Robert Fry Engle

Profesor ekonomie Robert Fry Engle III se narodil 10.11.1942 ve městě Syracuse ve státě New York ve Spojených státech amerických a původně vystudoval fyziku na Williams College (1964) a Cornell University v Ithace (1966). Doktorát na téže univerzitě (1969) má už ale z ekonomie.

V letech 1969-74 působil na Massachusetts Institute of Technology (MIT) a v roce 1975 pak přešel na University of California, San Diego. To představuje důležitou etapu jeho profesního života, neboť se zde potkal s druhým současným laureátem Nobelovy ceny, Clivem Williamem Johnem Grangerem z Velké Británie, se kterým navázal přátelství a 25 let úzce spolupracoval na řešení společných zájmových odborných témat a obýval mnoho let sousední kancelář.

Během své činnosti na slavné prestižní britské London School of Economics v 80. letech Engle napsal zásadní práci, v níž se snažil zjistit, jak mohou být snížena rizika pro investory při nepravidelných fluktuacích na finančních trzích a použil k tomu zejména metod statistických analýz.

Od roku 1999 působí R. Engle na jedné z největších soukromých univerzit v USA, založené roku 1831, na New York University, Leonard N. Stern School of Business, Department of Finance, ležící v samém srdci velkoměsta.

Robert F. Engle stanovil statistickými metodami složité, ale velmi prakticky využitelné vzorce tzv. volatility finančních trhů. Byl oceněn především za svůj koncept ARCH (Autoregressive Conditional Heteroskedasticity), který přesně zachycuje vlastnosti mnoha časových řad a následně za vyvinutí metody statistického modelování volatility a časových výchylek. Tyto modely ARCH se staly skutečně nepostradatelným nástrojem nejen pro výzkumníky, ale i pro mnohé bankéře, makléře, investory a analytiky finančních trhů při oceňování akcií nebo určování míry rizika investic.

Své novátorské statistické metody rozpracoval profesor Engle ve více než stovce odborných statí a ve čtyřech monotematických publikacích. Robert F. Engle je mj. členem American Academy of Arts and Sciences, Econometric Society, American Statistical Association.

Engle je od roku 1969 ženatý s Marianne Eger, původem ze slovenského Prešova, se kterou má dvě děti – dceru Lindsey a syna Jordana. Volný část tráví nejraději po boku své ženy v malém alpském městečku Annecy ve východní Francii, kde vlastní dům, a kde se také dozvěděl o svém ocenění Cenou Švédské banky za ekonomii na paměť Alfreda Nobela za rok 2003 (Nobelovou cenou) a o tom, že si celkovou částku ve výši 1,3 milionu amerických dolarů rozdělí se svým dobrým přítelem a bývalým dlouholetým kolegou C. W. J. Grangerem.

Knihy

ENGLE, R. ARCH : selected readings. Oxford University Press, 1995.

ENGLE, R., McFADDEN, D. L. Handbook of econometrics. North-Holland, 2007.

Long run economic relationships: Readings in cointegration. Edited by R. Engle, C. W. J. Granger. Oxford University Press, 1991.

Články

ENGLE, R. F. The econometrics of macroeconomics, finance and the interface. Journal of Econometrics, 2006, vol. 131, no. 1 – 2, p. 1 – 2.

ENGLE, R. F. A muliple indicators model for volatility using intra-daily data. Journal of Econometrics, 2006, vol. 131, no. 1 – 2, p. 3 – 27.

ENGLE, R. F., PATTON, A. Impacts of trades in an error-correction model of quote prices. Journal of Financial Markets, 2004, vol. 7, no. 1, p. 1 – 25.

ENGLE, R. F. Risk and volatility: econometric models and financial practice. American Economic Review, 2004, vol. 94, no. 3, p. 405 – 420.

ENGLE, R. F. Trades and quotes: a bivariate point processes. Journal of Financial Econometrics, 2003, vol. 1, no. 2, p. 159 – 188.

ENGLE, R. F. A comment on „The econometric analysis of economic time series“, International Statistical Review, 2002, vol. 51, p. 149 – 150.

ENGLE, R. F. Dynamic conditional correlation: a simple class of  multivariate generalized autoreggressive conditional  heteroskedasticity models. Journal of Business & Economic Statistics, 2002, vol. 20, no. 3, p. 339 – 350.

ENGLE, R. F., ROSENBERG, J.  Empirical pricing kernels. Journal of Financial Economics, 2002, vol. 64, no. 3, p. 341 – 372.

ENGLE, R. F. New frontiers in ARCH models. Journal of Applied Econometrics, 2002, vol. 17, no. 5, p. 425 – 446.

ENGLE, R. F. Specification of the disturbance for efficient estimation. Econometrica, 2002, vol. 42, no. 974, p. 136 – 148.

ENGLE, R. F., ATTIYEH, R. Testing some propositions about Proposition 13. National Tax Journal, 2002, vol. 32, no. 979, p. 131 – 146.

ENGLE, R. F. Financial econometrics – a new discipline with new methods. Journal of Econometrics, 2001, vol. 100, no. 1, p. 53 – 56.

ENGLE, R. F., LANGE, J.  Measuring, forecasting and explaining time varying liquidity in the stock market. Journal of Financial Markets, 2001, vol. 4, no. 2, p. 113 – 142.

ENGLE, R. F. Predicting VNET: A model of the dynamics of market depth. Journal of Financial Markets, 2001, vol. 4, no. 2, p. 113 – 142.

ENGLE, R. F. GARCH 101: The use of ARCH/GARCH models in applied econometrics. Journal of Economic Perspectives, 2001, vol. 15, no. 4, p. 157 – 168.

ENGLE, R. F. The econometrics of ultra-high frequency data. Econometrica, 2000, vol. 68, no. 1, p. 1 – 22.

ENGLE, R. F., ROSENBERG, J. Testing the volatility term structure using option hedging: criteria. Journal of Derivatives, 2000, vol. 8, no. 1, p. 10 – 28.

ENGLE, R. F. Time and the price impact of a trade. Journal of Finance, 2000, vol. 55, no. 6, p. 2467 – 2498.

ENGLE, R. F., SMITH, A. Stochastic permanent breaks. The Review of Economics and Statistics, 1999, vol. 81, no. 4, p. 553 – 574.

ENGLE, R. F. Autoregressive conditional duration: a new model for irregularly spaced transaction data. Econometrica, 1998, vol. 66, no. 5, p. 1127 – 1162.

ENGLE, R. F. Codependent cycles. Journal of Econometrics, 1997, vol. 80, no. 2, p. 199 – 221.

ENGLE, R. F., KAN, A., NOH, J. Index-option pricing with stochastic volatility and the value of accurate variance forecasts. Review of Derivatives Research, 1997, no. 1, p. 139 – 157.

ENGLE, R. F., RUSSELL, J. R. Forecasting the frequency of changes in in quoted foreign exchange prices with the ACD model. Journal of Empirical Finance, 1997, vol. 4, no. 2 – 3, p. 187 – 212.

ENGLE, R. F., VAHID, F. Nonsynchronous common cycles. Journal of Econometrics, 1997, vol. 80, p. 199 – 221.

ENGLE, R. F., GRANGER, C. W. J., RAMANATHAN, R., et al. Short-run forecasts of electricity loads and peaks. International Journal of Forecasting, 1997, vol. 13, no. 2, p. 161 – 174.

ENGLE, R. F., MEZRICH, J. GARCH for groups. Risk, 1996, p. 36 – 40.

ENGLE, R. F., HYLLEBERG, S. Seasonal common features: global unemployment. Oxford Bulletin of Economics and Statistics, 1996, vol. 58, no. 4,  p. 615 – 630.

ENGLE, R. F., ISSLER, J. Estimating common sectoral cycles. Journal of Monetary Economics, 1995, vol. 35, no. 1, p. 83 – 113.

ENGLE, R. F., ROSENBERG, J. GARCH gammas. Journal of Derivatives, 1995, vol. 2, p. 47 – 59.

ENGLE, R. F., MEZRICH, J. Grappling with GARCH. Risk, 1995, p. 112 – 117.

ENGLE, R. F., KRONER, K. Multivariate simultaneous generallized GARCH. Econometric Theory, 1995, vol. 11, no. 1, p. 122 – 150.

ENGLE, R. F. Bayesian analysis of stochastic volatility models: comment. Journal of Business & Economic Statistic, 1994, vol. 12, no. 4, p. 395 – 396.

ENGLE, R. F., LIN, W.-L. Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies, 1994, vol. 7, no. 3, p. 507 – 538.

ENGLE, R. F., NOH, J., KANE, A. Forecasting volatility and option prices of the S&P 500 index. Journal of Derivatives, 1994, vol. 2, p. 17 – 30.

ENGLE, R. F., SUSMEL, R. Hourly volatility spillovers between international equity markets. Journal of  International Money and Finance, 1994, vol. 13, no. 1, p. 3 – 25.

ENGLE, R. F., HONG, C., KANE, A., et al. Arbitrage valuation of variance forecasts using simulated options. Advances in Futures and Options Research, 1993, no. 3, p. 393 – 415.

ENGLE, R. F. A comment on Hendry and Clements on „The limitations of comparing mean square forecast errors“. Journal of Forecasting, 1993, vol. 12, p. 642 – 644.

ENGLE, R. F., BOLLERSLEV, T. Common persistence in conditional variances. Econometrica, 1993, vol. 61, no. 1, p. 167 – 186.

ENGLE, R. F., VAHID, F. Common trends and common cycles. Journal of Applied Econometrics, 1993, vol. 8, no. 4, p. 341 – 360.

ENGLE, R. F., ISSLER, J. Common trends and common cycles in Latin America. Revista Brasileira de Economica, 1993, vol. 47, p. 149 – 176.

ENGLE, R. F., SUSMEL. R. Common volatility in international equity markets. Journal of Business and Economic Statistics, 1993, vol. 11, no. 2, p. 167 – 176.

ENGLE, R. F. The Japanese consumption function. Journal of Econometrics, 1993, vol. 55, no. 1 – 2, p. 275 – 298.

ENGLE, R. F., DING, Z., GRANGER, C. W. J. A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1993, vol. 1, no. 1. p. 83 – 106.

ENGLE, R. F., NG, V. Measuring and testing the impact of news on volatility. Journal of Finance, 1993, vol. 48, no. 5, p. 1749 – 1778.

ENGLE, R. F., GRANGER, C. W. J., HYLLEBERG, S., et al. Seasonal cointegration: the Japanese consumption function. Journal of Econometrics, 1993, vol. 55, p. 275 – 298.

ENGLE, R. F., KOZICKI, S. Testing for common features. Journal of Business and Economic Statistics, 1993, vol. 11, no. 4, p. 369 – 380.

ENGLE, R. F. Testing for common features reply. Journal of Business and Economic Statistics, 1993, vol. 11, no. 4, p. 393 – 395.

ENGLE, R. F., HENDRY, D. Testing superexogeneity and invariance in regresion models. Journal of  Econometrics, 1993, vol. 56, no. 1 – 2, p. 119 – 139.

ENGLE, R. F., NG, V. Time-varying volatility and the dynamic behavior of the term structure. Journal of Money, Credit and Banking, 1993, vol. 25, no. 3, p. 336 – 349.

ENGLE, R. F. ARCH models in finance. Journal of  Econometrica, 1992, vol. 52, p. 245 – 266.

ENGLE, R. F., BROWN, S., COULSON, E. On the determination of regional base and regional base multipliers. Regional Science and Urban Economics, 1992, vol. 22, no. 4, p. 619 – 695.

ENGLE, R. F., MUSTAFA, C. Implied ARCH models from options prices. Journal of Forecasting, 1992, vol. 11, p. 241 – 251.

ENGLE, R. F., CHOU, R., KANE, A. Measuring risk aversion from excess returns on a stock index. Journal of Econometrics, 1992, vol. 52, p. 201 – 224.

ENGLE, R. F., NG, V., ROTSCHILD, M. A multi-dynamic factor model for sock returns. Journal of Econometrics, 1992, vol. 52, no. 1 – 2, p. 245 – 266.

ENGLE, R. F., CARSON, R., NAVARRO, P. On the theory of growth controls. Journal of Urban Economics, 1992, vol. 32, no. 3, p. 269 – 283.

ENGLE, R. F., ITO, T., LIN, W. L. Where does the meteor shower come from? The role of stochastic policy. Journal of International Economics, 1992, vol. 32, no. 3 – 4,  p. 221 – 240.

ENGLE, R. F., GONZALES, G. Semi-parametric ARCH models. Journal of Business and Economic Statistics, 1991, vol. 9, no. 4, p. 345 – 359.

ENGLE, R. F., NG, V., ROTSCHILD, M. Asset pricing with a factor ARCH covariance structure: empirical estimates for treasury bills. Journal of Econometrics, 1990, vol. 45, no. 1 – 2, p. 213 – 237.

ENGLE, R. F., ITO, T., LIN, W. L. Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market. Econometrica, 1990, vol. 58, no. 3, p. 525 – 542.

ENGLE, R. F., HYLLEBERG, S., GRANGER, C. W. J., et al. Seasonal integration and cointegration. Journal of Econometrics, 1990, vol. 44, no. 1 – 2, p. 215 – 238.

ENGLE, R. F. Stock volatility and the crash of ´87: discussion. Review of Financial Studies, 1990, vol. 3, no. 1, p. 103 – 106.

ENGLE, R. F., GRANGER, C. W., et al. Merging short and long run forecasts: an application of seasonal cointegration to monthly electricity sales forecasting. Journal of Econometrics, 1989, vol. 40, p. 45 – 62.

ENGLE, R. F., BOLLERSLEV, T. P., WOOLDRIDGE, J. M. A capital asset pricing model with time varying covariances. Journal of Political Economy, 1988, vol. 96, no. 1, p. 116 – 131.

ENGLE, R. F. A comparison of adaptive structural forecasting methods for electricity sales. Journal of Forecasting, 1988, vol. 7, p. 149 – 172.

ENGLE, R. F. Estimates of the variance of U.S. inflation based upon the ARCH model: reply. Journal of Money, Credit and Banking, 1988, vol. 20, no. 3, p. 422 – 423.

ENGLE, R. F., GRANGER, C. W. J. Co-integration and error correction: representation, estimation and testing. Econometrica, 1987, vol. 55, no. 2, p. 251 – 276.

ENGLE, R. F., LILIEN, D., ROBINS, R. Estimation of time varying risk premia in the term structure: the ARCH-M model. Econometrica, 1987, vol. 55, no. 2, p. 391 – 407.

ENGLE, R. F., YOO, S. Forecasting and testing in co-integrated systems. Journal of Econometrics, 1987, vol. 35, p. 143 – 159.

ENGLE, R. F., COULSON, E. Transportation costs and the rent gradient. Journal of Urban Economics, 1987, vol. 21, p. 287 – 297.

ENGLE, R. F., GRANGER, C. W. J., RICE, J., et al.  Semi-parametric estimates of the relation between weather and electricity demand. Journal of American Statistical Association, 1986, vol. 81, p. 310 – 320.

ENGLE, R. F., WATSON, M., LILIEN, D. A dynamic model of housing price determination. Journal of Econometrics, 1985, vol. 28, p. 307 – 328.

ENGLE, R. F., HENDRY, D., TRUMBLE, D. Small-samples properties of ARCH estimators and tests. Canadian Journal of Economics, 1985, vol. 18, no. 1, p. 66 – 93.

ENGLE, R. F. Testing for regression coefficient stability with a stationary AR(1) alternative. The Review of Economics and Statistics, 1985, vol. 67, no. 2, p. 341 – 346.

ENGLE, R. F., TRAIN, K., GRANGER, C. W. J., et al. The billing cycle and weather variables in model sof electricity sales. Energy, 1984, vol. 9, p. 1041 – 1047.

ENGLE, R. F., KRAFT, D., GRANGER, C. W. J. Combining competing forecasts of inflation based on a multivariate ARCH model. Journal of Economic Dynamics and Control, 1984, vol. 8, p. 151 – 165.

ENGLE, R. F., WATSON, M. Alternative algorithms for the estimation of dynamic factor, MIMIC and varying coefficient regression models. Journal of Econometrics, 1983, vol. 23, p. 385 – 400.

ENGLE, R. F. Discussion of „Diagnostic tests and residual anylysis“ by Pagan and Hall. Econometric Reviews, 1983, vol. 2, p. 223 – 228.

ENGLE, R. F., HENDRY, D. F., RICHARD, J. F. Exogeneity. Econometrica, 1983, vol. 51, no. 2, p. 277 – 304.

ENGLE, R. F. Estimates of the variance of U.S. inflation based on the ARCH model. Journal of Money, Credit and Banking, 1983, vol. 15, p. 286 – 301.

ENGLE, R. F. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica, 1982, vol. 50, no. 4, p. 987 – 1008.

ENGLE, R. F. A general approach to Lagrange multiplier model diagnostics. Journal of Econometrics, 1982, vol. 20, p. 83 – 104.

ENGLE, R. F., WATSON. M. A one-factor multivariate time series model of metropolitan wage rates. Journal of the American Statistical Association, 1981, vol. 76, p. 774 – 781.

ENGLE, R. F. Exact maximum likelihood methods for dynamic regressions and band spectrum regressions. International Economic Review, 1980, vol. 21, no. 2, p. 391 – 407.

ENGLE, R. F. Estimation of the price elasticity of demand facing metropolitan producers. Journal of Urban Economics, 1979, vol. 6, p. 42 – 64.

ENGLE, R. F., GRANGER, C. W. J., RAMANATHAN, R., et al. Residential load curves and time-of-day pricing: an econometric analysis. Journal of Econometrics, 1979, vol. 9, p. 13 – 32.

ENGLE, R. F. Testing price equations for stability across spectral frequency bands. Econometrica, 1978, vol. 46, no. 4, p. 869 – 881.

ENGLE, R. F. Constraints often overlooked in analyses of simultaneous equation models. Comment. Econometrica, 1976, vol. 44, no. 3, p. 617 – 819.

ENGLE, R. F. Interpreting spectral analysis in terms of time domain models. Annals of Economic and Social Measurement, 1976, vol. 5, p. 89 – 109.

ENGLE, R. F., GARDNER, R. Some finite sample properties of spectral estimators of a linear regression. Econometrica, 1976, vol. 44, no. 1, p. 149 – 165.

ENGLE, R. F., FOLEY, D. An asset price model of aggregate investment. International Economic Review, 1975, vol. 16, no. 3, p. 625 – 647.

ENGLE, R. F. De facto discrimination in residential assessments: Boston. National Tax Journal, 1975, vol. 28, p. 445 – 451.

ENGLE, R. F. Equilibrium in regional investment: a reply. Journal of Regional Science, 1975, vol. 15, p. 235 – 238.

ENGLE, R. F. Band spectrum regression. International Economic Review, 1974, vol. 15, no. 1, p. 1 – 11.

ENGLE, R. F. A disequilibrium model of regional investment. Journal of Regional Science, 1974, vol. 14, p. 367 – 376.

ENGLE, R. F. Issues in the specification of an econometric model of metropolitan growth. Journal of Urban Economics, 1974, vol. 1. p. 250 – 267.

ENGLE, R. F. Specification of the disturbance for efficient estimation. Econometrica, 1974, vol. 42, no. 1, p. 135 – 146.

ENGLE, R. F., FISHER, F. M., HARRIS, J. R., et al. An econometric simulation model of intra-metropolitan housing location: housing. The American Economic Review, 1972, vol. 62, no. 2, p. 87 – 97.

Working papers, proceedings, přednášky, aj.

ENGLE, R. F., FERSTENBERG, R., STANLEY, M. Execution risk. NBER Working Papers, National Bureau of Economic Research, Inc., 2006.

ENGLE, R. F., SOKALSKA, M. E., CHANDA, A. High frequency multiplicative component GARCH. Computing in Economics  and Finance, Society for Computational Economics, 2005.

ENGLE, R. F. Assymetric dynamics in the correlations of global equity and bond returns. Working Papers Series, European Central Bank, 2003.

ENGLE, R. F., LEE, G. J. Estimating diffusion model sof stochastic volatility. In Modeling Stock Market Volatility. Edited by P. Rossi. Academic Press, 2002.

ENGLE, R. F., GALLO, G. M. A multiple indicators model for volatility using intra-daily data. Presented at Joint Statistical Meetings, 2002.

ENGLE, R. F., GRANGER, C. W. J., RAMANATHAN, R. Regional load curve models. Volumes 2, 4. EPRI EA-1672, Final report of RP-1008, 2002.

ENGLE, R. F., SHEPPARD, K. Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. Stern Finance Working Paper Series, FIN-01-027, 2001.

ENGLE, R. F. CAViaR: Conditional autoregressive value at risk by regression quantiles. Econometric Society World Congress 2000 Contributed Papers, Econometric Society, 2000.

ENGLE, R. F. Dynamic conditional correlation – a single class of multivariate GARCH models. Economics Working Paper Series, University of California at San Diego, Department of Economics, UC San Diego, 2000.

ENGLE, R. F., ROSENBERG, J. Empirical pricing kernels. Leonard N. Stern School Finance Department Working Paper Series, New York University, Leonard N. Stern School of Business, 2000.

ENGLE, R. F. Impacts of trades in an error-correlation model of quote prices. Economics Working Paper Series, University of California at San Diego, Department of Economics, UC San Diego, 2000.

ENGLE, R. F. Modeling the impacts of market activity on bid-ask spreads in the option market. NBER Working Papers, National Bureau of Economic Research, Inc., 1999.

ENGLE, R. F. Modeling a time-varying order statistic. Computing in Economics and Finance 1999, Society for Computational Economics, 1999.

ENGLE, R. F., LEE, G. J. A permanent and transitory component model of stock return volatility. In Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive W. J. Granger. Edited by R. F. Engle, H. White. Oxford University Press, 1999, p. 475 – 497.

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Robert Fry Engle