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Robert F. Engle
Robert F. Engle.jpg
Birth November 10, 1942 (1942-11-10) (age 67)
Syracuse, New York, U.S.
Nationality American
Institution New York University 2000-
University of California, San Diego 1975-03
Massachusetts Institute of Technology 1969-75
Field Econometrics
Alma mater Cornell University (Ph.D. 1969)
Williams College (B.S. 1964)
Influences Ta-Chung Liu
Influenced Tim Bollerslev
Mark Watson
Contributions ARCH
Cointegration
Awards Nobel Memorial Prize in Economic Sciences (2003)
Information at IDEAS/RePEc

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

Contents

Biography

Engle was born in Syracuse, New York 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.[1] After completing his Ph.D., Engle became Professor of Economics at the Massachusetts Institute of Technology from 1969 to 1977.[2] 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.

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 asset pricing theory and practice.

More recently, Engle (and Eric Ghysels) co-founded the Society for Financial Econometrics (SoFiE).

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Personal life

  • 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)

Publications

  • Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of UK Inflation Econometrica 50 (1982): 987-1008.
  • Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model (with David Lilien and Russell Robins), Econometrica 55 (1987): 391-407.
  • Co-integration and Error Correction: Representation, Estimation and Testing (with Clive Granger), Econometrica 55 (1987): 251-276.
  • Semi-parametric estimates of the relation between weather and electricity demand (with C. Granger, J. Rice and A. Weiss), Journal of American Statistical Association 81 (1986): 310-320.
  • Exogeneity (with David F. Hendry and Jean-Francois Richard), Econometrica 51 (1983): 277-304.
  • Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills (with V. Ng, and M. Rothschild) Journal of Econometrics 45 (1990): 213-237.
  • Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data, (with J.R. Russell) Econometrica 66 (1998):1127-1162.
  • Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models Journal of Business and Economic Statistics (July 2002)

See also

References

External links


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