Becker Friedman Institute
for Research in Economics
The University of Chicago

Research. Insights. Impact. Advancing the Legacy of Chicago Economics.

Robert Engle

Michael Armellino Professor in the Management of Financial Services
New York University Stern School of Business
Ta-Chung Liu Distinguished Visitor
4/17/14 4/18/14

Robert 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. 

Engle is the director of the Volatility Institute at the New York University Stern School of Business and a cofounding 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 an 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.

Recent Visits

  • November 25–27, 2013