Robert F. Engle
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Robert F. Engle (born November 10, 1942 in Syracuse, New York) received the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel in 2003, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".
He graduated from Williams College with a BS in physics. He got his Ph.D. from Cornell University in 1969 and currently teaches in New York University, Stern School of Business where he is the Michael Armellino professor in Management of Financial Services.
Robert Engle had joined the faculty of the University of California, San Diego (UCSD) in 1975, wherefrom he retired in 2003. He now holds positions of Professor Emeritus and Research Professor at UCSD.
Robert Engle’s most important contribution was his path-breaking discovery of a method for analyzing unpredictable movements in financial market prices and interest rates. Accurate characterization and prediction of these volatile movements are essential for quantifying and effectively managing risk. For example, risk measurement plays a key role in pricing options 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 asset pricing theory and practice.
Selected works
- Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of UK Inflation Econometrica 50 (1982): 987-1008.
- Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model (with David Lilien and Russell Robins), Econometrica 55 (1987): 391-407.
- Co-integration and Error Correction: Representation, Estimation and Testing (with Clive Granger), Econometrica 55 (1987): 251-276.
- Semi-parametric estimates of the relation between weather and electricity demand (with C. Granger, J. Rice and A. Weiss), Journal of American Statistical Association 81 (1986): 310-320.
- Exogeneity (with David F. Hendry and Jean-Francois Richard), Econometrica 51 (1983): 277-304.
- Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills (with V. Ng, and M. Rothschild) Journal of Econometrics 45 (1990): 213-237.
- Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models Journal of Business and Economic Statistics (July 2002)
See also
Modeling and analysis of financial markets
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