Robert F. Engle

Robert F. Engle is an American Economist, who was awarded the 2003 Nobel Prize in Economics for his contribution to the methods of analyzing economic time series with time-varying volatility. Robert.F.Engle shared his Nobel Prize with Clive W J Granger. They both will be remembered for their pioneering works on using statistics to predict the future. [br]

Personal, career and Academic profiles

Robert F. Engle is an American Economist, who was awarded the 2003 Nobel Prize in Economics for his contribution to the methods of analyzing economic time series with time-varying volatility. Robert.F.Engle shared his Nobel Prize with Clive W J Granger. They both will be remembered for their pioneering works on using statistics to predict the future. [br]

Personal, career and Academic profiles

Robert F. Engle was born on 10th November, 1942 in NY, USA.

Education

• 1964: Robert F. Engle completed his B.S. in Physics from Williams College
• 1966: Engle attained his M.S. in Physics from Cornell University
• 1969: Engle was awarded PhD in Economics from Cornell University

Academic profiles

• 1969-74: Engle became the Assistant Professor of Massachusetts Institute of Technology
• 1974-77: During this period of time, Robert F. Engle worked as Associate Professor of Massachusetts Institute of Technology
• 1975-77: He worked as an Associate Professor of University of California, San Diego
• 1990-94: Engle adorned the chair of Economics in University of California, San Diego
• 1999: Engle became the Visiting Professor of Finance Department at Stern School of Business, New York University
• 1993 to Present: Robert F. Engle is engaged as Chancellor’s Associates Chair in Economics, UCSD

Theories propounded

Engle will be remembered for his groundbreaking work on time series analysis with a long time interest in the analysis of financial markets. He also developed some innovative statistical methods. Two of such methods include ARCH and band spectrum regression.

He also developed some mathematical techniques for the evaluation and precise forecasting of risk in business.

Some of the Honors and awards received by Robert F. Engle

• 1974-75: Engle was honored with Excellence in Teaching from MIT Graduate Economics Association
• 1981: Robert F. Engle became the Fellow of the Econometric Society
• 1987: Engle became the NBER Research Associate
• 1991: Engle won the Roger F. Murray Prize Competition of The Institute for Quantitative Research in Finance
• 1995: Robert F. Engle became the Fellow of American Academy of Arts and Sciences
• 2003: Engle was awarded the Nobel Prize in Economics

Selected Works and Publications

Robert F. Engle all in all published over a hundred academic papers that cover equities, interest rates, exchange rates and options.

Selected works [br]

• 1986 (with C. Granger, J. Rice and A. Weiss): Semi-parametric estimates of the relation between weather and electricity demand Journal of American Statistical Association
• 1987 (with David Lilien and Russell Robins): Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model
• 1987 (with Clive Granger): Co-integration and Error Correction: Representation, Estimation and Testing
• 1990 (with V. Ng, and M. Rothschild): Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills Journal of Econometrics
• 2002: Dynamic Conditional Correlation – A Simple Class of Multivariate GARCH Models Journal of Business and Economic Statistics

Selected Publications

• 1972 (with T.C. Liu): “Effects of aggregation over time on dynamic characteristics of an economic model”
• 1974: “Issues in the Specification of an Econometric Model of Metropolitan Growth”
• 1975: “De Facto Discrimination in Residential Assessments: Boston”
• 1976 (with Roy Gardner): “Some Finite Sample Properties of Spectral Estimators of a Linear Regression”
• 1978: “Estimating structural models of seasonality”
• 1979 (with C.W.J. Granger, Ramu Ramanathan, and Allan Andersen): “Residential Load Curves and Time-Of-Day Pricing: An Econometric Analysis”
• 1980: “Hypothesis Testing in Spectral Regression; The Lagrange Multiplier Test as a Regression Diagnostic”
• 1981 (with Mark Watson): “A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates”
• 1983 (with R. Marshall): “A Microeconometric Analysis of Vacant Housing Units”
• 1984 (with Dennis Kraft and C.W.J. Granger): “Combining Competing Forecasts of Inflation Based on a Multivariate ARCH Model”
• 1985 (with Mark Watson and David Lilien): “A Dymimic Model of Housing Price Determination”
• 1986 (with C.W.J. Granger and Russell Robins): “Wholesale and Retail Prices: Bivariate Modeling with Forecastable Variances”
• 1987: “Econometric Forecasting – A Brief Survey of Current and Future Techniques”
• 1989 (with Granger and Hallman): “Merging Short and Long Run Forecasts: An Application of Seasonal Cointegration to Monthly Electricity Sales Forecasting”
• 1991 (with B.S. Yoo): “Cointegrated Economic Time Series: A Survey with New Results”
• 1992 (with R. Chou and A. Kane): “Measuring Risk Aversion From Excess Returns on a Stock Index”
• 1993 (with V. Ng): “Time Varying Volatility and the Dynamic Behavior of the Term Structure”
• 1994 (with W.-L. Lin, Takatoshi Ito): “Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility”
• 2000 (with Alfonso Dufour): “Time and the Price Impact of a Trade”

Books by Robert F. Engle

• Time-varying volatility and the dynamic behavior of the term structure. (bond terms): An article from: Journal of Money, Credit & Banking
• Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger
• ARCH: Selected Readings (Advanced Texts in Econometrics)

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