Robert F. Engle
Robert F. Engle III | |
|---|---|
ARCH Cointegration | |
| Awards | Nobel Memorial Prize in Economic Sciences (2003) |
| Information at IDEAS / RePEc | |
| Academic background | |
| Thesis | Biases From Time-Aggregation of Distributed Lag Models (1969) |
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
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
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". JSTOR 1912773.
- Engle, Robert F.; Hendry, David F.; Richard, Jean-Francois (1983). "Exogeneity". Econometrica. 51 (2). (with JSTOR 1911990.
- "Semi-parametric Estimates of the Relation between Weather and Electricity Demand". doi:10.1080/01621459.1986.10478274.)
{{cite journal}}: CS1 maint: others (link - Engle, Robert F.; Granger, C. W. J. (1987). "Co-Integration and Error Correction: Representation, Estimation, and Testing" (PDF). Econometrica. 55 (2). (with S2CID 16616066.
- Engle, Robert F.; Lilien, David M.; Robins, Russell P. (1987). "Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model". Econometrica. 55 (2). (with David Lilien and Russell Robins): 391–407. JSTOR 1913242.
- "Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills" (PDF). S2CID 55667632.)
{{cite journal}}: CS1 maint: others (link - Engle, Robert F.; Russell, Jeffrey R. (1998). "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data". Econometrica. 66 (5). (with J.R. Russell): 1127–1162. JSTOR 2999632.
- "Dynamic Conditional Correlation – A Simple Class of Multivariate GARCH Models". S2CID 14784060.
- Easley, D.; Engle, R. F.; O'Hara, M.; Wu, L. (2008). "Time-Varying Arrival Rates of Informed and Uninformed Traders". Journal of Financial Econometrics. 6 (2). (with .
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", in Hickman, Bert G. (ed.), Econometric Models of Cyclical Behavior (PDF), Conference on Research in Income and Wealth. Studies in income and wealth, vol. 2, NBER, p. 673.
- ^ Robert F. Engle III on Nobelprize.org , accessed 2 May 2020
- ^ Homepage at New York University
- ^ MIT Nobel laureates
- ^ "NYU Stern School of Business". Retrieved 10 March 2017.
- ^ "Amsterdam Institute of Finance – Financial Training". Retrieved 10 March 2017.
- ^ The Volatility Institute at NYU-Stern School of Business site
- ^ Engle, Robert (2022). Farmer, Doyne; Kleinnijenhuis, Alissa; Schuermann, Til; Wetzer, Thom (eds.). Stress Testing with Market Data. Cambridge University Press. p. 142–161.
External links
- V-Lab: real time financial volatility and correlation measurements, modeling and forecasting
- The Society for Financial Econometrics (SoFiE)
- "Robert F. Engle (1942– )". Library of Economics and Liberty (2nd ed.). Liberty Fund. 2008.
- Robert F. Engle at the Mathematics Genealogy Project
- Appearances on C-SPAN