NYU Stern's Engle Wins 2003 Nobel Prize in Economics.Business Editors/Education Writers NEW YORK--(BUSINESS WIRE)--Oct. 8, 2003 New York University Stern School of Business The Leonard N. Stern School of Business is New York University's (NYU) business school. It was named after Leonard N. Stern, an alumnus and benefactor of the school. The school was established in 1900 as the NYU School of Commerce, Accounts and Finance. Professor Robert Engle, who holds the Michael Armellino Professorship in the Management of Financial Services, has been awarded the 2003 Nobel Prize in Economics The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel, commonly called the Nobel Prize in Economics, is a prize awarded each year for outstanding intellectual contributions in the field of economics. for methods of analyzing economic time series with time-varying volatility (ARCH). Engle, 60, shares the prize with Clive W. J. Granger of the University of California The University of California has a combined student body of more than 191,000 students, over 1,340,000 living alumni, and a combined systemwide and campus endowment of just over $7.3 billion (8th largest in the United States). at San Diego. A professor at NYU's Stern School of Business since 2000, Engle is an expert in time series analysis with a long-time interest in the analysis of financial markets. His research has produced such innovative statistical methods as ARCH, for which he was awarded the Nobel Prize, cointegration, band spectrum regression, and, most recently, common features. NYU has a total of 10 Nobel Prize winners Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel Year Recipient(s) 1969 Ragnar Frisch Jan Tinbergen 1970 Paul A. Samuelson 1971 Simon Kuznets 1972 Sir John R. Hicks Kenneth J. , including both alumni and faculty. Engle received the prize for his research on the concept of autoregressive conditional heteroskedasticity Autoregressive Conditional Heteroskedasticity (ARCH) A nonlinear stochastic process, where the variance is time-varying, and a function of the past variance. ARCH processes have frequency distributions which have high peaks at the mean and fat-tails, much like fractal distributions. (ARCH). He demonstrated that it accurately captures the properties of many time series and developed methods for statistical modeling of time-varying volatility. His ARCH models have become indispensable tools not only for researchers, but also for analysts on financial markets, who use them in asset pricing and in evaluating portfolio risk. Engle has published more than 100 academic papers and three books. His interest in financial econometrics covers equities, interest rates, exchange rates and options. Engle was an assistant professor at Massachusetts Institute of Technology Massachusetts Institute of Technology, at Cambridge; coeducational; chartered 1861, opened 1865 in Boston, moved 1916. It has long been recognized as an outstanding technological institute and its Sloan School of Management has notable programs in business, (MIT MIT - Massachusetts Institute of Technology ) from 1969-74. He moved to the University of California, San Diego UCSD is consistently ranked among the top ten public universities for undergraduate education in the United States by U.S. News & World Report.[3] It is a Public Ivy. [1] For graduate studies, most of UCSD's Ph.D. in 1975, becoming an associate professor and then a full professor in 1977. He was chair of the Department of Economics from 1990 to 1994. He now lectures widely to both academic and practitioner audiences. He is a fellow of both the American Academy of Arts and Sciences and the Econometric Society. Engle received a B.A. in Physics from Williams College in 1964, a masters degree in Physics from Cornell University in 1966, and a Ph.D. in economics from Cornell in 1969. Editor's Note New York University Stern School of Business, located in the heart of Greenwich Village, is one of the nation's premier management education schools and research centers. NYU Stern offers a broad portfolio of academic programs at the graduate and undergraduate levels, all of them informed and enriched by the dynamism, energy and deep resources of the world's business capital. New York University New York University, mainly in New York City; coeducational; chartered 1831, opened 1832 as the Univ. of the City of New York, renamed 1896. It comprises 13 schools and colleges, maintaining 4 main centers (including the Medical Center) in the city, as well as the , which was established in 1831, is one of the largest and most prestigious private research universities in the U.S. It has more international students than any other U.S. college or university. Through its 13 schools and colleges, NYU conducts research and provides education in the arts and sciences, law, medicine, dentistry, education, nursing, business, social work, the cinematic and performing arts, public administration and policy, and continuing studies, among other areas. |
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