Engle, Robert F. III
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Robert F. Engle III

Nobel Laureate in Economic Sciences 2003

Visiting Professor of Finance, Stern School of Business, New York University, USA
Professor of Economics, University of California, San Diego, USA

Co-reason for the prize:

for methods of analyzing economic time series with time-varying volatility (ARCH)

Main Topics:

  • Financial econometrics;
  • Time series analysis;
  • Risk and volatility management;
  • Empirical market microstructure.

Professional Profile:

Professor Engle was an Assistant Professor at Massachusetts Institute of Technology (MIT) from 1969 to 1974.

He moved to the University of California (San Diego) in 1975, where he became an Associate Professor and moved up to full Professor in 1977. He was Chairman of the Department of Economics from 1990 to 1994 and from 1999 is Visiting Professor at the Finance Department of the Stern School of Business, New York University.

He now lectures widely to both academic and practitioner audiences. He is a fellow of both the American Academy of Arts and Sciences and the Econometric Society. He is an expert in time series analysis with a long time interest in the analysis of financial markets.

His research has produced such innovative statistical methods as ARCH (Autoregressive Conditional Heteroskedasticity), cointegration, band spectrum regression and most recently, common features. Altogether he has published over a hundred academic papers and three books.

His interest in financial econometrics covers equities, interest rates, exchange rates and options. In 2003 he was awarded, with Clive W.J. Granger, the Nobel Prize thanks to his research about “methods of analyzing economic time series with time-varying volatility (ARCH)”.

Education:

  • B.S. in Physics with Highest Honoris, Williams College, 196
  • M.S. in Physics, University of Cornell, 1966
  • Ph.D. in Economics, University of Cornell, 1969

Selected Works:

  • R.Engle, Cointegration, Causality and forecasting: A Festschift in honor of Clive W. J. Granger, ed. conHalbert White, Oxford University Press, Oxford, 1999
  • R. Engle, ARCH: Selected Readings, Oxford University Press, Oxford, 1995
  • R. F. Engle III, Handbook of Econometrics, Volume IV, con D. McFadden, North Holland, Amsterdam 1994
  • R. F. Engle III, Forecasting Electricity Sales Over the Short Term: A Comparison of New Methodologies, con Robert Goodrich, EPRI, 1986
  • R. F. Engle III, Weather Normalization of Electricity Sales, con Granger, Ramanathan, Train e Ignelzi, EPRI, 1983

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