FT BUSINESS SCHOOL Robert Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.
Professor Engle is an expert in time series analysis with a long-standing interest 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 cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models.
Before joining NYU Stern in 2000, Professor Engle was Chancellor’s Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology.
He received his bachelor of science in physics from Williams College and his master of science in physics and doctor of philosophy in economics from Cornell University. Born in Syracuse, NY ,he grew up in Media, Pennsylvania, spent 25 years in San Diego, and now lives in New York
EDUCATION
Ph.D., Economics, Cornell University, 1969
M.S., Physics, Cornell University, 1966
B.S., Williams College, 1964, with Highest Honors in Physics
ACADEMIC POSITIONS
Michael Armellino Professor in the Management of Financial Services, NYU Stern School of Business, 2000-
Professor, Department of Finance, Stern School of Business, New York University, 1999.
Emeritus Professor and Distinguished Research Professor, University of California, San Diego, 2003
Chair, University of California, San Diego, 1990 - 1994.
Chancellors’ Associates Chair in Economics, 1993 -
Professor, University of California, San Diego, 1977
Associate Professor, University of California, San Diego, 1975-1977.
Associate Professor, Massachusetts Institute of Technology, 1975.
Assistant Professor, Massachusetts Institute of Technology, 1969-1974.
HONOURS and AWARDS
Member, World Economic Forum, 2007
Member, National Academy of Sciences, 2006
Fellow of the Institute for Quantitative Research in Finance, 2006
Doctorate Honoris Causis, HEC, Paris, France, 2005
Doctorate Honoris Causis, Université de Savoie, France, 2005
Nobel Prize for Economics, 2003
Doctorate Honoris Causis, University of Southern Switzerland, 2003
Fellow, American Finance Association, 2004
Fellow, American Academy of Arts and Sciences, 1995
Fellow, American Statistical Association, 2000
Fellow, the Econometric Society, 1981
BUSINESS AFFILIATIONS
Principle, Robert F. Engle, Econometric Services
A personal consulting company specializing in the application of econometric methods to financial and other business needs. Current work focuses on liquidity and trading in financial markets, risk measurement and management, derivatives pricing and hedging and a variety of volatility and correlation related research tasks.
In addition, presents many lectures every year to financial practitioners around the world on topics of current interest.
Business Address: 8 Frederick St. , Mahopac, NY. 10541. Ph. 845-208-2028.
email: englearch@netscape.net
Director and Founder of the Center for Financial Econometrics at New York University.
The center runs a seminar series, Quantitative Finance and Econometrics (QFE) sponsored by Morgan Stanley, a series of lunch research meetings, a public web site under the Salomon Center and a venue for visitors, post-docs and reaserch fellows.
Chairman of the Academic Advisory Board of Morgan Stanley’s Equity Microstructure Grants.
This board administers an academic grant program giving approximately 10 grants per year to faculty and students studying market microstructure. The winning grants are invited to present their work at a conference in the following year that is run by the AAB.
NBER, Faculty Research Associate
RESEARCH PUBLICATIONS
Overview:
Prof Engle has published well over 100 academic research papers, four books and many other scholarly works. These are mostly in the broad area of time series econometrics with the most important applications to financial markets. However over the years there are influential papers analyzing macro economics, energy markets, urban economies, emerging markets as well as the main financial asset classes: equities, currencies, fixed income and derivatives. Two of his papers have reached milestones in citations: the paper introducing the ARCH model in 1982 and the paper coauthored with Clive Granger introducing Cointegration in 1986. These two papers were honored in ”Citation Classics” as two of the most cited of all papers in economics. They were also the two papers forming the basis for the 2003 Nobel Prize.
Several other papers have achieved widespread recognition and have been reprinted widely. The most heavily cited papers are listed below.
12 FREQUENTLY CITED PAPERS
1. ”Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of U.K. Inflation,” Econometrica 50 (1982): 987-1008.
2. ”Co-integration and Error Correction: Representation, Estimation and Testing,” (with C.W.J. Granger), Econometrica 55 (1987): 251-276.
3. ”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.
4. ”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.
5. “ARCH Models,” (with D. Nelson and T. Bollerslev) in Handbook of Econometrics, Volume IV, ed. R. Engle and D. McFadden (Amsterdam: North Holland, 1994), 2959-3038
6. ”Forecasting and Testing in Co-integrated Systems,” (with Sam Yoo), Journal of Econometrics 35 (1987): 143-159.
7. ”Semi-parametric estimates of the relation between weather and electricity demand,” (with C.W.J. Granger, J. Rice and A. Weiss), Journal of American Statistical Association 81 (1986): 310-320.
8. ”Exogeneity,” (with David F. Hendry and Jean-Francois Richard), Econometrica 51 (1983): 277-304.
9. ”Testing for Common Features,” (with S. Kozicki), Journal of Business and Economic Statistics 11 (1993): 369 - 380.
10. “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data,” Econometrica (1998) 66: 1127-1162.
11. “The Econometrics of Ultra High Frequency Data,” Econometrica (2000) 68: 1-22.
12. “Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models, Journal of Business and Economic Statistics, ”, (July 2002), V20N3
EXPOSITORY PAPERS
1. “The ET Interview: Robert F. Engle,” (interviewed by Francis X. Diebold), Econometric Theory (January 2003) v19 n6
2. “Robert F. Engle III, autobiography (2004) Les Prix Nobel 2003, Nobel Foundation, pp. 309-325
3. “Risk and Volatility: Econometric Models and Financial Practice,” Nobel Lecture,(2004)American Economic Review, V94M3 pp 405-420
4. “Grappling with GARCH,” (with Joseph Mezrich), RISK (1995): 112-117
5. “GARCH for Groups,” (with Joseph Mezrich), RISK (1996): 36-40
6. “GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics”, Journal of Economic Perspectives (Fall 2001), V15N4
7. “What Good is a Volatility Model?” (with Andrew Patton), Quantitative Finance, (March 2001) V1N2 pp 237-245
8. “Financial Econometrics – A New Discipline with New Methoods,” Journal of Econometrics (Jan. 2001), V100 pp53-56
RECENT PAPERS
1. “The Underlying Dynamics of Credit Correlations” (with Arthur BerdandArtem Voronov), (October 2005) Working Paper No. SC-CFE-05-04
2. ”High Frequency Multiplicative Component GARCH,” (with Magdalena E. Sokalska and Ananda Chanda), (August 2005), Working Paper No. SC-CFE-05-05
3. “The Spline-GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes,” (with J. Gonzalo Rangel), (November 2004). Working Paper No. SC-CFE-04-05, forthcoming Review of Financial Studies
4. “Execution Risk”, (with Robert Ferstenberg) Journal of Portfolio Management, Winter (2007), V33, I2, pp.34-45
5. “Measuring and Modeling Execution Cost and Risk” (with Jeffrey Russell and Robert Ferstenberg) Working paper, pp.1-54
6. “Vector Multiplicative Error Models: Representation and Inference” (With Fabrizio Cipollini, and Giampiero M. Gallo) Working Paper No.0331
7. “A GARCH Option Pricing Model in Incomplete Markets”, (with Giovanni Barone-Adesi and Loriano Mancini), Working Paper ??
8. “Dynamic Equicorrelation”, (with Bryan Kelly)
BOOKS
Long Run Economic Relations: Readings in Cointegration, (eds. R. Engle and C.W.J. Granger) Oxford, Oxford University Press, 1991
Handbook of Econometrics, Volume IV, (ed. with Dan McFadden), Amsterdam: North Holland, 1994
ARCH: Selected Readings, Oxford University Press, 1995
Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive W. J. Granger, (ed. with Halbert White) Oxford University Press, 1999
Econometric Analysis of Financial and Economic Time Series, “Good Ideas” (Dedicated to R. Engle and C.W.J. Granger, Vol. 20, Parts A/B) Elsevier, Ltd, 2006
