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2007-9-27
Engle was born in Syracuse, New York in November, 1942. He graduated from Williams College in 1964 obtaining bachelor's degree of physics in 1964, and received master's degree of physics and doctor's degree of economics from Cornell University in 1969. Engle acted as a professor of MIT between 1968 and 1974. In 1975, he transferred to University of California at San Diego to act as a professor and served as dean of Department of Economics there between 1990 and 1994. He acts as a professor majoring in financial management of Leonard N. Stern School of Business since 1999 and now is a member of American Economic Association and American Academy of Arts & Sciences. Engle had worked with Clive W. J. Granger in University of California.
His works mainly include Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger, Robert F. Engle and Halbert White, eds., Oxford: Oxford University Press, 1999, ARCH Selected Readings, Oxford University Press£¬1995, Handbook of Econometrics, Robert F. Engle and McFadden, North Holland Press, 1994, Long-run Economic Relationships: Readings in Cointegration, Robert F. Engle and C. W. J. Granger, Oxford University Press, 1991.
Engle has acted as a member of American Academy of Arts & Sciences, consultant of Econometrics Association, research fellow of National Bureau of Economic Research (NBER), a member of Econometrics Association, and had won Roger F Murray Award, Institute for Quantitative Research in Finance and Outstanding Teacher, MIT Graduate Economics Association.
He established the concept of economic time series with time-varying volatility: ARCH and developed series of volatility models and methods of statistic analysis. The Royal Swedish Academy of Sciences (RSAS) declared that he is not only an excellent example of research fellows but also a model of financial analyser and that he provided not only a indispensable tool for the research fellows but also find out a short cut in asset pricing, asset allocation, risk assessment for the analysers.
As an analyzer of time series, Engle was famous for being good at experience model analysis of experience model analysis. His research involves wave band spectrum regression, hypothesis testing, exogeneity and cointegration analysis, ARCH analysis and high frequency analysis of financial asset return data in 1980s.
As an important pioneer of financial econometrics during the recent 20 years, Engle had great interest in financial market analysis and financial econometrics including financial market microstructure, equity asset, interest rate and option. In Engle's view, with the development of electronic trade, financial econometrics is helpful for the market maker, broker and traders of financial market to establish the optimum strategy in accordance with specific market environment and object in virtue of statistic analysis.
The thesis over 100 and three published works made Engle a productive economist. In addition, he sometimes made speeches in academic circles and business circles. Just like what he had said, it was dull to research without application, but it was also bald to bear too many consultant responsibilities without research significance. The splendid achievements of Engle could be attributed to not only academic contribution with Granger, David F. Hendry and other economists and econometrician of University of California at San Diego, but also the actual environment in New York and New York University. New York, as the World Financial Center, provided him with data required for analysis of financial problems and models for his academic research. Additionally, viewpoints about practical problems put forward by his companions majoring in financial practice in New York University: Stern enlightened him for model studies.
It is interesting that Engle, a winner of Nobel Prize in Economics, had been willing to become a physicist during his university time.He had applied for postgraduate degree in physics of Cornell University and University of California at Berkeley. Because his contact via telephone with postgraduate college of University of California at Berkeley had been delayed, he chose Cornell University finally. At the beginning, he had being eager to become a member of superconductor research group. However, he decided to transfer to economic department like many friends one year later. Engle was expert in study of economics although he was majoring in physics, and he obtained his doctor's degree in economics soon after he got his master's degree in physics. Actually, many economists, such as Daniel L. McFadden who won the Nobel Prize in Economics 2000, had learned physics.
According to the Royal Swedish Academy of Sciences, Engle's ARCH theory mode is now an indispensable tool for study of economics and evaluating price and risks by financial market analysers.
The Nobel Prize in Economics 2003 was finally awarded to two econometricians--Robert F. Engle III from USA and Clive W.J. Granger from UK. This is the third time after 1969 and 2000 that the Nobel Prize in Economics was awarded to econometricians.
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Organizer:
Beijing Municipal Association for Science & Technology
Undertaker: Beijing Science & Technology
Consulting Center,
Information Center of Beijing Municipal Association for
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