Prof. Robert F. Engle III
Nobel Laureate for Economics and Michael Armellino Professor of Finance at New York University’s Stern School of Business, New York/USA, February 2024
Professor Robert Fry Engle III is a 2003 Nobel Laureate in Economics and Professor Emeritus of Finance at New York University’s Stern School of Business. A member of the National Academy of Science and of the Advisory Board of the International Peace Foundation, he is also the Co-Director of the NYU Stern Volatility and Risk Institute and a co-founding president of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU.
Robert Engle graduated from Williams College with a B.S. in physics. He earned an M.S. in physics and a Ph.D. in economics, both from Cornell University in 1966 and 1969 respectively. After completing his Ph.D. Robert Engle became Professor of Economics at the Massachusetts Institute of Technology from 1969 to 1975. He joined the faculty of the University of California at San Diego (UCSD) in 1975 where he became a professor in 1977 and later the chair in economics. He now holds positions of Professor Emeritus and Research Professor at UCSD and has also held associate editorships on several academic journals, notably the “Journal of Applied Econometrics” of which he was co-editor.
In 2003 Professor Engle shared the Nobel Prize for Economics with Professor Clive W.J. Granger from UCSD for developing “methods for analyzing economic time series with time-varying volatility”. He conducted much of his prizewinning work in the 1970s and ’80s, when he developed improved mathematical techniques for the evaluation and more-accurate forecasting of risk, which enabled researchers to test if and how volatility in one period was related to volatility in another period. This work had particular relevance in financial market analysis in which the investment returns of an asset were assessed against its risks and in which stock prices and returns could exhibit extreme volatility.
While periods of strong turbulence caused large fluctuations in prices in stock markets, these were often followed by relative calm and slight fluctuations. Inherent in Professor Engle’s autoregressive conditional heteroskedasticity (known as ARCH) model approach was the concept that, while most volatility is embedded in the random error, its variance depends on previously realized random errors, with large errors being followed by large errors and small by small. This contrasted with earlier models wherein the random error was assumed to be constant over time.
Professor Engle’s methods and the ARCH model led to a proliferation of tools for analyzing stocks and enabled economists to make more accurate forecasts. Robert Engle developed new statistical models of volatility that captured the tendency of stock prices and other financial variables to move between high volatility and low volatility periods. 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. Many of these methods are now featured in the innovative public web site V-LAB where daily estimates of volatilities and correlations for more than a thousand assets can be found.
While Professor Engle’s work in financial econometrics covers equities, interest rates, exchange rates and option pricing, he is currently developing methods to analyze large systems of assets, real-time volatility, market microstructure and extreme market movement, and his long-standing interest continues to be in the analysis of financial markets. Professor Engle has published more than 100 academic papers and authored four books, and his research has also produced such innovative statistical methods as co-integration, common features, autoregressive conditional duration (ACD), CAViaR and dynamic conditional correlation (DCC) models.
Topics of keynote speeches:
- The prospects for global financial stability
- A financial approach to climate risk
Tuesday, February 27, 2024:
14:00 Public keynote speech and dialogue at Sasin School of Management in Bangkok
– Further information and free seat reservation: phone 02-218-3890, email email@example.com (www.sasin.edu)
Wednesday, February 28, 2024:
Thursday, February 29, 2024:
14:00 Public keynote speech and dialogue at Prince of Songkla University in Songkla
– Further information and free seat reservation: phone 074-446-824, email firstname.lastname@example.org (www.psu.ac.th)
Monday, March 4, 2024: