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Robert Fry Engle III ist ein US-amerikanischer Wirtschaftswissenschaftler und Nobelpreisträger. Er ist vor allem für seine Beiträge zur stochastischen Zeitreihenanalyse bekannt. Engles ARCH-Modelle revolutionierten die Art und Weise, wie Wirtschaftswissenschaftler Finanzdaten analysieren.
Robert F. Engle. Robert Fry Engle III (born November 10, 1942) is an American economist and statistician. He won the 2003 Nobel Memorial Prize in Economic Sciences, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility ( ARCH )".
Robert Engle is a Nobel Prize-winning economist who researchs on the concept of autoregressive conditional heteroskedasticity (ARCH) and its applications in financial markets. He is the Co-Director of the NYU Stern Volatility and Risk Institute and the Co-Founding President of the Society for Financial Econometrics. He teaches courses on time series analysis, futures and options, and financial econometrics at NYU Stern.
Learn about the research and achievements of Nobel Laureate Professor Robert Engle, who won the 2003 Nobel Prize in Economics for his work on the concept of autoregressive conditional heteroskedasticity (ARCH). Explore his projects, publications, awards, and events related to financial econometrics and volatility.
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).
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GARCH 101: The use of ARCH/GARCH models in applied econometrics. R Engle. Journal of economic perspectives 15 (4), 157-168. , 2001. 2148. 2001. Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. RF Engle III, K Sheppard. National Bureau of Economic Research.
25. Apr. 2024 · Robert F. Engle is an American economist, corecipient of the Nobel Prize for Economics in 2003 for his development of methods for analyzing time series data with time-varying volatility. He shared the award with Clive W.J. Granger. Engle received an M.S. (1966) and Ph.D. (1969) from Cornell.
