Engle, Robert (1942– )

US economist and academic. Engle shared with British economist Clive Granger the 2003 Nobel Memorial Prize in Economic Sciences for their discoveries in the analysis of time series data. Time series data are sequences of numerical observations over time, such as levels of stock prices each day or the levels of national income each year. In particular, Engle was awarded the prize for methods of analysing economic time series with time-varying volatility. His methods have become useful tools for researchers and for analysts on financial markets, who use them to price assets and evaluate risk.

Engle's research has introduced some of the most influential concepts in modern econometrics – autoregressive conditional heteroskedasticity (ARCH), co-integration (with Granger), weak exogeneity, band spectrum regression, autoregressive conditional duration (ACD), the CAViaR Model, and most recently dynamic conditional correlation. He has applied these methods to analyse equities, options, currencies, and interest rates.

Engle was an assistant professor at Massachusetts Institute of Technology (MIT) 1969–74. He moved to the University of California at San Diego (UCSD) in 1975, becoming an associate professor and then a full professor in 1977. It was at UCSD that he worked jointly with Granger on co-integration. He retired in 2003, and holds positions of professor emeritus and research professor at UCSD, and professor at the Stern School at New York University.