Engle, Robert F. (Born 1942)

Abstract

Robert Engle has published widely on topics ranging from urban economics to band spectrum regression, electricity demand, state-space modelling, testing, exogeneity, seasonality, option pricing, and market microstructure finance. Most notable, however, are his seminal contributions on cointegration and AutoRegressive Conditional Heteroskedasticity (ARCH), which have revolutionized the field of time series econometrics and the practice of empirical macroeconomics and asset pricing finance, respectively. The research field of financial econometrics and corresponding developments in practical risk management and measurement also derive largely from the insights afforded by the ARCH class of models and Engle’s many other research contributions since the 1980s.