In The News
Nobel Laureate Professor Robert Engle, who was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH), joined UBS for their Nobel Perspectives series exploring the use of the ARCH model and its ability to forecast financial trends.
Volatility Institute partners with MBA students through the Stern Signature Project to develop climate change risk hedge portfolios
Through a new Stern Signature Project with Nobel Laureate Robert Engle, three MBA students developed an investment portfolio to help investors hedge against climate change risk
Professor Robert Engle awarded grant from Norges Bank Investment Management for research on climate change's impact on financial risk
On October 22, Nobel Laureate Professor Robert Engle was presented the Oskar-Morgenstern Medal at the University of Vienna for his academic achievements and ongoing efforts in the field of time series/financial econometrics. A bi-annual award, the Oskar-Morgenstern Medal honors contributions to science, emphasizing the importance of formal methods for business, economics and finance research.
Robert Engle named a member of the US Treasury Office of Financial Resarch Advisory Committee, November 14, 2012
The Volatility Institute hosts the popular QFE Monday Seminar series, which showcases top research in the active field of financial econometrics. A guest speaker is invited to present his or her research to the growing community in this field.
The Volatility Institute co-hosts a two-day conference with the NASDAQ Derivatives Research Project on April 27-28 2017
"Derivatives and Volatility 2017: The State of the Art" brought together leading researchers to discuss their work. The conference included presentations from Robert Merton, Darrell Duffie, Eduardo Schwartz, John Hull, Hayne Leland, Michael Johannes, Peter Carr, Torben Andersen, Tim Bollerslev, Peter Christoffersen, Francis Diebold, Dilip Madan, Stephen Figlewski, Robert Engle, Eric Ghysels, Paul Glasserman, Bryan Kelly, Michael Wolf, Ralph Koijen, and Liuren Wu. There were also presentations from practitioners, Blu Putnam, Frank Hatheway, and Bruno Dupire.
A full program, videos, and conference papers can be found on the conference page.
Visit our Past Conferences web page for more information.
Our 2016 conference, "Commodities and Emerging Market Risks" was held on April 29th, 2016 in New York City. The Keynote Speaker was Felipe Larraín B., Professor of Economics and Director of Latin American Center for Economic and Social Policies, Pontificia Universidad Catolica de Chile, Former Minister of Finance of Chile (2010-2014). Mr. Larraín delivered a Keynote address entitled "Managing Public Finances in Natural Resource Abundant Economies." See the conference website for more details, photos, presentations and video.
“Fixed Income Risk: Measurement, Modeling and Management” was the focus of our 2015 annual Volatility Institute Conference, held on April 24th in New York City. See the conference website for more details. View Program or Slide Show.
Visit the SoFiE Web site's Conferences page, for information regarding upcoming and past Conferences.
The Society for Financial Econometrics (SoFiE) is a global network of academics and practitioners dedicated to the fast-growing field of financial econometrics. SoFiE is committed to promoting and expanding research and education by organizing annual conferences and sponsoring programs and activities in the intersection of finance and econometrics.
The Volatility Institute was created at New York University Stern School of Business in 2009 under the direction of Nobel Laureate and volatility expert Professor Robert Engle. The Volatility Institute's mission is to develop and disseminate research on risks in financial markets and closely related topics in financial econometrics.
The Volatility Laboratory provides real time measurement, modeling and forecasting of financial volatility, correlations and risk for a wide spectrum of assets. Vlab blends together both classic models as well as some of the latest advances proposed in the financial econometrics literature.