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Robert F. Engle
Michael Armellino Professor of Finance
Director, Center For Financial Econometrics Affiliated Faculty, Statistics Group Joined Stern: 2000
Leonard N. Stern School of Business
Kaufman Management Center
44 West 4th Street, Room 9-62 New York, NY 10012
Email:
rengle@stern.nyu.edu
Research, publications, honors, and more
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- Topics in Financial Econometrics
- Futures and Options
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- Econometrics
- Empirical Market Microstructure
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Academic Background
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| PhD, Economics, 1969 | Cornell University | | MS, Physics, 1966 | Cornell University | | BA, Physics, 1964 | Williams College |
Biography
Robert F. Engle is the Michael Armellino Professor of Finance at the NYU Stern School of Business, as well as the Chancellor’s Associates Professor of Economics at the University of California, San Diego. He is a Fellow of the American Academy of Arts and Sciences, the Econometric Society, the American Statistical Association and the American Finance Association. He is a member of the U.S. National Academy of Sciences.
Profesor Engle has recently given the invited Fisher-Schultz Lecture, as well as the William Phillips, Pareto, and Frank Paish Lectures. In 2003 Professor Engle was honored with the Nobel Prize in Economic Sciences for his work in methods of analyzing economic time series with time-varying volatility (ARCH). In addition to ARCH, his research has introduced some of the most influential concepts in modern econometrics - GARCH models, Cointegration, Weak Exogeneity, Band Spectrum Regression, Common Features, Autoregressive Conditional Duration (ACD), and, most recently, the CAViaR model.
In four books and well over 100 academic journal articles, Professor Engle has applied these methods to analyse equities, options, currencies and interest rates; his current research also includes an investigation of empirical market microstructure. He is a frequent speaker and consultant for financial institutions. He holds a Ph.D. in Economics and a M.S. in Physics from Cornell University, and is principal of Robert F. Engle Econometric Services. Before UCSD, he was Associate Professor of Economics at MIT.
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