Lecture: Nobel Economics Laureate Robert Engle
Nobel economics laureate Robert F. Engle will present the lecture Anticipating Correlations as part of the Isenberg School of Management’s Fall Finance Seminar series. The public is invited to attend.
In his lecture, Dr. Engle will develop and evaluate time series methods for forecasting correlations in high-dimensional problems. Specifically, he will compare the performance of different forecasting models by applying them to daily returns from 18 U.S. large cap stocks. In his results, Dr. Engle will demonstrate the superiority of the Dynamic Conditional Correlation model, his own blend of two models.
Dr. Engle has fashioned his approach, as applied to the forecasting of financial risk, to accommodate adaptation to new types of risks without allowing unexpected “Black Swan” events to cast undue influences on the approach’s performance.
Dr. Engle shared the Nobel Prize in Economics with Clive Granger in 2003 for his methods of analyzing economic time series with a family of models known as ARCH (autoregressive conditional heteroskedasticity). His ARCH models have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk.
Dr. Engle is the Michael Armellino Professor in Management of Financial Services at New York University’s Stern School of Business. He has also been on the faculties of MIT and the University of California of San Diego. Dr. Engle received a Ph.D. in economics (1969) and an M.S. in physics (1966) from Cornell University. He also earned a B.S. in physics from Williams College.
