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Robert F. Engle

Robert F. Engle

Joined Stern 2000

Leonard N. Stern School of Business
Kaufman Management Center
44 West Fourth Street, 9-62
New York, NY 10012

Personal website

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Robert Engle was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.

Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models.

He is currently the Co-Director of the NYU Stern Volatility and Risk Institute and is the Co-Founding President of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Before joining NYU Stern in 2000, Professor Engle was Chancellor's Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology.

He received his bachelor of science in physics from Williams College and his master of science in physics and doctor of philosophy in economics from Cornell University. Born in Syracuse, NY, he grew up in Media, Pennsylvania, spent 25 years in San Diego, and now lives in New York.

Research Interests

  • Econometrics
  • Empirical Market Microstructure

Courses Taught

  • Futures and Options
  • Topics in Financial Econometrics

Academic Background

Ph.D., Economics, 1969
Cornell University

M.S., Physics, 1966
Cornell University

B.A., Physics, 1964
Williams College

Awards & Appointments

Risk Management Institute Member, International Advisory Panel 2012
Cornell University, Department of Statistical Science Distinguished Alumni Award 2011
IAFE/SunGard Financial Engineer of the Year Award 2011
UNC Chapel Hill Kenan-Flagler Business School Distinguished Visiting Scholar 2010
Joint CFTC-SEC Committee Member 2010
Hofstra University Presidential Medal 2009
World Economic Forum Member 2007
National Academy of Sciences Nobel Prize for Economics 2003

Selected Publications

Robert Engle, Riccardo Colacito and Eric Ghysels (2011)
A Component Model of Dynamic Correlations
ournal of Econometrics (2011) 164: 45-59

Robert Engle (2011)
Long-Term Skewness and Systemic Risk
Journal of Financial Econometrics (2011) 9(3): 437-468

Robert Engle (2011)
What is Happening with Financial Market Volatility and Why?
in Volatility - Risk and Uncertainty in Financial Markets (Springer Science + Business Media, 2011

Robert Engle and Turan Bali (2010)
The Intertemporal Capital Asset Pricing Model with Dynamic Conditional Correlations
Journal of Monetary Economics (May 2010) 57(4), 377-390

Robert Engle, Magdalena E. Sokalska and Ananda Chanda
High Frequency Multiplicative Component GARCH
Journal of Financial Econometrics (forthcoming)

Related News & Research

Professor Robert Engle comments on how the coronavirus pandemic could be a "dress rehearsal" to more crises

Professor Robert Engle's work in statistical modelling of time-varying volatility is cited

Professor Robert Engle's comments on geopolitical risk and its impact on financial markets are referenced

Professor Robert Engle's research on how geopolitical risk affects financial markets is referenced

In an in-depth feature, Professor Robert Engle shares advice for how investors can protect their assets against the effects of climate change

Professor Robert Engle's comments on the impact of undercapitalization on Indian financial institutions are highlighted

Professor Robert Engle's comments on the impact of undercapitalization on Indian financial institutions are spotlighted

Professor Robert Engle's recent comments on geopolitical risks in the global economy are cited

Professor Robert Engle's comments on the global state of geopolitical risk are featured

Professor Robert Engle is profiled as part of a P&Q "Professor of the Week" segment; his recent research on measuring systemic risk in the financial system is spotlighted

Professor Arun Sundararajan weighs in on future of the IPO landscape; his book, "The Sharing Economy," is referenced

Measuring the Probability of a Financial Crisis

Professor Robert Engle's joint research analyzing systemic risk to predict a financial crisis is spotlighted

Professor Robert Engle's work on financial volatility is featured

Hedging Climate Change News

Professor Robert Engle's method for statistical modeling of volatility in financial markets is cited

Hedging Against Climate Change

In a Q&A interview, Professor Robert Engle shares his outlook on the US-China trade negotiations

Professor Robert Engle's remarks at the Volatility Institute's 11th annual conference are highlighted

Professors Robert Engle and Johannes Stroebel's joint research on hedging climate change news is spotlighted

Areas of Expertise


  • Econometrics
  • Economic Indicators
  • Interest Rates
  • International Economic Policy
  • Volatility


  • Currencies & Exchange Rates
  • Derivatives
  • Financial Exchanges and Clearing Houses
  • Financial Regulation
  • High Frequency Trading