New York University Stern School of Business Professor Robert Engle, who holds the Michael Armellino Professorship in the Management of Financial Services, has been awarded the 2003 Nobel Prize in Economics for methods of analyzing economic time series with time-varying volatility (ARCH). Engle, 60, shares the prize with Clive W. J. Granger of the University of California at San Diego.
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, cointegration, band spectrum regression, and, most recently, common features.
NYU has a total of 10 Nobel Prize winners, including both alumni and faculty.
Engle received the prize for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He demonstrated that it accurately captures the properties of many time series and developed methods for statistical modeling of time-varying volatility. His ARCH models have become indispensable tools not only for researchers, but also for analysts on financial markets, who use them in asset pricing and in evaluating portfolio risk.
Engle has published more than 100 academic papers and three books. His interest in financial econometrics covers equities, interest rates, exchange rates and options.
Engle was an assistant professor at Massachusetts Institute of Technology (MIT) from 1969-74. He moved to the University of California, San Diego in 1975, becoming an associate professor and then a full professor in 1977. He was chair of the Department of Economics from 1990 to 1994. He now lectures widely to both academic and practitioner audiences. He is a fellow of both the American Academy of Arts and Sciences and the Econometric Society. Engle received a B.A. in Physics from Williams College in 1964, a masters degree in Physics from Cornell University in 1966, and a Ph.D. in economics from Cornell in 1969.
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.
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