2005 - Fellow of the American Finance Association (AFA)
2005 - Member of the National Academy of Sciences
2003 - Nobel Memorial Prize laureates in Economics for methods of analyzing economic time series with time-varying volatility (ARCH)
1995 - Fellow of the American Academy of Arts and Sciences
Fellow of the Financial Institutions Center (FIC)
Fellow of the Financial Management Association
His scientific interests lie mostly in Econometrics, Volatility, Statistics, Autoregressive conditional heteroskedasticity and Financial economics. In the subject of general Econometrics, his work in Heteroscedasticity and Conditional variance is often linked to Arch, thereby combining diverse domains of study. The study incorporates disciplines such as Covariance and Multivariate statistics in addition to Conditional variance.
His study looks at the intersection of Volatility and topics like Market microstructure with Point process and Statistical model. His research in Statistics intersects with topics in Value at risk and Autoregressive conditional duration. His biological study spans a wide range of topics, including Leverage, Standard error, Realized variance and Measure.
His primary areas of investigation include Econometrics, Volatility, Autoregressive conditional heteroskedasticity, Financial economics and Statistics. Econometrics is a component of his Stochastic volatility and Autoregressive model studies. His research on Volatility often connects related topics like Stock market index.
He works in the field of Autoregressive conditional heteroskedasticity, namely Conditional variance. His Financial economics research integrates issues from Market liquidity, Market microstructure, Equity and Market depth. His is doing research in Statistical hypothesis testing, Heteroscedasticity and Estimator, both of which are found in Statistics.
Robert F. Engle mainly focuses on Econometrics, Autoregressive conditional heteroskedasticity, Systemic risk, Volatility and Financial economics. He is studying Realized variance, which is a component of Econometrics. His study connects Forward volatility and Autoregressive conditional heteroskedasticity.
In general Volatility study, his work on Implied volatility often relates to the realm of Function, thereby connecting several areas of interest. The concepts of his Financial economics study are interwoven with issues in Dividend, Value and Solvency. His Multivariate statistics study combines topics from a wide range of disciplines, such as Copula and Autoregressive model.
His primary areas of study are Econometrics, Systemic risk, Financial economics, Volatility and Financial system. His work deals with themes such as Covariance, Beta, Multivariate statistics, Position and Portfolio, which intersect with Econometrics. His Multivariate statistics study integrates concerns from other disciplines, such as Estimation and Autoregressive model.
His work deals with themes such as Leverage, Capital, Autoregressive conditional heteroskedasticity and Monetary economics, which intersect with Systemic risk. His work on Consumption-based capital asset pricing model, Investment theory, Rational pricing and Arbitrage pricing theory as part of general Financial economics study is frequently connected to Returns-based style analysis, therefore bridging the gap between diverse disciplines of science and establishing a new relationship between them. His Volatility research focuses on Implied volatility in particular.
This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.
Co-integration and error correction: representation, estimation and testing
Robert F. Engle;C. W. J. Granger.
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
Robert F. Engle.
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
Journal of Business & Economic Statistics (2002)
Multivariate Simultaneous Generalized ARCH
Robert F. Engle;Kenneth F. Kroner.
Econometric Theory (1995)
Measuring and Testing the Impact of News on Volatility
Robert F. Engle;Victor K. Ng.
Journal of Finance (1993)
A long memory property of stock market returns and a new model
Zhuanxin Ding;Clive W. J. Granger;Robert F. Engle.
Journal of Empirical Finance (1993)
A Capital Asset Pricing Model with Time-varying Covariances
Tim Bollerslev;Robert F. Engle;Jeffrey M. Wooldridge.
Journal of Political Economy (1988)
Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model
Robert F. Engle;David M. Lilien;Russell P. Robins.
Forecasting and testing in co-integrated systems
Robert F. Engle;Byung Sam Yoo.
Journal of Econometrics (1987)
COINTEGRATION AND ERROR CORRECTION: REPRESENTATION
R F Engle;Granger C.W.J..
Profile was last updated on December 6th, 2021.
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