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.
Edited by Tim Bollerslev, Jeffrey Russell, and Mark Watson
Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some of the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally.
Video of Festschrift June 2008
Robert Engle named a member of the US Treasury Office of Financial Resarch Advisory Committee, November 14, 2012
Robert Engle Selected as the Recipient of the 2011 IAFE/SunGard Financial Engineer of the Year Award
U.S. Securities and Exchange Commission, May 11, 2010
NYU Stern faculty releases a new book in November, 2010. More than 40 Stern faculty provide definitive analysis and offer solutions to fix the Act's flaws to avoid future crises.
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.
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.
The Volatility Institute, The Federal Reserve Bank of N.Y. and SoFiE co-host a one-day conference - November 17, 2011
The Depository Trust & Clearing Corporation (DTCC) co-hosts one-day conference with NYU's Volatility Institute - November 17, 2010
Learn more about this event, including the Press Release and Robert Engle's (NYU Stern) and Darrell Duffie's (Stanford University) presentations, on Stern's Events page. NYU's Volatility Institute is sponsored by Deutsche Bank and Nasdaq.
NYU's Volatility Institute and the NASDAQ OMX Derivatives Research Project co-host Symposium - October 15, 2010
The NASDAQ OMX Derivatives Research Project and The Volatility Institute announced a Symposium on "Derivatives and Proprietary Trading in the Regulatory Regime." Please see our Program for more details. NYU's Volatility Institute is sponsored by Deutsche Bank.
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.