He spends a sabbatical at the London School of Economics in 1979. He begins looking for an econometric procedure to assess the conjecture that business cycles are caused by the uncertainty of inflation: Investors who don’t know what prices and wages will be in the future might invest less. In time, he develops a time series model with variances that can change over time: ARCH (Autoregressive Conditional Heteroskedasticity )
Robert F. Engle is born in Syracuse, NY.
Robert Engle grows up in suburban Philadelphia, graduating at Penncrest High School. His father is a Ph.D. chemist and teaches him the scientific method – for example, by helping him develop explosive recipes for model rockets.
Engle attends Williams College to study Physics, graduating in 1964 with highest honors. In his last year, he takes a course in basic Economics.
In 1975 Engle joins the faculty of the University of California, San Diego (UCSD). He retires in 2003. He now holds positions of Professor Emeritus and Research Professor at UCSD.
While finishing his Master’s thesis in physics, he applies himself to learning economics. For his PhD thesis, he works on Time Series Econometrics.
Engle leaves Cornell to become a professor at M.I.T.
He marries Marianne Eger in 1969.
In 2000, Engle takes a position in the Finance Department of the Stern School of Business at NYU, which he still holds. He teaches MBA's, does consulting for investment banks and runs a Center for Financial Econometrics.
While working on his Master’s thesis in low temperature physics at Cornell University, he learns ice dancing which he has enjoyed since. Engle also realizes that research in physics isn’t what he expected. So he visits Alfred Kahn to discuss the possibility of doing a Ph.D. in Economy instead. Fortuitously, Kahn has a fellowship available; Engle immediately accepts the offer.
Robert F. Engle shares the 2003 Nobel Prize in Economics with Clive Granger for “methods of analyzing economic time series with time-varying volatility (ARCH)". He has developed methods for analyzing unpredictable movements in financial market prices and interest rates. His statistical models have become essential tools of modern arbitrage pricing theory and practice.
Prof. Engle attends the Lindau Meeting in 2006.