New York University Stern School of Business
2003 Nobel Laureate in Economics
Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets, and a Nobel laureate in Economics.
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). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.
Professor Engle is the Director of the Volatility Institute at the Stern School at NYU. In this role he has developed research tools to track risks in the global economy and make these publicly available on the V-LAB website. These measures include volatility, correlation, long run value at risk and liquidity which are updated daily for thousands of global financial assets.
V-LAB publishes the NYU Stern Systemic Risk Rankings which measure the systemic risk contribution of financial firms and countries using innovative statistical and economic models. These rankings reflect the current levels of capital shortfall of more than 1000 firms which are widely watched by investors, academics and regulators.