Robert F. Engle

Biography

Robert 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.

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 Co-Director of the NYU Stern Volatility and Risk 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)