Professor Robert Fry Engle III
Professor Robert Fry Engle III is a 2003
Nobel Laureate for Economics and the Michael Armellino Professor of
Finance at New York Universitys Stern School of Business.
Robert Engle 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. After completing
his Ph.D. Robert Engle became Professor of Economics at the
Massachusetts Institute of Technology from 1969 to 1975. He joined
the faculty of the University of California at San Diego (UCSD) in
1975 where he became a professor in 1977 and later the chair in
economics. He now holds positions of Professor Emeritus and Research
Professor at UCSD and has also held associate editorships on several
academic journals, notably the Journal of Applied Econometrics of
which he was co-editor.
In 2003 Professor Engle shared the Nobel Prize for Economics with
Professor Clive W.J. Granger from UCSD for developing methods for
analyzing economic time series with time-varying volatility. He
conducted much of his prizewinning work in the 1970s and '80s, when
he developed improved mathematical techniques for the evaluation and
more-accurate forecasting of risk, which enabled researchers to test
if and how volatility in one period was related to volatility in
another period. This work had particular relevance in financial
market analysis in which the investment returns of an asset were
assessed against its risks and in which stock prices and returns
could exhibit extreme volatility.
While periods of strong turbulence caused large fluctuations in
prices in stock markets, these were often followed by relative calm
and slight fluctuations. Inherent in Professor Engle's
autoregressive conditional heteroskedasticity (known as ARCH) model
approach was the concept that, while most volatility is embedded in
the random error, its variance depends on previously realized random
errors, with large errors being followed by large errors and small
by small. This contrasted with earlier models wherein the random
error was assumed to be constant over time.
Professor Engle's methods and the ARCH model led to a proliferation
of tools for analyzing stocks and enabled economists to make more
accurate forecasts. Robert 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. These statistical models have become essential
tools of modern asset pricing theory and practice.
Professor Engles long-standing interest continues to be 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, who use
them in asset pricing and in evaluating portfolio risk. His research
has also produced such innovative statistical methods as
co-integration, common features, autoregressive conditional duration
(ACD), CAViaR and dynamic conditional correlation (DCC) models.
While Professor Engles work in financial econometrics covers
equities, interest rates, exchange rates and option pricing, he is
currently developing methods to analyze large systems of assets,
real-time volatility, market microstructure and extreme market
movements. He has published more than 100 academic papers and
authored four books. |
