Robert Engle - Definition and Overview

Robert F. Engle (born 1942) received the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel in 2003, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".

He got his Ph.D. from Cornell University in 1969 and currently teaches in New York University, Stern School of Business where he is the Michael Armellino professor in Management of Financial Services.

Selected works

• Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of U.K. Inflation Econometrica 50 (1982): 987-1008.
• Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model (with David Lilien and Russell Robins), Econometrica 55 (1987): 391-407.
• Co-integration and Error Correction: Representation, Estimation and Testing (with Clive Granger), Econometrica 55 (1987): 251-276.
• Semi-parametric estimates of the relation between weather and electricity demand (with C. Granger, J. Rice and A. Weiss), Journal of American Statistical Association 81 (1986): 310-320.
• Exogeneity (with David F. Hendry and Jean-Francois Richard), Econometrica 51 (1983): 277-304.
• Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills (with V. Ng, and M. Rothschild) Journal of Econometrics 45 (1990): 213-237.
• Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models Journal of Business and Economic Statistics (July 2002)

Example Usage of Robert