Robert F. Engle
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November 10, 1942 |
Syracuse, New York, USA
|Institution||New York University, since 2000
University of California, San Diego, (1975–2003)
Massachusetts Institute of Technology, (1969–1975)
|Alma mater||Cornell University, (Ph.D. 1969)
Williams College, (B.S. 1964)
|Awards||Nobel Memorial Prize in Economic Sciences (2003)|
|Information at IDEAS/RePEc|
Robert Fry Engle III (born November 10, 1942) is an American economist and the winner of the 2003 Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".
Engle was born in Syracuse, New York and went on to graduate from Williams College with a B.S. in physics. He earned an M.S. in physics and a Ph.D. in economics, both from Cornell University in 1966 and 1969 respectively. After completing his Ph.D., Engle became Professor of Economics at the Massachusetts Institute of Technology from 1969 to 1977. He 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. He currently teaches at New York University, 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, which is offered in partnership with the Amsterdam Institute of Finance.
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 arbitrage pricing theory and practice.
More recently, Engle (and Eric Ghysels) co-founded the Society for Financial Econometrics (SoFiE).
- Paternal Grandfather – Robert Fry Engle, Sr. (b. 1879 d. 1946)
- Father – Robert Fry Engle, Jr. (b. 1910 d. 1981, DuPont chemist)
- Mother – Mary Starr Engle ("Murry", French teacher, m. 1939)
- Sister – Patricia Lee Engle ("Patty", twin, UNICEF official)
- Sister – Sally Starr Engle Merry (anthropologist, twin)
- Wife – Marianne Eger Engle (psychologist, m. 10-Aug-1969, two children)
- Daughter – Lindsey Engle Richland (psychologist)
- Son – Jordan Engle] (actor, b. May-1980)
- "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation". Econometrica 50 (4): 987–1008. 1982. JSTOR 1912773.
- "Exogeneity". (with David F. Hendry and Jean-Francois Richard). Econometrica 51 (2): 277–304. 1983. JSTOR 1911990.
- "Semi-parametric Estimates of the Relation between Weather and Electricity Demand". (with C. Granger, J. Rice and A. Weiss). J. Amer. Statist. Assoc. 81 (394): 310–320. 1986. doi:10.1080/01621459.1986.10478274.
- "Co-Integration and Error Correction: Representation, Estimation, and Testing". (with Clive Granger). Econometrica 55 (2): 251–276. 1987. JSTOR 1913236.
- "Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model". (with David Lilien and Russell Robins). Econometrica 55 (2): 391–407. 1987. JSTOR 1913242.
- "Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills". (with V. Ng, and M. Rothschild). Journal of Econometrics 45 (1–2): 213–237. 1990. doi:10.1016/0304-4076(90)90099-F.
- "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data". (with J.R. Russell). Econometrica 66 (5): 1127–1162. 1998. JSTOR 2999632.
- "Dynamic Conditional Correlation – A Simple Class of Multivariate GARCH Models". Journal of Business and Economic Statistics 20 (3): 339–350. 2002. doi:10.1198/073500102288618487.
- "Time-Varying Arrival Rates of Informed and Uninformed Traders". (with Maureen O'Hara, David Easley and L. Wu). Journal of Financial Econometrics 6 (2): 171–207. 2008. doi:10.1093/jjfinec/nbn003.
- V-Lab: real time financial volatility and correlation measurements, modeling and forecasting
- The Society for Financial Econometrics (SoFiE)
- "Robert F. Engle (1942– )". The Concise Encyclopedia of Economics. Library of Economics and Liberty (2nd ed.) (Liberty Fund). 2008.