Robert Engle

Volatility Institute, NYU Stern

Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets. His ARCH model, for which he was awarded a Nobel Prize in 2003, 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.

My Additional Content

On September 15, 2008, Lehman Brothers filed for bankruptcy and ushered in the worst part of the recent financial crisis. Today, we still discuss whether taxpayer money should have been used to rescue Lehman. My colleagues at NYU and I have developed measures of systemic risk, and this fifth...

My Video Content

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What can China learn from the recent financial crisis? Speaking at the Institute for New Economic Thinking's recent conference in Shenzhen, China, Nobel laureate Robert Engle explains the implications for handling systemic risk in China's financial system. Below is an introduction from Engle.

The global financial crisis of 2007-2009 and the ongoing European sovereign debt crisis make it clear that the financial system can become unstable with severe consequences for the rest of the economy.