Bernoulli Lecture - Systemic Risk with Endogenous Cycles
Event details
| Date | 01.06.2017 |
| Hour | 17:15 › 18:15 |
| Speaker | Robert Engle (New York University Stern School of Business) |
| Location | |
| Category | Conferences - Seminars |
Biography
Robert Engle, the Michael Armellino Professor of Management and Financial Services at 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).
Professor Engle is an expert in time series analysis with 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. His research has produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR, and D CC models.
Professor Engle is the Director of the NYU Stern Volatility Institute and a co-founding president of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Before joiningNYU Stern in 2000, he was Chancellor’s Associates Professor and Economics Department Chair at the University of California, San Diego and Associate Professor of Economics at MIT. He is a member of the National Academy of Science.
Academic Background Ph.D., Economics, 1969 Cornell University M.S., Physics, 1966 Cornell University B.A., Physics, 1964 Williams College
Robert Engle, the Michael Armellino Professor of Management and Financial Services at 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).
Professor Engle is an expert in time series analysis with 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. His research has produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR, and D CC models.
Professor Engle is the Director of the NYU Stern Volatility Institute and a co-founding president of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Before joiningNYU Stern in 2000, he was Chancellor’s Associates Professor and Economics Department Chair at the University of California, San Diego and Associate Professor of Economics at MIT. He is a member of the National Academy of Science.
Academic Background Ph.D., Economics, 1969 Cornell University M.S., Physics, 1966 Cornell University B.A., Physics, 1964 Williams College
Links
Practical information
- General public
- Free
Organizer
- CIB-UNIL
Contact
- Valérie Krier