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.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Similar content being viewed by others
Bibliography
Diebold, F. 2003. The ET interview: Professor Robert F. Engle. Econometric Theory 19: 1159–1193.
Diebold, F. 2004. The Nobel memorial for Robert F. Engle. Scandinavian Journal of Economics 106: 165–185.
Mandelbrot, B. 1963. The variation in certain speculative prices. Journal of Business 36: 394–419.
Author information
Authors and Affiliations
Editor information
Copyright information
© 2018 Macmillan Publishers Ltd.
About this entry
Cite this entry
Bollerslev, T. (2018). Engle, Robert F. (Born 1942). In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2688
Download citation
DOI: https://doi.org/10.1057/978-1-349-95189-5_2688
Published:
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-95188-8
Online ISBN: 978-1-349-95189-5
eBook Packages: Economics and FinanceReference Module Humanities and Social SciencesReference Module Business, Economics and Social Sciences