Engle, Robert

Professor of Finance, Michael Armellino Professorship in the Management of Financial Services
Affiliated Faculty, Statistics Group
Fellow, Institute For Quantitative Research in Finance
Joined Stern 2000

Phone: (212) 998-0710
Fax : (212) 995-4220
Email: rengle@stern.nyu.edu
Office: KMEC 9-62
44 West Fourth Street
Suite 9-62
New York, NY 10012-1126

Recent Awards:

The Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel 2003 for methods of analyzing economic time series with time-varying volatility (ARCH)

Festschrift

Festschrift June 2008

In the News:

FINANCIAL TIMES VIDEO LECTURE SERIES

FT Business School: Global Financial Volatility

This is the fifth installment in the FT Business School series of online executive education courses, conducted in partnership with leading business schools.

VOLATILITY: How do you measure it when it is constantly changing?

TIME-VARYING VOLATILITY: how can ARCH and GARCH be used to measure risk?

RISK: Why are current risk measures so low, when we think there are serious financial risks?

LONG-RUN RISK: What are the implications for investors of a divergence between short and long-run risk

GLOBAL FINANCIAL VOLATILITY: What are the macroeconomic causes of long-run risks?

Each of the five sessions will feature audio transcripts and additional reading materials


Education:

  • PhD   Economics Cornell University  1969
  • MS    Physics  Cornell University 1966
  • BS     Williams College, 1964, with Highest Honors in Physics 

Teaches:

  • Topics in Financial Econometrics
  • Futures and Options
  • Volatility

Research Interests:

  • Financial Econometrics
  • Time Series Analysis
  • Volatility and Risk Management
  • Empirical Market Microstructure

Business Experience:

  • Principal Robert F. Engle Econometric Services

10 Frequently Cited Papers:

  • "Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of U.K. 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 C.W.J. Granger), Econometrica 55 (1987):251-276.

 

  • "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.

 

  • "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.

 

  • "Testing for Common Features," (with S. Kozicki), Journal of Business and Economic Statistics 11 (1993): 369 - 380.

 

  • “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data,” Econometrica (1998) 66: 1127-1162.

 

  • “The Econometrics of Ultra High Frequency Data,” Econometrica, (2000) 68: 1-22.

 

  • “Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models, Journal of Business and Economic Statistics (July 2002), V20N3