:Robert F. Engle

{{short description|American economist and Nobel laureate (born 1942)}}

{{Infobox economist

| name = Robert F. Engle III

| school_tradition =

| color =

| image = 0603-Kraneshares KRBN-RobertEngle-JonDemske-16 (cropped).jpg

| image_size =

| caption = Engle in 2022

| birth_date = {{Birth date and age|1942|11|10|mf=y}}

| birth_place = Syracuse, New York, U.S.

| death_date =

| death_place =

| institution = New York University, since 2000
University of California, San Diego, (1975–2003)
Massachusetts Institute of Technology, (1969–1975)

| field = Econometrics

| doctoral_advisor = Ta-Chung Liu{{citation | last1 = Engle | first1 = Robert F. | last2 =Liu | first2 = Ta-Chung | contribution = Effects of Aggregation Over Time on Dynamic Characteristics of An Econometric Model | editor-last1 = Hickman | editor-first1 = Bert G. | title = Econometric Models of Cyclical Behavior | volume= 2 | page = 673 | publisher = NBER | series = Conference on Research in Income and Wealth. Studies in income and wealth | year = 1972 | url = https://www.nber.org/chapters/c2787.pdf | postscript = .}}

| academic_advisors=

| doctoral_students= Mark Watson
Tim Bollerslev

| notable_students =

| influences = David Hendry

| contributions = ARCH
Cointegration

| awards = Nobel Memorial Prize in Economic Sciences (2003)

| signature =

| repec_prefix = e | repec_id = pen9

|education=Williams College (BS)
Cornell University (MS, PhD)

| thesis_title = Biases From Time-Aggregation of Distributed Lag Models

| thesis_url = https://www.proquest.com/docview/302371907/

| thesis_year = 1969

}}

Robert Fry Engle III (born November 10, 1942) is an American economist and statistician. He won 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)".

Biography

Engle was born in Syracuse, New York into a Quaker family{{Nobelprize|accessdate=2 May 2020|name=Robert F. Engle III}} and went on to graduate from Williams College with a BS in physics. He earned an MS in physics and a PhD in economics, both from Cornell University, in 1966 and 1969 respectively.[http://pages.stern.nyu.edu/~rengle/ Homepage at New York University] After completing his PhD, Engle became an economics professor at the Massachusetts Institute of Technology from 1969 to 1977.[http://web.mit.edu/newsoffice/special/nobels.html MIT Nobel laureates] 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.{{cite web|url=http://w4.stern.nyu.edu/academic/global/riskmanagement/|title=NYU Stern School of Business|access-date=10 March 2017}}{{cite web|url=http://www.aif.nl/|title=Amsterdam Institute of Finance – Financial Training|access-date=10 March 2017}}

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.

Engle was the central founder and director of NYU-Stern's Volatility Institute which publishes weekly date on systemic risk across countries on its V-LAB site.[http://www.stern.nyu.edu/experience-stern/about/departments-centers-initiatives/centers-of-research/volatility-institute The Volatility Institute] at NYU-Stern School of Business site{{cite book |last1=Engle |first1=Robert |title=Handbook of Financial Stress Testing |editor1-last=Farmer |editor1-first=Doyne |editor2-last=Kleinnijenhuis |editor2-first=Alissa |editor3-last=Schuermann |editor3-first=Til |editor4-last=Wetzer |editor4-first=Thom |chapter=Stress Testing with Market Data |date=2022 |publisher=Cambridge University Press |pages=142–161 |doi=10.1017/9781108903011.011 |isbn=978-1-108-90301-1 |chapter-url= https://doi.org/10.1017/9781108903011.011}} He was awarded a Doctor Honoris Causa by the Comillas Pontifical University in Spain in 2024.{{cite web |title=Dos honoris causa que estudian la relación entre cambio climático y finanzas |url=https://www.comillas.edu/noticias/dos-honoris-causa-que-estudian-la-relacion-entre-cambio-climatico-y-finanzas |publisher=Comillas Pontifical University. 2024}}

Selected works

{{cite journal |title=Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation |journal=Econometrica |volume=50 |issue=4 |year=1982 |pages=987–1008 |jstor=1912773 |doi=10.2307/1912773|last1=Engle |first1=Robert F. }}
{{cite journal |title=Exogeneity |others=(with David F. Hendry and Jean-Francois Richard) |journal=Econometrica |volume=51 |year=1983 |issue=2 |pages=277–304 |jstor=1911990 |doi=10.2307/1911990|last1=Engle |first1=Robert F. |last2=Hendry |first2=David F. |last3=Richard |first3=Jean-Francois }}
{{cite journal |title=Semi-parametric Estimates of the Relation between Weather and Electricity Demand |others=(with C. Granger, J. Rice and A. Weiss) |journal=J. Amer. Statist. Assoc. |volume=81 |year=1986 |issue=394 |pages=310–320 |doi=10.1080/01621459.1986.10478274 }}
{{cite journal |title=Co-Integration and Error Correction: Representation, Estimation, and Testing |others=(with Clive Granger) |journal=Econometrica |volume=55 |year=1987 |issue=2 |pages=251–276 |jstor=1913236 |doi=10.2307/1913236|last1=Engle |first1=Robert F. |last2=Granger |first2=C. W. J. |s2cid=16616066 |url=http://pe.cemi.rssi.ru/pe_2015_3_106-135.pdf }}
{{cite journal |title=Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model |others=(with David Lilien and Russell Robins) |journal=Econometrica |volume=55 |year=1987 |issue=2 |pages=391–407 |jstor=1913242 |doi=10.2307/1913242|last1=Engle |first1=Robert F. |last2=Lilien |first2=David M. |last3=Robins |first3=Russell P. }}
{{cite journal |title=Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills |others=(with V. Ng, and M. Rothschild) |journal=Journal of Econometrics |volume=45 |year=1990 |issue=1–2 |pages=213–237 |doi=10.1016/0304-4076(90)90099-F |url=https://deepblue.lib.umich.edu/bitstream/2027.42/28496/1/0000293.pdf |hdl=2027.42/28496 |s2cid=55667632 |hdl-access=free }}
{{cite journal |title=Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data |others=(with J.R. Russell) |journal=Econometrica |volume=66 |year=1998 |issue=5 |pages=1127–1162 |jstor=2999632 |doi=10.2307/2999632|last1=Engle |first1=Robert F. |last2=Russell |first2=Jeffrey R. }}
{{cite journal |title=Dynamic Conditional Correlation – A Simple Class of Multivariate GARCH Models |journal=Journal of Business and Economic Statistics |year=2002 |volume=20 |issue=3 |pages=339–350 |doi=10.1198/073500102288618487 |s2cid=14784060 }}
{{cite journal |title=Time-Varying Arrival Rates of Informed and Uninformed Traders |others=(with Maureen O'Hara, David Easley and L. Wu) |journal=Journal of Financial Econometrics |year=2008 |volume=6 |issue=2 |pages=171–207 |doi=10.1093/jjfinec/nbn003 |last1=Easley |first1=D. |last2=Engle |first2=R. F. |last3=O'Hara |first3=M. |last4=Wu |first4=L. |doi-access=free }}

References

External links

[http://vlab.stern.nyu.edu V-Lab: real time financial volatility and correlation measurements, modeling and forecasting]
[http://sofie.stern.nyu.edu/founding.members The Society for Financial Econometrics (SoFiE)]
{{cite encyclopedia |title=Robert F. Engle (1942– ) |url=http://www.econlib.org/library/Enc/bios/Engle.html |encyclopedia=The Concise Encyclopedia of Economics |edition=2nd |series=Library of Economics and Liberty |publisher=Liberty Fund |year=2008 }}
{{MathGenealogy}}
{{C-SPAN|9266951}}

{{s-bef | before = Daniel Kahneman | before2 = Vernon L. Smith }}

{{s-ttl | title = Laureate of the Nobel Memorial Prize in Economics | years = 2003 | alongside = Clive W.J. Granger }}

{{s-aft | after = Finn E. Kydland | after2 = Edward C. Prescott }}

Category:Economists from New York (state)

Category:American Nobel laureates

Category:Cornell University alumni

Category:Fellows of the American Statistical Association

Category:Fellows of the Econometric Society

Category:Fellows of the American Academy of Arts and Sciences

Category:MIT School of Humanities, Arts, and Social Sciences faculty

Category:Members of the United States National Academy of Sciences

Category:New York University Stern School of Business faculty