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Nobel Laureate to Speak Friday


Nobel Laureate to Speak at UCR on Friday, May 11

Economist Robert Engle will discuss "Global Financial Volatility" in the Chancellor's Distinguished Lecture Series event.

(May 4, 2007)

Robert EngleEnlarge

Robert Engle

Nobel Laureate and economist Robert Engle will discuss “Global Financial Volatility” in the Chancellor’s Distinguished Lecture Series on Friday, May 11, at 8 p.m. in room 1500 Life Sciences.

A UCR faculty panel will respond to his lecture. Faculty panelists are Gloria Gonzalez-Rivera, professor and chair of the Department of Economics; Keh-Shin Lii, professor of statistics and statistician, and Donald Siegel, professor of entrepreneurship and associate dean for graduate studies.

Engle, the Michael Armelino Professor of Finance at the New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He shared the prize with Clive W. J. Granger of UC San Diego.

The ARCH method for statistical modeling of time-varying volatility and its generalizations have become important tools for researchers and analysts of financial markets, who use them in asset pricing and evaluating portfolio risk.

Engle is developing methods to analyze large systems of assets, real-time volatility, market microstructure and extreme market movements. He has published more than 100 academic papers and authored four books. His articles have appeared in numerous publications such as Econometrica, Journal of Business and Economic Statistics and American Economic Review.

Engle was an associate professor at the Massachusetts Institute of Technology and Chancellor’s Associates Professor and Economics Department Chair at UC San Diego before joining NYU in 2000.

He received his B.S. degree in physics from Williams College, and his M.S. in physics and Ph.D. in economics from Cornell University.

Parking for the event is free. Reservations for the lecture and reception afterward are due May 4 and may be made by sending an e-mail to evelyn.starr@ucr.edu or calling 951-827-3144.

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