Robert F. Engle

Education:
PhD Economics Cornell University 1969
MS Physics Cornell University 1966
BS Williams College, 1964, with Highest Honors in Physics

Research Interests:
Econometrics
Empirical Market Microstructure

Business Experience:
Principal Robert F. Engle Econometric Services

Recent Publications:
"Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing," (with Zhuanxin Ding), Academia Economic Papers June 2001.
"Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models," forthcoming, Journal of Business and Economic Statistics
"Impacts of Trades in an Error-Correction Model of Quote Prices," (with Andrew Patton), forthcoming, Journal of Financial Markets
"Empirical Pricing Kernels," (with Joshua Rosenberg), Journal of Financial Economics, June 2002.
"What Good is a Volatility Model?," (with Andrew Patton), Quantitative Finance, March 2001.
"GARCH 101," forthcoming, Journal of Economic Perspectives
"Financial Econometrics - A New Discipline With New Methods," Journal of Econometrics, 2001.
"Testing the Volatility Term Structure Using Option Hedging Criteria," (with Joshua Rosenberg), Journal of Derivatives, 2000.
"Predicting VNET: A Model of the Dynamics of Market Depth," (with Joe Lange), Journal of Financial Markets, 2001.
"Time and the Price Impact of a Trade," (with Alfonso Dufour), The Journal of Finance, 2000.