Festschrift
Festschrift June 2008
In the News:
March 5, 2010 - CNBC Wall Street Journal Report with Maria Bartiromo: "Nobel Laureate and NYU Professor Robert Engle on the latest unemployment figures and the health of the economy."
February 16, 2010 - Financial Times: "Deutsche Bank Supports Stern Research"
February 12, 2010 - United States Senate Committee on Banking, Housing, and Urban Affairs: "Nobel Laureate Prof. Robert Engle Testifies Before Senate on Monitoring Systemic Risk"
January 22, 2010 - CNBC Squawk Box: "Last Words, with Mario Gabelli, GAMCO Investors and Robert Engle, 2003 Noble Laureate."
May 25, 2009 - Financial Times: "The Threat That Won't Go Away"
April 8, 2009 - CNBC Squawk Box: "Slowing the Financial Crisis", Robert Engle
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.
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