Robert F. Engle III | |
|---|---|
.jpg) Engle in 2022 | |
| Born | (1942-11-10)November 10, 1942 (age 83) Syracuse, New York, U.S. |
| Academic background | |
| Education | Williams College (BS) Cornell University (MS,PhD) |
| Thesis | Biases From Time-Aggregation of Distributed Lag Models (1969) |
| Doctoral advisor | Ta-Chung Liu[1] |
| Influences | David Hendry |
| Academic work | |
| Discipline | Econometrics |
| Institutions | New York University, since 2000 University of California, San Diego, (1975–2003) Massachusetts Institute of Technology, (1969–1975) |
| Doctoral students | Mark Watson Tim Bollerslev |
| Notable ideas | ARCH Cointegration |
| Awards | Nobel Memorial Prize in Economic Sciences (2003) |
| Website | |
Robert Fry Engle III (born November 10, 1942) is an American economist andstatistician. He won the 2003Nobel Memorial Prize in Economic Sciences, sharing the award withClive Granger, "for methods of analyzing economictime series with time-varyingvolatility (ARCH)".
Engle was born inSyracuse, New York into aQuaker family[2] and went on to graduate fromWilliams College with aB.S. in physics. He earned aM.S. in physics and aPh.D. in economics, both fromCornell University, in 1966 and 1969 respectively.[3] After completing his PhD, Engle became an economics professor at theMassachusetts Institute of Technology from 1969 to 1977.[4] He joined the faculty of theUniversity of California, San Diego (UCSD) in 1975, wherefrom he retired in 2003. He now holds positions of professor emeritus and research professor at UCSD. He currently teaches atNew York University,Stern School of Business where he is the Michael Armellino professor in Management of Financial Services. AtNew 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 andinterest rates. Accurate characterization and prediction of these volatile movements are essential for quantifying and effectively managingrisk. For example, risk measurement plays a key role in pricingoptions andfinancial derivatives. Previous researchers had either assumed constantvolatility 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 modernarbitrage pricing theory and practice.
Engle was the central founder and director of NYU-Stern's Volatility Institute which publishes weekly data onsystemic risk across countries on its V-LAB site.[7][8] He was awarded aDoctor Honoris Causa by theComillas Pontifical University in Spain in 2024.[9]
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, accessed 2 May 2020| Awards | ||
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| Preceded by | Laureate of the Nobel Memorial Prize in Economics 2003 Served alongside:Clive W.J. Granger | Succeeded by |
