Nobel Laureate Robert Engle: A Financial Approach to Environmental Risk
This event featured a discussion with Professor Robert Engle, who is an expert in analyzing the movements of financial market prices and interest rates. He was awarded the Nobel Prize in Economic Sciences in 2003 for his research on the concept of autoregressive conditional heteroskedasticity.
2003 Nobel Laureate in Economic Sciences
Michael Armellino Professor of Management and Financial Services
Stern School of Business, New York University
Event Details
About the Speaker
Professor Robert Engle is an expert in analyzing the movements of financial market prices and interest rates. His insights and methodologies are well known as indispensable tools for researchers and financial analysts alike. In recognition of his pioneering work, in 2003, he was awarded the Nobel Prize in Economic Sciences 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, San Diego.
Many of these methods are now featured on the innovative public web site, V-LAB, where daily estimates of volatilities and correlations for more than a thousand assets are available to assist in evaluating portfolio risk, asset allocation, derivative pricing, and systemic risk measures now incorporated in the NYU Stern Systemic Risk Rankings. His research has produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR, and DCC models.
Professor Engle is the director of the NYU Stern Volatility Institute and a co-founding president of the Society for Financial Econometrics (SoFiE), a global nonprofit organization housed at NYU. Before joining NYU Stern in 2000, he was Chancellor’s Associates Professor and economics department chair at the University of California, San Diego, and an associate professor of economics at MIT. He is also a member of the National Academy of Sciences. Engle received a BS from Williams College and an MS in physics and a PhD in economics from Cornell University. He grew up in Media, Pennsylvania, spent 25 years in San Diego, and now lives in New York City.
