Stern School of Business, NYU
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 longstanding 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.
Professor Engle’s interest in financial econometrics covers equities, interest rates, exchange rates and option pricing. He is currently developing methods to analyse large systems of assets, real-time volatility, market microstructure and extreme market movements. He has published more than 100 academic papers and authored four books. His articles have appeared in such publications as Econometrica, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of the American Statistical Association, American Economic Review, Journal of Political Economy, Journal of Finance, Review of Financial Studies, Journal of Financial Economics.
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 an associate professor 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.
Articles by Robert Engle:
Capital shortfall: A new approach to ranking and regulating systemic risks
14 March 2012, 10700 reads
The 10 most systemically risky financial firms in the US
27 February 2011, 17469 reads
A case for (even) more transparency in the OTC markets
29 August 2009, 9518 reads
Giavazzi, Portes, Weder di Mauro, Wyplosz
- The case for 4% inflationBall
- Helicopter money as a policy optionReichlin, Turner, Woodford
- The banking crisis as a giant carry trade gone wrongAcharya, Steffen
- Everything the IMF wanted to know about financial regulation and wasn’t afraid to askBair
- Rethinking macroeconomic policy: Getting granularBlanchard, Dell'Ariccia, Mauro