Robert F. Engle, Ph.D.

Professor Emeritus of Finance, Stern School of Business, New York University
Co-Director, NYU Stern Volatility and Risk Institute

Engle is a professor emeritus of finance at the New York University Stern School of Business. He is the winner of 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, San Diego.

Engle is the director of the Volatility Institute at the Stern School at NYU. In this role, he has developed research tools to track risks in the global economy and make these publicly available on the V-LAB website. These measures include volatility, correlation, long-run value at risk and liquidity, updated daily for thousands of global financial assets.

Engle is 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 Sciences.

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