Engle's Reaction to Winning the Prize "I'm totally overwhelmed by the honor and very pleased to share it with [University of California, San Diego Professor] Clive Granger, who is a long-term colleague of mine. It's an honor for me and the field of econometrics and time series. There are many students over the years who have contributed to this research."
The Call Informing Engle of His Prize "I'd just gotten back from lunch, and I got a call from the secretary of the Nobel Committee. She said, 'Your life will not be the same because we're announcing this in about two minutes.' My wife and I thought this was pretty amazing. We had a cup of coffee and talked about what was going to happen."
Engle on His Research "The main thrust has been in modeling volatility with quantitative tools to measure and predict portfolio risk. More recent work has extended this analysis to forecasting correlations and extreme market moves, which is useful not just in analyzing risk in portfolios, but in pricing derivatives, likes options."
About Professor Engel A professor at NYU's Stern School of Business since 2000, Engle is an expert in time series analysis with a long-time interest in the analysis of financial markets. His research has produced such innovative statistical methods as ARCH, for which he was awarded the Nobel Prize, co-integration, band spectrum regression, and, most recently, common features.
Editor's Note New York University Stern School of Business, located in the heart of Greenwich Village, is one of the nation's premier management education schools and research centers. NYU Stern offers a broad portfolio of academic programs at the graduate and undergraduate levels, all of them informed and enriched by the dynamism, energy and deep resources of the world's business capital.
New York University, which was established in 1831, is one of the largest and most prestigious private research universities in the U.S. It has more international students than any other U.S. college or university. Through its 13 schools and colleges, NYU conducts research and provides education in the arts and sciences, law, medicine, dentistry, education, nursing, business, social work, the cinematic and performing arts, public administration and policy, and continuing studies, among other areas.