell University

B.A., Physics, 1964
Williams College

Awards & Appointments

 
Risk Management Institute Member, International Advisory Panel 2012
Cornell University, Department of Statistical Science Distinguished Alumni Award 2011
IAFE/SunGard Financial Engineer of the Year Award 2011
UNC Chapel Hill Kenan-Flagler Business School Distinguished Visiting Scholar 2010
Joint CFTC-SEC Committee Member 2010
Hofstra University Presidential Medal 2009
World Economic Forum Member 2007
National Academy of Sciences Nobel Prize for Economics 2003

Selected Publications

Robert Engle, Riccardo Colacito and Eric Ghysels (2011)
A Component Model of Dynamic Correlations
ournal of Econometrics (2011) 164: 45-59

Robert Engle (2011)
Long-Term Skewness and Systemic Risk
Journal of Financial Econometrics (2011) 9(3): 437-468

Robert Engle (2011)
What is Happening with Financial Market Volatility and Why?
in Volatility - Risk and Uncertainty in Financial Markets (Springer Science + Business Media, 2011

Robert Engle and Turan Bali (2010)
The Intertemporal Capital Asset Pricing Model with Dynamic Conditional Correlations
Journal of Monetary Economics (May 2010) 57(4), 377-390

Robert Engle, Magdalena E. Sokalska and Ananda Chanda
High Frequency Multiplicative Component GARCH
Journal of Financial Econometrics (forthcoming)

Related News & Research

Professor Robert Engle identifies financial risks in China

Professor Robert Engle discusses banks' stress test results

The Eighth Annual Volatility Institute Conference

Professor Robert Engle discusses systemic risk in Europe

Professor Robert Engle's comments on systemic risk in China are highlighted

Professor Robert Engle is interviewed about stock market volatility

Professor Robert Engle discusses how the anticipated Federal Reserve rate increase impacts volatility in financial markets

Professor Robert Engle's remarks at the First Annual Volatility Conference at NYU Shanghai are highlighted

First Annual Volatility Institute at NYU Shanghai (VINS) Conference

First Annual Volatility Institute at NYU Shanghai (VINS) Conference

Professor Robert Engle shares his views on the UN talks addressing climate change

The Volatility Institute at NYU Shanghai's (VINS) First Annual Conference is featured; Professor Robert Engle's comments are highlighted

Professor Robert Engle ​discusses the impact of volatility in China and on global financial stability

NYU Stern Volatility Institute Hosts 7th Annual Conference on Fixed Income Risk

Prof. Robert Engle on the case against accused "flash crash" trader Navinder Singh Sarao

Prof. Robert Engle discusses banking stress tests and the NYU Stern Systemic Risk Rankings

NYU Stern and The Clearing House Launch Gallatin Lecture Series on Banking

Prof. Robert Engle on Greece's negotiations with the eurozone

In an in-depth interview, Prof. Robert Engle discussed financial volatility in China

Professor Robert Engle discusses stress tests, global stability and China's banking system

Areas of Expertise

Economics

  • Econometrics
  • Economic Indicators
  • Interest Rates
  • International Economic Policy
  • Volatility

Finance

  • Currencies & Exchange Rates
  • Derivatives
  • Financial Exchanges and Clearing Houses
  • Financial Regulation
  • High Frequency Trading