Joined Stern 2000
Leonard N. Stern School of Business
Kaufman Management Center
44 West Fourth Street, 9-62
New York, NY 10012
Robert Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, 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. Many of these methods are now featured in the innovative public web site, V-LAB, where daily estimates of volatilities and correlations for more than a thousand assets can be found. These forecasts use both traditional and state of the art statistical methods. These computations are used in evaluating portfolio risk, asset allocation, derivative pricing and systemic risk measures now incorporated in the NYU Stern Systemic Risk Rankings. His research has produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR, and DCC models. Now multiplicative error models (MEM) and factor spline garch (FSG) combine these into ever more powerful statistical tools.
Professor Engle is the Director of the NYU Stern Volatility Institute and a co-founding president of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Before joining NYU Stern in 2000, he was Chancellor’s Associates Professor and Economics Department Chair at the University of California, San Diego and Associate Professor of Economics at MIT. He is a member of the National Academy of Science.
He received his Bachelor of Science from Williams College and his MS in Physics and PhD in Economics from Cornell University. He grew up in Media, Pennsylvania, spent 25 years in San Diego and now lives in New York City.
Ph.D., Economics, 1969
M.S., Physics, 1966
B.A., Physics, 1964
|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|
Robert Engle, Riccardo Colacito and Eric Ghysels (2011)
A Component Model of Dynamic Correlations
ournal of Econometrics (2011) 164: 45â59
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 â 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)