Robert F. Engle

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Robert F. Engle
Lahir 10 November 1942 (umur 72)
Syracuse, New York, AS
Kebangsaan Amerika Serikat
Bidang Economics
Alma mater Cornell University Ph.D. 1969
Williams College B.S. 1964
Pembimbing doktoral Ta-Chung Liu
Mahasiswa doktoral Tim Bollerslev
Mark Watson
Dikenal karena ARCH
Cointegration
Penghargaan Penghargaan Nobel dalam Ekonomi (2003)

Robert Franklin Engle III (lahir 10 November 1942 di Syracuse, New York) menerima Penghargaan Nobel Ekonomi 2003 bersama dengan Clive Granger untuk "metode analisis rangkaian waktu ekonomi dengan volatilitas yang bervariasi dengan waktu".

Kini ia memegang kedudukan profesor emeritus dan profesor peneliti di Universitas California, San Diego, dan mengajar di Universitas New York, Fakultas Bisnis Stern.

Kehidupan pribadi[sunting | sunting sumber]

Karya[sunting | sunting sumber]

  • Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of UK Inflation Econometrica 50 (1982): 987-1008.
  • Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model (with David Lilien and Russell Robins), Econometrica 55 (1987): 391-407.
  • Co-integration and Error Correction: Representation, Estimation and Testing (with Clive Granger), Econometrica 55 (1987): 251-276.
  • Semi-parametric estimates of the relation between weather and electricity demand (with C. Granger, J. Rice and A. Weiss), Journal of American Statistical Association 81 (1986): 310-320.
  • Exogeneity (with David F. Hendry and Jean-Francois Richard), Econometrica 51 (1983): 277-304.
  • Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills (with V. Ng, and M. Rothschild) Journal of Econometrics 45 (1990): 213-237.
  • Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data, (with J.R. Russell) Econometrica 66 (1998):1127-1162.
  • Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models Journal of Business and Economic Statistics (July 2002)

Pranala luar[sunting | sunting sumber]