Engle

Nobel economics laureate Robert F. Engle, M.S. ’66, Ph.D. ’69, will give a sesquicentennial lecture, “The Prospects for Global Financial Stability,” Oct. 24 at 4:30 p.m. in Ives Hall, Room 305.

“Rob’s contributions to economics are absolutely groundbreaking, and we are very excited about hearing his thoughts on financial stability,” says Kevin Hallock, the Donald C. Opatrny ’74 Chair of the Department of Economics and the Joseph R. Rich ’80 Professor.

The talk will be in honor of Engle’s late adviser, Ta-Chung Liu, Ph.D. ’40, who chaired the economics department while Engle was a student. “We are delighted that Rob Engle could come back to Cornell to honor the memory of Ta-Chung Liu, one of Rob’s teachers,” said Hallock.

Like Engle, Liu, earned his Ph.D. at Cornell in economics. He was a specialist in econometric models and methods, national economic policy, international trade and international monetary issues.

Engle, the Michael Armellino Professor of Finance at New York University’s Stern School of Business, received the 2003 Nobel Prize in economics for methods of analyzing economic time series with time-varying volatility. He is director of the NYU Stern Volatility Institute and is co-founding president of the Society for Financial Econometrics, a global nonprofit organization.

An expert in time series analysis, Engle has a long-standing interest in the analysis of financial markets. His ARCH model and its generalizations 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. His research has also produced innovative statistical methods such as co-integration, common features, autoregressive conditional duration, CAViaR and dynamic conditional correlation models.

Linda B. Glaser is a staff writer for the College of Arts and Sciences.