Robert F. Engle Biography - Nobel Prize Winner (2003)

 


Robert F. Engle (born November 10, 1942 in Syracuse, New York) received the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel in 2003, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".

He graduated from Williams College with a BS in physics. He got his M.S. in physics and his Ph.D. in Economics, both from Cornell University in 1966 and 1969 respectively, [1] and currently teaches in New York University, Stern School of Business where he is the Michael Armellino professor in Management of Financial Services.

Robert Engle had joined the faculty of the University of California, San Diego (UCSD) in 1975, wherefrom he retired in 2003. He now holds positions of Professor Emeritus and Research Professor at UCSD.

Robert Engle’s most important contribution was his path-breaking discovery of a method for analyzing unpredictable movements in financial market prices and interest rates. Accurate characterization and prediction of these volatile movements are essential for quantifying and effectively managing risk. For example, risk measurement plays a key role in pricing options and financial derivatives. Previous researchers had either assumed constant volatility or had used simple devices to approximate it. Engle developed new statistical models of volatility that captured the tendency of stock prices and other financial variables to move between high volatility and low volatility periods (“Autoregressive Conditional Heteroskedasticity: ARCH”). These statistical models have become essential tools of modern asset pricing theory and practice.



LIST OF NOBEL PRIZE WINNERS IN ECONOMY
Akerlof, George A.
Allais, Maurice

Arrow, Kenneth J.

Aumann, Robert J.

Becker, Gary S.

Buchanan, James M., Jr.

Coase, Ronald H.

Debreu, Gerard

Engle, Robert F.

Fogel, Robert W.

Friedman, Milton

Frisch, Ragnar

Granger, Clive W. J.

Haavelmo, Trygve

Harsanyi, John C.

Heckman, James J.

Hayek, Friedrich August Von

Hicks, Sir John R.

Kahneman, Daniel

Kantorovich, Leonid Vitaliyevich

Klein, Lawrence R.

Koopmans, Tjalling C.

Kuznets, Simon

Kydland, Finn E.

Leontief, Wassily

Lewis, Sir Arthur

Lucas, Robert

Markowitz, Harry M.

McFadden, Daniel L.

Meade, James E.

Merton, Robert C.

Miller, Merton M.

Mirrlees, James A.

Modigliani, Franco

Mundell, Robert A.

Myrdal, Gunnar

Nash, John F.

North, Douglass C.

Ohlin, Bertil

Prescott, Edward C.

Samuelson, Paul A.

Schelling, Thomas C.

Scholes, Myron S.

Schultz, Theodore W.

Selten, Reinhard

Sen, Amartya

Sharpe, William F.

Simon, Herbert A.

Smith, Vernon L.

Solow, Robert M.

Spence, A. Michael

Stigler, George J.

Stiglitz, Joseph E.

Stone, Sir Richard

Tinbergen, Jan

Tobin, James

Vickrey, William

alfredslinks

The text is property of free encyclopedia Wikipedia. For more information please go to http://en.wikipedia.org/