2003
Robert F Engle
Picture
(1942 - 0)
Nationality
USA
Area of specialisation
Econometrics
Price Motivation
For methods of analysing economic time series with time varying volatility (ARCH)
Affiliation at the time of Award
New York University.
CONTRIBUTION
1 Developed methods to study the volatility properties of time series in economics, particular in Financial markets .His method (ARCH) could, in particular, clarify market developments where turbulent periods , with large fluctuations , are followed by calmer periods ,with modest fluctuations.
PUBLICATIONS
1 Autoregressive conditional hetroscedasticity with estimates of the variance of United -Kingdom inflation (1982). 2 Exogeneity (1983). 3 Semi- parametric estimates of the relation between weather and electricity demand (1986). 4 Co-integration and errors correction: Representation, estimation and testing (1987).