Robert Fry Engle III (born November 10, 1942) is an American

economist An economist is a professional and practitioner in the social sciences, social science discipline of economics. The individual may also study, develop, and apply theories and concepts from economics and write about economic policy. Within this ...

and

statistician A statistician is a person who works with theoretical or applied statistics. The profession exists in both the private and public sectors. It is common to combine statistical knowledge with expertise in other subjects, and statisticians may w ...

. He won the 2003

Nobel Memorial Prize in Economic Sciences The Nobel Memorial Prize in Economic Sciences, officially the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel ( sv, Sveriges riksbanks pris i ekonomisk vetenskap till Alfred Nobels minne), is an economics award administered ...

, sharing the award with Clive Granger, "for methods of analyzing economic

time series In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Ex ...

with time-varying volatility (

ARCH An arch is a vertical curved structure that spans an elevated space and may or may not support the weight above it, or in case of a horizontal arch like an arch dam, the hydrostatic pressure against it. Arches may be synonymous with vau ...

)".

Biography

Engle was born in

Syracuse, New York Syracuse ( ) is a city in and the county seat of Onondaga County, New York, United States. It is the fifth-most populous city in the state of New York following New York City, Buffalo, Yonkers, and Rochester. At the 2020 census, the city' ...

into

Quaker Quakers are people who belong to a historically Protestant Christian set of denominations known formally as the Religious Society of Friends. Members of these movements ("theFriends") are generally united by a belief in each human's abili ...

family and went on to graduate from

Williams College Williams College is a private liberal arts college in Williamstown, Massachusetts. It was established as a men's college in 1793 with funds from the estate of Ephraim Williams, a colonist from the Province of Massachusetts Bay who was kille ...

with a BS in physics. He earned an MS in physics and a

PhD PHD or PhD may refer to: * Doctor of Philosophy (PhD), an academic qualification Entertainment * '' PhD: Phantasy Degree'', a Korean comic series * '' Piled Higher and Deeper'', a web comic * Ph.D. (band), a 1980s British group ** Ph.D. (Ph.D. al ...

in economics, both from

Cornell University Cornell University is a private statutory land-grant research university based in Ithaca, New York. It is a member of the Ivy League. Founded in 1865 by Ezra Cornell and Andrew Dickson White, Cornell was founded with the intention to tea ...

in 1966 and 1969 respectively. After completing his PhD, Engle became an economics professor at the

Massachusetts Institute of Technology The Massachusetts Institute of Technology (MIT) is a private land-grant research university in Cambridge, Massachusetts. Established in 1861, MIT has played a key role in the development of modern technology and science, and is one of th ...

from 1969 to 1977. He joined the faculty of the

University of California, San Diego The University of California, San Diego (UC San Diego or colloquially, UCSD) is a public land-grant research university in San Diego, California. Established in 1960 near the pre-existing Scripps Institution of Oceanography, UC San Diego is ...

(UCSD) in 1975, wherefrom he retired in 2003. He now holds positions of Professor Emeritus and Research Professor at UCSD. He currently teaches at

New York University New York University (NYU) is a private research university in New York City. Chartered in 1831 by the New York State Legislature, NYU was founded by a group of New Yorkers led by then- Secretary of the Treasury Albert Gallatin. In 1832, th ...

Stern School of Business The New York University Leonard N. Stern School of Business (commonly referred to as NYU Stern, The Stern School of Business, or simply Stern) is the business school of New York University, a private research university based in New York City. I ...

where he is the Michael Armellino professor in Management of Financial Services. At

, Engle teaches for the Master of Science in Risk Management Program for Executives, which is offered in partnership with the

Amsterdam Institute of Finance Amsterdam Institute of Finance, or AIF, is a financial training institute for international finance specialists and other professionals based in Amsterdam, The Netherlands where it offers open enrollment training programs. Established in 1990 as a ...

. Engle's most important contribution was his path-breaking discovery of a method for analyzing unpredictable movements in financial market prices and

interest rates An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited, or borrowed (called the principal sum). The total interest on an amount lent or borrowed depends on the principal sum, the interest rate, th ...

. Accurate characterization and prediction of these volatile movements are essential for quantifying and effectively managing

risk In simple terms, risk is the possibility of something bad happening. Risk involves uncertainty about the effects/implications of an activity with respect to something that humans value (such as health, well-being, wealth, property or the environm ...

. For example, risk measurement plays a key role in pricing

options Option or Options may refer to: Computing *Option key, a key on Apple computer keyboards *Option type, a polymorphic data type in programming languages *Command-line option, an optional parameter to a command *OPTIONS, an HTTP request method ...

and

financial derivatives In finance, a derivative is a contract that ''derives'' its value from the performance of an underlying entity. This underlying entity can be an asset, index, or interest rate, and is often simply called the "underlying". Derivatives can be u ...

. 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

arbitrage pricing theory In finance, arbitrage pricing theory (APT) is a multi-factor model for asset pricing which relates various macro-economic (systematic) risk variables to the pricing of financial assets. Proposed by economist Stephen Ross in 1976, it is widely beli ...

and practice. Engle was the central founder and director of NYU-Stern's Volatility Institute which publishes weekly date on

systemic risk In finance, systemic risk is the risk of collapse of an entire financial system or entire market, as opposed to the risk associated with any one individual entity, group or component of a system, that can be contained therein without harming the ...

across countries on its V-LAB site. More recently, Engle (and Eric Ghysels) co-founded the Society for Financial Econometrics (SoFiE). In 2022, he replaced Former secretary of state

John Kerry John Forbes Kerry (born December 11, 1943) is an American attorney, politician and diplomat who currently serves as the first United States special presidential envoy for climate. A member of the Forbes family and the Democratic Party, he ...

as chairman of the climate finance partners advisory board, which is the non discretionary sub advisor to the KraneShares Global Carbon ETF or KRBN, one of the largest carbon allowance funds globally.

Personal life

* Paternal GrandfatherRobert Fry Engle, Sr. (b. 1879 d. 1946) * FatherRobert Fry Engle, Jr. (b. 1910 d. 1981,

DuPont DuPont de Nemours, Inc., commonly shortened to DuPont, is an American multinational chemical company first formed in 1802 by French-American chemist and industrialist Éleuthère Irénée du Pont de Nemours. The company played a major role in ...

chemist) * MotherMary Starr Engle ("Murry", French teacher, m. 1939) * SisterPatricia Lee Engle ("Patty", twin,

UNICEF UNICEF (), originally called the United Nations International Children's Emergency Fund in full, now officially United Nations Children's Fund, is an agency of the United Nations responsible for providing humanitarian and developmental aid to c ...

official) * Sister

Sally Engle Merry Sally Starr Engle Merry (December 1, 1944 – September 8, 2020) was an American anthropologist. She was the Silver Professor of Anthropology and Faculty Co-Director of the Center for Human Rights and Global Justice at the New York University ...

(

anthropologist An anthropologist is a person engaged in the practice of anthropology. Anthropology is the study of aspects of humans within past and present societies. Social anthropology, cultural anthropology and philosophical anthropology study the norms an ...

, twin) * WifeMarianne Eger Engle (

psychologist A psychologist is a professional who practices psychology and studies mental states, perceptual Perception () is the organization, identification, and interpretation of sensory information in order to represent and understand the pre ...

, m. 10-Aug-1969, two children) * DaughterLindsey Engle Richland (

) * SonJordan Engle (

actor An actor or actress is a person who portrays a character in a performance. The actor performs "in the flesh" in the traditional medium of the theatre or in modern media such as film, radio, and television. The analogous Greek term is (), lit ...

, b. May-1980) * Mother-in-law

Edith Eger Edith Eva Eger (born September 29, 1927) is a Slovakian-born American psychologist. Born to Hungarian Jewish parents, she is a Holocaust survivor and a specialist in the treatment of post-traumatic stress disorder. Her memoirs entitled ''The Choi ...

(

, b. 29-Sept-1927)

Selected works

* * * * * * * * *

References

External links

V-Lab: real time financial volatility and correlation measurements, modeling and forecasting

The Society for Financial Econometrics (SoFiE)
* * * {{DEFAULTSORT:Engle, Robert F. Economists from New York (state) American Nobel laureates Cornell University alumni Fellows of the American Statistical Association Fellows of the Econometric Society Fellows of the American Academy of Arts and Sciences MIT School of Humanities, Arts, and Social Sciences faculty Members of the United States National Academy of Sciences New York University Stern School of Business faculty Nobel laureates in Economics Time series econometricians University of California, San Diego faculty Williams College alumni American Quakers People from Syracuse, New York 1942 births Living people 20th-century American economists 20th-century Quakers National Bureau of Economic Research Mathematicians from New York (state) Economists from California 21st-century American economists

Biography

Personal life

Selected works

See also

References

External links