Robert Engle

Robert Engle
Co-Director of the Volatility Institute, NYU Shanghai; Co-Director of the Volatility and Risk Institute, NYU; Michael Armellino Professor of Management and Financial Services, NYU

Robert Engle is the Co-Director of the NYU Stern Volatility and Risk Institute and is the Co-Founding President of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Since 2019 he has served as Co-Director of China's Silk Road Fund of the Volatility Institute at NYU Shanghai with Wang Jianye, NYU Shanghai Professor of Economics. Professor Engle is also the Michael Armellino Professor of Finance at NYU Stern School of Business and 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.

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, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models.

Before joining NYU Stern in 2000, Professor Engle was Chancellor's Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology.

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  • PhD, Economics
    Cornell University, 1969
  • MS, Physics
    Cornell University, 1966
  • BA, Physics
    Williams College, 1964

Research Interests

  • Econometrics
  • Empirical Market Microstructure