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Economics and Finance
USA
2026

D-Index & Metrics

Economics and Finance

D-Index
118
Citations
200879
World Ranking
40
National Ranking
32

Research.com Recognitions

  • 2026 - Research.com Economics and Finance in United States Leader Award
  • 2025 - Research.com Economics and Finance in United States Leader Award
  • 2024 - Research.com Economics and Finance in United States Leader Award
  • 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
  • Fellow of the Financial Institutions Center (FIC)
  • Fellow of the Financial Management Association
  • Fellow of the Financial Institutions Center (FIC)
  • Fellow of the Financial Management Association

Overview

Robert F. Engle is affiliated with New York University in the United States. Their research primarily focuses on the fields of Economics, Econometrics, and Finance, with a particular emphasis on finance and econometrics subfields. Their work covers topics including market dynamics and volatility, financial risk and volatility modeling, financial markets and investment strategies, complex systems and time series analysis, banking stability and regulation, global financial crisis and policies, as well as sustainable finance and green bonds.

They have published in several academic venues, with the most frequent being the SSRN Electronic Journal, followed by The Journal of Portfolio Management, Journal of Econometrics, Annual Review of Financial Economics, and the Journal of Financial Economics.

Their recent papers include:

  • What are the events that shake our world? Measuring and hedging global COVOL, 2022, Journal of Financial Economics
  • Climate Stress Testing, 2023, Annual Review of Financial Economics
  • Why Did Bank Stocks Crash during COVID-19?, 2024, Review of Financial Studies
  • Large dynamic covariance matrices: Enhancements based on intraday data, 2022, Journal of Banking & Finance
  • Liquidity and volatility in the U.S. Treasury market, 2020, Journal of Econometrics

The scientist has collaborated frequently with several co-authors, including Viral V. Acharya, Hyeyoon Jung, Gianluca De Nard, Johannes Stroebel, and Xuran Zeng.

They have also contributed to books, notably publishing the "Handbook of Financial Stress Testing" in 2022 through Cambridge University Press.

Over their career, Robert F. Engle has received several awards and honors, such as the Nobel Memorial Prize in Economics in 2003 for methods of analyzing economic time series with time-varying volatility (ARCH). Other recognitions include becoming a Fellow of the American Finance Association (AFA) and a Member of the National Academy of Sciences in 2005, as well as fellowships at the American Academy of Arts and Sciences, the Financial Management Association, and the Financial Institutions Center.

Best Publications

  • Co-integration and Error Correction: Representation, Estimation and Testing

    Robert F. Engle;Clive 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

    Robert Engle

  • Measuring and Testing the Impact of News on Volatility

    Robert F. Engle;Victor K. Ng

  • Multivariate Simultaneous Generalized ARCH

    Robert F. Engle;Kenneth F. Kroner

  • A long memory property of stock market returns and a new model

    Zhuanxin Ding;Clive W.J. Granger;Robert F. Engle

  • A Capital Asset Pricing Model with Time-varying Covariances

    Tim Bollerslev;Robert F. Engle;Jeffrey M. Wooldridge

  • 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

  • CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles *

    Robert F Engle;Simone Manganelli

  • AUTOREGRESSIVE CONDITIONAL DURATION: A NEW MODEL FOR IRREGULARLY SPACED TRANSACTION DATA

    Robert F. Engle;Jeffrey R. Russell

  • Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH

    Robert F. Engle;Kevin Sheppard

  • Seasonal integration and cointegration

    Svend Hylleberg;Robert F. Engle;Clive W. J. Granger;Byung Sam Yoo

  • Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

    Lorenzo Cappiello;Robert F. Engle;Kevin Sheppard

  • COINTEGRATION AND ERROR CORRECTION: REPRESENTATION

    R F Engle;Granger C.W.J.

  • GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics

    Robert Engle

  • Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models

    Robert F Engle

  • Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

    Robert F Engle;Takatoshi Ito;Wen-Ling Lin

  • Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks †

    Viral Acharya;Robert Engle;Matthew Richardson

  • Semiparametric Estimates of the Relation between Weather and Electricity Sales

    Robert F. Engle;C. W. J. Granger;John Rice;Andrew Weiss

  • SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

    Christian Brownlees;Robert F. Engle

  • Seasonal integration and cointegration

    S. Hylleberg;R. F. Engle;C. W. J. Granger;B. S. Yoo

Frequent Co-Authors

Clive W. J. Granger
Clive W. J. Granger University of California, San Diego
Takatoshi Ito
Takatoshi Ito Columbia University
Viral V. Acharya
Viral V. Acharya New York University
Turan G. Bali
Turan G. Bali Georgetown University
Eric Ghysels
Eric Ghysels University of North Carolina at Chapel Hill
Andrew J. Patton
Andrew J. Patton Duke University
Mark W. Watson
Mark W. Watson Princeton University
Asger Lunde
Asger Lunde Copenhagen Economics
Michael Rothschild
Michael Rothschild University of Wisconsin–Madison
N. Edward Coulson
N. Edward Coulson University of California, Irvine

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