Robert F. Engle
Robert F. Engle III
Engle in 2017
|Born||November 10, 1942|
Syracuse, New York, U.S.
|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 statistician and the winner of 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)".
Engle was born in Syracuse, New York into Quaker family 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. doi:10.2307/1912773. JSTOR 1912773.
- . (with David F. Hendry and Jean-Francois Richard). "Exogeneity". Econometrica. 51 (2): 277–304. 1983. doi:10.2307/1911990. JSTOR 1911990.CS1 maint: others (link)
- . (with C. Granger, J. Rice and A. Weiss). "Semi-parametric Estimates of the Relation between Weather and Electricity Demand". J. Amer. Statist. Assoc. 81 (394): 310–320. 1986. doi:10.1080/01621459.1986.10478274.CS1 maint: others (link)
- . (with Clive Granger). "Co-Integration and Error Correction: Representation, Estimation, and Testing". Econometrica. 55 (2): 251–276. 1987. doi:10.2307/1913236. JSTOR 1913236.CS1 maint: others (link)
- . (with David Lilien and Russell Robins). "Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model". Econometrica. 55 (2): 391–407. 1987. doi:10.2307/1913242. JSTOR 1913242.CS1 maint: others (link)
- . (with V. Ng, and M. Rothschild). "Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills". Journal of Econometrics. 45 (1–2): 213–237. 1990. doi:10.1016/0304-4076(90)90099-F.CS1 maint: others (link)
- . (with J.R. Russell). "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data". Econometrica. 66 (5): 1127–1162. 1998. doi:10.2307/2999632. JSTOR 2999632.CS1 maint: others (link)
- "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.
- . (with Maureen O'Hara, David Easley and L. Wu). "Time-Varying Arrival Rates of Informed and Uninformed Traders". Journal of Financial Econometrics. 6 (2): 171–207. 2008. doi:10.1093/jjfinec/nbn003.CS1 maint: others (link)
- 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, 2, NBER, p. 673.
- "Robert F. Engle III - Biographical". Retrieved 10 March 2017.
- 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
- 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.
- Robert F. Engle at the Mathematics Genealogy Project
- Appearances on C-SPAN
Vernon L. Smith
| Laureate of the Nobel Memorial Prize in Economics
Served alongside: Clive W.J. Granger
Finn E. Kydland
Edward C. Prescott