In The News



Volatility and Time Series Econometrics - Essays in Honor of Robert Engle

Edited by Tim Bollerslev, Jeffrey Russell, and Mark Watson

Photo: Ceremony

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

Volatility Institute launches at NYU Shanghai, November 27, 2014

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


Nobel Laureate Robert Engle Advises Federal Agencies on Regulatory Issues

U.S. Securities and Exchange Commission, May 11, 2010

Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance

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.


Quantitative Financial Econometrics (QFE) Monday Seminar Series

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's annual conference was held on April 24th, 2015

Visit our Past Conferences web page for more information.

Our 2015 conference, "Fixed Income Risk: Measurement, Modeling and Management" was held on April 24th, 2015 in New York City. James D. Hamilton, UC San Diego, presented the Keynote Address titled, "Robust Bond Risk Premia."  See the conference website for more details, photos, presentations and video.

“Market Liquidity and Funding Liquidity” was the focus of our 2014 annual Volatility Institute Conference, held on April 25th 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

"Global Systemic Risk" was the focus of a one-day conference held at the NY Fed on Nov. 17th. See Conference Web site for details. View Program and Presentations.

The Depository Trust & Clearing Corporation (DTCC) co-hosts one-day conference with NYU's Volatility Institute - November 17, 2010

The DTCC and NYU co-hosted a one-day conference titled "Managing Counterparty and Systemic Risk Under Dodd-Frank" on November 17, 2010 at NYU. View Program or Slide Show.

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.

Society for Financial Econometrics (SoFiE) Conferences

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

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.