Robert F. Engle
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Categories: 1942 births | Members of the National Academy of Sciences | Economists | Cornell University alumni | Time series econometricians | American economists | Living people | Massachusetts Institute of Technology faculty | New York University faculty | Nobel laureates in Economics | Williams College alumni | Fellows of the Econometric Society | University of California, San Diego faculty
Robert Fry "Rob" Engle III (born November 10, 1942 in Syracuse, New York) is an American economist and the winner of the 2003 Nobel Prize in Economics, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)". He graduated 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. Robert 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).
Family
Selected works
See alsoModeling and analysis of financial markets References
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