Robert Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.

About

Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets.   His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets.  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.  These forecasts use both traditional and state of the art statistical methods.  These computations are used in evaluating portfolio risk, asset allocation, derivative pricing and systemic risk measures now incorporated in the NYU Stern Systemic Risk Rankings.  His research has produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR, and DCC models.  Now multiplicative error models (MEM) and factor spline garch (FSG) combine these into ever more powerful statistical tools. 


Professor Engle is the Director of the NYU Stern Volatility Institute and a co-founding president of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU.  Before joining NYU Stern in 2000, he was Chancellor’s Associates Professor and Economics Department Chair at the University of California, San Diego and Associate Professor of Economics at MIT.  He is a member of the National Academy of Science.


He received his Bachelor of Science from Williams College and his MS in Physics and PhD in Economics from Cornell University.  He grew up in Media, Pennsylvania, spent 25 years in San Diego and now lives in New York City.

Academic Experience

  • New York University Stern School Of Business, New York, NY
    Michael Armellino Professor In The Management Of Financial Services, 2000-Present
    Professor, Department Of Finance, 1999
  • Wharton Financial Institutions Center, Philadelphia, PA
    Fellow, 2009-2010 Academic Year
  • University Of California, San Diego, CA
    Emeritus Professor And Distinguished Research Professor, 2003 Chair, 1990-1994
    Chancellors’ Associates Chair In Economics, 1993-_____
    Professor, 1977
    Associate Professor, 1975-1977
  • Massachusetts Institute Of Technology, Cambridge, MA
    Associate Professor, 1975
    Assistant Professor, 1969-1974

Honors and Awards

  • T.C. Liu Visiting Scholar position of the Becker Friedman Institute at the University of Chicago, 2013
  • Member, U.S. Department of the Treasury, Office of Financial Research Advisory Committee, 2012
  • Distinguished Visiting Scholar, Georgetown University McDonough School of Business, 2012
  • Member, International Advisory Panel, Risk Management Institute (RMI), 2012
  • Financial Engineer of the Year Award, IAFE/SunGard , 2011
  • Distinguished Alumni Award, Department of Statistical Science, Cornell University, 2011
  • Distinguished Visiting Scholar, UNC Chapel Hill Kenan-Flagler Business School, 2010
  • Fellow, FMA (Financial Management Association International)
  • Recognition Award for Distinguished Service, The American Real Estate and Urban Economics Association
  • Member, Joint CFTC-SEC Committee to investigate the "Flash Crash", 2010
  • Hofstra University's Presidential Medal, 2009
  • Honorary Doctorate, Williams College, 2007
  • Member, World Economic Forum, 2007
  • Member, National Academy of Sciences, 2006
  • Fellow of the Institute for Quantitative Research in Finance, 2006
  • Academia Europensis Scientarum Atrium Litterarumque, European Arts and Sciences Membership, 2005
  • Doctorate Honoris Causis, HEC, Paris, France, 2005
  • Doctorate Honoris Causis, Université de Savoie, France, 2005
  • Nobel Prize for Economics, 2003
  • Doctorate Honoris Causis, University of Southern Switzerland, 2003
  • Fellow, American Finance Association, 2004
  • Fellow, American Academy of Arts and Sciences, 1995
  • Fellow, American Statistical Association, 2000
  • Fellow, the Econometric Society, 1981