Robert F. Engle III
Facts
Photo from the Nobel Foundation archive.
Robert F. Engle III
The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 2003
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)”
Prize share: 1/2
Life
Robert Engle grew up on the outskirts of Philadelphia, USA. He went to graduate school at Cornell University, where he initially studied physics, but soon realized he was more interested in economics and switched to that subject instead. He received his Ph.D. in 1969. That same year he married Marianne with whom he shares two children. He loves traveling, hiking, skiing and especially ice dancing.
Work
Robert Engle developed new statistical models of volatility that captures the tendency of stock prices and other financial variables to move between high and low volatility periods. These statistical models, in short called ARCH, have become essential tools of arbitrage pricing theory and practice. Engle joined the faculty of the University of California in 1975, wherefrom he retired in 2003. He currently teaches at New York University.
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