Director and Founder of the Volatility Institute, New York University
The center runs a seminar series, Quantitative Finance and Econometrics (QFE), a public web site and venue for visitors, post-docs and research fellows, and password-protected Vlab, which calculates volatilities and correlations every day on a wide range of assets using various methods. It produces volatility forecasts up to a year in advance.
Co-Founding President, Society for Financial Econometrics (SoFiE),
New York University
The Society for Financial Econometrics (SoFiE) is a global network of academics and practitioners dedicated to the fast-growing field of financial econometrics. SoFiE is committed to promoting and expanding research and education by organizing annual conferences and sponsoring programs and activities in the intersection of finance and econometrics.
Principle, VoLaRia, 1 Ridgeway Road, Concord, MA 01742
A financial consulting company with expertise in statistical models of financial data.
Principle, Robert F. Engle, Econometric Services, 8 Frederick St.,
Mahopac, NY 10541
A personal consulting company specializing in the application of econometric methods to financial and other business needs. Current work focuses on liquidity and trading in financial markets, risk measurement and management, derivatives pricing and hedging and a variety of volatility and correlation related research tasks. Presents many lectures every year to financial practitioners around the world on topics of current interest.
Faculty Research Associate, National Bureau of Economic Research (NBER)
Founded in 1920, the National Bureau of Economic Research is a private, nonprofit, nonpartisan research organization dedicated to promoting a greater understanding of how the economy works. The NBER is committed to undertaking and disseminating unbiased economic research among public policymakers, business professionals, and the academic community.
Academic Affiliate, Compass Lexecon
Compass Lexecon was formed in January 2008 through the combination of Competition Policy Associates (COMPASS) and Lexecon, two of the premier economic consulting firms in the world. For the past nine years, Compass Lexecon has been ranked as one of the leading antitrust economics firms in the world by the Global Competition Review.