The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 2003
Robert F. Engle III, Clive W.J. Granger
Robert F. Engle III
Born: 10 November 1942, Syracuse, NY, USA
Affiliation at the time of the award: New York University, New York, NY, USA
Prize motivation: "for methods of analyzing economic time series with time-varying volatility (ARCH)"
Contribution: Developed methods to study the volatility properties of time series in economics, particular in financial markets. His method (ARCH) could, in particular, clarify market developments where turbulent periods, with large fluctuations, are followed by calmer periods, with modest fluctuations.
Prize share: 1/2