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Topic: Robert F Engle


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In the News (Sat 20 Jul 19)

  
  ARCH and GARCH Processes
First proposed by Engle (1982), ARCH processes are univariate conditionally heteroskedastic white noises.
the DCC-GARCH of Engle (2000), and Engle and Sheppard (2001).
Engle, Robert F. Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation, Econometrica, 50, 987-1008.
www.riskglossary.com /articles/ARCH_GARCH.htm   (498 words)

  
  Robert F. Engle - Wikipedia, the free encyclopedia
Robert F. Engle (born November 10, 1942 in Syracuse, New York) 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)".
Robert Engle had joined the faculty of the University of California, San Diego (UCSD) in 1975, wherefrom he retired in 2003.
Robert Engle’s most important contribution was his path-breaking discovery of a method for analyzing unpredictable movements in financial market prices and interest rates.
en.wikipedia.org /wiki/Robert_F._Engle   (429 words)

  
 Robert F. Engle
Robert F. Engle (born November 10, 1942 in Syracuse, New York) 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)".
Robert Engle had joined the faculty of the University of California, San Diego (UCSD) in 1975, wherefrom he retired in 2003.
Robert Engle’s most important contribution was his path-breaking discovery of a method for analyzing unpredictable movements in financial market prices and interest rates.
www.alfredslinks.com /links/economy/engle-robert.htm   (360 words)

  
 Nobel Laureate to Speak at UofT's Rotman School; Prof. Robert Engle will Discuss Financial Volatility
Robert F. Engle, a recipient of the Nobel Prize in Economic Sciences, will be the guest speaker in the next session of the Rotman Integrative Thinking(TM) Seminar Series to be held on Thursday, February 16, at the University of Toronto's Rotman School of Management.
Engle is the Michael Armellino Professor of Finance at the Stern School of Business at New York University, as well as the Chancellor's Associates Professor of Economics at the University of California, San Diego.
Engle was honored with the Nobel Prize in Economic Sciences for his work in methods of analyzing economic time series with time-varying volatility (ARCH).
www.prnewswire.com /cgi-bin/stories.pl?ACCT=104&STORY=/www/story/02-13-2006/0004280081&EDATE=   (458 words)

  
 Two UCSD professors awarded Nobel Prize in Economics
Granger and Engle become the 14th and 15th UCSD scholars to be awarded the Nobel Prize.
Engle, who joined the UCSD faculty in 1977, was chair of the Department of Economics from 1990 to 1994 and actively engaged at UCSD for more than 28 years.
Engle graduated from Williams College in 1964 and received a Ph.D. in economics from Cornell University in 1969 after completing a Masters degree in low temperature physics.
www.eurekalert.org /pub_releases/2003-10/uoc--tup100803.php   (695 words)

  
 Engle, Granger win Nobel Prize for Economics
American Robert F Engle and Briton Clive W J Granger on Wednesday won the 2003 Nobel Economics Prize for their work in analysing economic time series.
Robert Engle was born in 1942 in Syracuse, NY, USA (American citizen) and got his Ph.D. from Cornell University in 1969.
Robert Engle's discovery was therefore a major breakthrough.
www.rediff.com /money/2003/oct/08nobel.htm   (602 words)

  
 Bloomberg.com: Top Worldwide
The discoveries of Engle, 60, a professor of economics at the Stern School of Business at New York University, and Granger, 69, who retired June 30 as economics professor at the University of California in San Diego, revolutionized the way investors and analysts use economic statistics to assess market risk, economists said.
Engle and Granger constructed computer models showing how trends reflected in economic and financial statistics -- ranging from corporate profits to productivity -- could be used to predict the price volatility of stocks, derivatives and other financial instruments.
Engle, on sabbatical in rural Annecy, France, said in a telephone interview with Bloomberg News that he and Granger became interested in the issue during the 1980s, when volatility in global financial markets began having a large impact on the U.S. and other major economies.
quote.bloomberg.com /apps/news?pid=10000006&sid=a2Kb7OC.tfZI&refer=home   (873 words)

  
 Robert F. Engle - Voyager, the free encyclopedia   (Site not responding. Last check: 2007-11-05)
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.
Robert Engle had joined the faculty of the University of California, San Diego (USCD) in 1975, wherefrom he retired in 2003.
Engle developed new statistical models of volatility that captured the tendency of stock prices and other financial variables to move between high volatility and low volatility periods (“Autoregressive Conditional Heterskedasticity: ARCH”).
www.voyager.in /Robert_F._Engle   (449 words)

  
 Shepherd Family History - John Shepherd Book
She was married on _____, 1810 to Robert Engle who was born in Philadelphia, Pa., Nov. 23, 1776.
Engle said she was going to meet them and if they were hostile she would fall first and not live to see her children murdered before her eyes.
Margaret Engle was a woman of unusual courage and energy, and well fitted to meet the hanrdships and privations incident to pioneer life.
johnshepherdfamily.com /margaret.htm   (1871 words)

  
 Robert F. Engle Winner of the 2003 Nobel Prize in Economics
Robert F. Engle Winner of the 2003 Nobel Prize in Economics
Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger by Robert F. Engle (Editor), Halbert White (Editor), C. Granger (Editor)
Robert F. Engle III — Autobiography (submitted by Ray)
www.almaz.com /nobel/economics/2003a.html   (143 words)

  
 Ссылки по ARCH моделям
Engle, Robert F. (1982), "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation," Econometrica, 50, 987-1008.
Engle, Robert F., David F. Hendry and David Trumble (1985), "Small Sample Properties of ARCH Estimators and Tests," Canadian Journal of Economics, 18, 66-93.
Engle, Robert F. and Victor K. Ng (1992), "Measuring and Testing the Impact of News on Volatility," Journal of Finance, forthcoming.
www.nsu.ru /ef/tsy/ecmr/garch/handboli.htm   (3969 words)

  
 Sách bách khoa :: encyclopedia : 2003   (Site not responding. Last check: 2007-11-05)
Ngày 19 tháng 3 - Sen. Robert Byrd (D-W. Va.) gives a speech in the Senate, saying "I weep for my country" as he attests that America is discarding its image of a strong, benevolent peacekeeper.
Ngày 12 tháng 6 - Robert Angleton goes missing while on bond five days before he was to be tried for weapons charges and conspiracy to commit the 1997 murder of wife Doris Angleton.
Robert F. Engle, United States "for methods of analyzing economic time series with time-varying volatility"
vietnamese.encyclopedia.st /2003   (3546 words)

  
 NYU Stern - Faculty Index
Robert F. Engle is the Michael Armellino Professor of Finance at the NYU Stern School of Business, as well as the Chancellor’s Associates Professor of Economics at the University of California, San Diego.
In 2003 Professor Engle was honored with the Nobel Prize in Economic Sciences for his work in methods of analyzing economic time series with time-varying volatility (ARCH).
He holds a Ph.D. in Economics and a M.S. in Physics from Cornell University, and is principal of Robert F. Engle Econometric Services.
w4.stern.nyu.edu /faculty/facultyindex.cgi?id=225   (231 words)

  
 Analysis Group | Robert F. Engle
Professor Engle, a 2003 Nobel Laureate in Economics, is an expert in the analysis of financial markets, encompassing equities, interest rates, exchange rates, and options.
Professor Engle has held teaching positions at the Massachusetts Institute of Technology, The Stern School of New York University, and the University of California at San Diego, where he was formerly Department Chair in Economics.
Professor Engle is a Fellow of both the American Academy of Arts and Sciences and the Econometric Society.
www.analysisgroup.com /AnalysisGroup/experts.aspx?id=1017   (144 words)

  
 Robert F. Engle at IDEAS
If you are Robert F. Engle, you may change this information at RePEc.
Robert Engle & Clive Granger & Ramu Ramanathan & Farshid Vahid-Araghi & Casey Brace, 1992.
Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990.
ideas.repec.org /e/pen9.html   (5788 words)

  
 [No title]
Professor Engle shared the prize with Clive W. Granger of the University of California at San Diego.
Professor Engle is an expert in time series analysis with a longstanding interest in the analysis of financial markets.
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 as an associate professor at the Massachusetts Institute of Technology.
www.bke.hu /download/CUB_ENGLEbio.doc   (265 words)

  
 The Nobel Memorial Prize for Robert F. Engle   (Site not responding. Last check: 2007-11-05)
More generally, Engle's cumulative work is a fine example of best-practice applied time-series econometrics: he identifies important dynamic economic phenomena, formulates precise and interesting questions about those phenomena, constructs sophisticated yet simple econometric models for measurement and testing, and consistently obtains results of widespread substantive interest in the scientific, policy, and financial communities.
Although many of Engle's contributions are fundamental, I will focus largely on the two most important: the theory and application of cointegration, and the theory and application of dynamic volatility models.
In Section 2, I discuss cointegration in the context of Engle's previous and subsequent work, which facilitates the extraction of interesting and long-running themes, several of which feature prominently in Engle's volatility models.
fic.wharton.upenn.edu /fic/papers/04/p0409.html   (348 words)

  
 ROBERT F. ENGLE   (Site not responding. Last check: 2007-11-05)
Engle and M. Rothschild), Journal of Econometrics 52 (1992): 245-266.
Engle and M. Rothschild, Journal of Econometrics 52 (1992): 1.
Engle and H. White Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive W. Granger, (Oxford University Press, 1999) 475-497.
www.ukprofind.com /inform/engle   (2693 words)

  
 Learn more about 2003 in the online encyclopedia.   (Site not responding. Last check: 2007-11-05)
March 19 - Sen. Robert Byrd (D-W. Va.) gives a speech in the Senate, saying "I weep for my country" as he attests that America is discarding its image of a strong, benevolent peacekeeper.
March 20 - 2003 Iraq war: Land troops from United States, United Kingdom, Australia and Poland invade Iraq, preceded by a surgical air strike on the suspected bunker of Saddam Hussein in Baghdad.
June 12 - Robert Angleton goes missing while on bond five days before he was to be tried for weapons charges and conspiracy to commit the 1997 murder of wife Doris Angleton.
www.onlineencyclopedia.org /2/20/2003.html   (3003 words)

  
 Smith Newslink
Robert F. Engle III and Smith School Associate Professor Frank Alt, an organizer of the event, talk after Engle's lecture.
Robert F. Engle III, co-recipient of the 2003 Nobel Prize in Economic Sciences with Clive W. Granger, spoke at the Smith School on Friday, April 15 as part of the University of Maryland Statistics Consortium’s Statistics Day 2005 program.
Engle is the Michael Armellino Professor of Management of Financial Services at the Stern School of Business, New York University.
www.rhsmith.umd.edu /newsletter/inside/4.26.05/snl_inside_news.html   (2020 words)

  
 Robert F. Engle III - Autobiography
My father, Robert Fry Engle, Jr., was named after his father who owned a lovely large hotel on the Jersey shore called the Engleside.
The Engles were a Quaker (Society of Friends) family who emigrated from Cambridge, England in the 1600's.
When she married Bob Engle, she decided to join him in the Society of Friends and has been active her whole life in the Quaker community.
nobelprize.org /nobel_prizes/economics/laureates/2003/engle-autobio.html   (7844 words)

  
 Robert F. Engle Winner of the 2003 Nobel Prize in Economics
Robert F. Engle Winner of the 2003 Nobel Prize in Economics
Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger by Robert F. Engle (Editor), Halbert White (Editor), C. Granger (Editor)
Robert F. Engle III — Autobiography (submitted by Ray)
almaz.com /nobel/economics/2003a.html   (143 words)

  
 Locus Online: Science Fiction News, Reviews, Resources, Perspectives
Wilson has always been drawn in two directions at once: his concern with plausible, human-level dramas of community, family, and character on the one hand, and his attraction to whomping large-scale SF concepts on the other.
Fantasy writer Robert Jordan, born 1948, died today, September 16, 2007, at the age of 58.
Finalists for this year's Aurora Awards for Canadian SF and fantasy, include works by Peter Watts, Karl Schroeder, Robert J. Sawyer, Dave Duncan, Karin Lowachee, and others.
locusmag.com   (2107 words)

  
 EUI - ECO - Seminar by 2003 Nobel Laureate in Economics, Professor Robert F. Engle
Seminar by 2003 Nobel Laureate in Economics, Professor Robert F. Engle
On 14th November at 14.00h in the Theatre of the Badia Fiesolana, the 2003 Nobel Laureate Professor Robert F. Engle of Stern Business School-NYC will speak on "Dynamic Conditional Correlation-New Results".
Professor Engle's seminar is part of the Econometrics Research Workshops of the Economics Department.
www.iue.it /ECO/ResearchActivities/ResearchWorkshops/PastResearchWorkshops/papers/engle_erws.shtml   (79 words)

  
 Engle, Robert F. - MSN Encarta
Engle, Robert F. Engle, Robert F., born in 1942, American economist and cowinner of the 2003 Nobel Prize in economics.
Become a subscriber today and gain access to:
Search Encarta for Engle, Robert F. K-12 Success
encarta.msn.com /encyclopedia_701666384/Engle_Robert_F.html   (55 words)

  
 Reference.com/Encyclopedia/2003   (Site not responding. Last check: 2007-11-05)
July 14 - U.S. columnist Robert Novak publishes the name of Valerie Plame, blowing her cover as a CIA operative.
September 26 - Robert Palmer, English singer (b.
December 16 - Robert Stanfield, Premier of Nova Scotia (b.
www.reference.com /browse/wiki/2003   (5798 words)

  
 Jeffrey R. Russell
Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model; Robert F. Engle and Jeffrey R. Russell; Department of Economics, UC San Diego, 1995.
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Time Series Data; Robert F. Engle and Jeffrey R. Russell; Department of Economics, UC San Diego, 1995.
Forecasting Transaction Rates: The Autoregressive Conditional Duration Model; Robert F. Engle and Jeffrey R. Russell; NBER Working Papers no.4966; Cambridge: National Bureau of Economic Research, 1994.
www.lib.uchicago.edu /e/busecon/busfac/Russell.html   (401 words)

  
 UCSD - The Graduate School of International Relations and Pacific Studies   (Site not responding. Last check: 2007-11-05)
Shirk, Susan L. Shugart, Matthew F. Tohsaku, Y.- H. Vincent, Jeffrey R. Wallack, Jessica
Forecasting Volatility and Option Prices of the S&P500 Index, with Robert F. Engle and Jaesun Noh, Journal of Derivatives, Vol.
Inflation and the Role of Bonds in Investors Portfolios, with Zvi Bodie and Robert L. McDonald, in Corporate Capital Structure in the U.S., Benjamin Friedman (ed), University of Chicago Press, 1985
www-irps.ucsd.edu /~irps/academics/f-kane-cv.php   (833 words)

  
 Robert F. Engle Citations at IDEAS
So far, only a minority of all works could be analyzed.
Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005.
"The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry," CIRJE F-Series CIRJE-F-120, CIRJE, Faculty of Economics, University of Tokyo.
ideas.repec.org /e/c/pen9.html   (9941 words)

  
 The Prize in Economics 2003 - Press Release
In order to read the text you need Acrobat Reader.
Robert F. Engle, born in 1942 (60 years), in Syracuse, NY, USA (American citizen); Ph.D. from Cornell University in 1969; Michael Armellino Professor of Management of Financial Services at New York University, NY, USA.
Clive W. Granger, born 1934 (69 years), in Swansea, Wales (British citizen); Ph.D. from University of Nottingham in 1959; emeritus Professor of Economics at University of California at San Diego, USA.
nobelprize.org /nobel_prizes/economics/laureates/2003/press.html   (520 words)

  
 NBER Working Papers by Alex Kane
with Robert F. Engle, Jaesun Noh: November 1993
with Ray Chou, Robert F. Engle: March 1991
with Robert F. Engle, Che-Hsiung Hong: May 1990
www.nber.org /cgi-bin/author_papers.pl?author=alex_kane   (211 words)

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