The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Engle, Robert F. (Born 1942)

  • Tim Bollerslev
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2688

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.

Keywords

ARCH models Asset pricing finance Cointegration Engle, R. Financial econometrics Fischer, F. Friedman, M. Granger Representation Theorem Phillips curve Risk management Risk measurement Rothenberg, J. Solow, R. Time series econometrics 
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Bibliography

  1. Diebold, F. 2003. The ET interview: Professor Robert F. Engle. Econometric Theory 19: 1159–1193.CrossRefGoogle Scholar
  2. Diebold, F. 2004. The Nobel memorial for Robert F. Engle. Scandinavian Journal of Economics 106: 165–185.CrossRefGoogle Scholar
  3. Mandelbrot, B. 1963. The variation in certain speculative prices. Journal of Business 36: 394–419.CrossRefGoogle Scholar

Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Tim Bollerslev
    • 1
  1. 1.