Robert F. Engle

Robert Engle, the Michael Armellino Professor of Finance at New York University Stern
School of Business, 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.

He is currently the Co-Director of the NYU Stern Volatility and Risk Institute and is the CoFounding President of the Society for Financial Econometrics (SoFiE), a global non-profit
organization housed at NYU. 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.

He received his bachelor of science in physics from Williams College and his master of
science in physics and doctor of philosophy in economics from Cornell University. Born in
Syracuse, NY, he grew up in Media, Pennsylvania, spent 25 years in San Diego, and now
lives in New York.