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Robert F. Engle

Robert F. Engle
Doğum10 Kasım 1942 (82 yaşında)
Syracuse, New York, ABD
MilliyetABD
Mezun olduğu okul(lar)Cornell Üniversitesi (Doktora 1969)
Williams College(B.S. 1964)
ÖdüllerNobel Ekonomi Ödülü (2003)
Kariyeri
DalıEkonometri
Çalıştığı kurumlarNew York Üniversitesi (2000- )
California Üniversitesi, San Diego (1975-2003)
Massachusetts Teknoloji Enstitüsü (1969-75)

Robert Fry Engle III (d. 10 Kasım 1942, Syracuse-New York). Amerikalı ekonomisttir.

Yaşamı

Oynaklığı zamana bağlı olarak değişen ekonomik zaman serilerinin modellenmesi metodunu (ARCH) geliştirmesi sebebiyle, 2003 yılında Clive Granger ile birlikte Nobel Ekonomi Ödülünü, paylaşan ekonomisttir.

Williams Koleji'nden fizik derecesiyle mezun olmuştur. Doktorasını 1969 yılında Cornell Üniversitesi'nde tamamlamıştır. Hâlen New York Üniversitesi'nde ders vermeye devam etmektedir.

Çalışmaları

Engle'ın en önemli bilimsel katkısı finansal piyasa fiyatlarının ve faiz hadlerinin öngörülemeyen hareketliklerini analiz etmek için bir yöntem bulmasıdır. Rizikoyo nicelendirmek ve etkin kontrol altında yönetmek için bu çok oynaklık, yani volatılite, gösteren hareketliliklerin kesin olarak karaterize edilmesi ve öngörülmesi için gereklidir. Daha önceki araştırmacılara ya sabit volatılite bulunduğunu kabul etmişler veya bu süreci gayet basit ve yaklaşık bir şekilde modellemişlerdir. Engle, hisse senedi fiyatlarının ve diğer finansal değişkenlerin yüksek oynaklık devirleri ile düşük oynaklık devirleri arasında hareket etmeleri eğilimlerini yaklayıp inceleyebilen yeni istatistiksel oynaklık modeli, (otoregresif koşullu değişen varyans (ARCH) modeli), geliştirdi. Bu istatistiksel modeller modern "arbitraj fiyatlandırma teorisi" ve kullanılma metotları için elzem olan pratik aletler haline gelmişlerdir.

Robert F.Engle, Eric Ghysels ile birlikte "Finansal Ekonometri Derneği (Society for Financial Econometrics)" kurucularındandır.[1]

Önemli çalışmaları

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

Dipnotlar

  1. ^ "Bknz. Webistesi". 17 Kasım 2012 tarihinde kaynağından arşivlendi. Erişim tarihi: 4 Eylül 2010. 


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