The newly announced winner of the 2003 Nobel prize in economics is to speak at LSE next Monday (20 October).
Professor Robert Engle, from New York University's Stern School of Business, will give a workshop on Dynamic Conditional Correlation - Some New Results.
This Special Capital Markets workshop has been organised by LSE's Financial Markets Group. Professor Engle was a visiting professor at LSE in the 1970s and has been a frequent visitor and speaker at Financial Markets Group events since then.
Professor Engle was named as winner of this year's Nobel prize earlier this month, alongside Clive Granger.
He was cited for his methods of analysing economic time series with time-varying volatility, a discovery which was a major breakthrough. He found that the concept of autoregressive conditional heteroskedasticity (ARCH) accurately captures the properties of many time series, and then developed methods for statistical modelling of time-varying volatility. His ARCH models have become indispensable tools not only for researchers, but also for analysts on financial markets, who use them in asset pricing and in evaluating portfolio risk.
The workshop, Dynamic Conditional Correlation - Some New Results, takes place at 5.15pm in the New Theatre, East Building, Houghton Street, London WC2A. It is free and open to all, first come, first served. For more information, please contact Nicola Gambrill on 020 7955 6301.
A limited number of press seats will be reserved at the event. Please contact Jess Winterstein, LSE Press Office, on 020 7955 7060 or email email@example.com to book one of these.
Notes for editors:
Robert F Engle is the Michael R Armellino Professor of the Management of Financial Services at NYU's Stern School of Business, Department of Finance. He is a member of the American Academy of Arts and Sciences and a fellow of the Econometric Society and of the American Statistical Association. He has recently given the invited Fisher-Schultz lecture, the William Phillips lecture, the Pareto lecture, the Frank Paish lecture, the Journal of Applied Econometrics Lectures and the first Econometric Institute/Princeton University Press Lectures at Erasmus University.
His research has introduced some of the most influential concepts in modern econometrics - ARCH/GARCH models, Cointegration, Weak Exogeneity, Band Spectrum Regression, Common Features, Autoregressive Conditional Duration (ACD), the CAViaR Model and most recently Dynamic Conditional Correlation. In well over 100 academic journal articles and four books, he has applied these methods to analyse equities, options, currencies, and interest rates and market microstructure. He is a frequent speaker and consultant for financial institutions. He holds a PhD in Economics and an MS in Physics from Cornell University. He was at the University of California, San Diago (UCSD), from 1975-2001 and was named Chancellor's Associates Professor of Economics. Before UCSD, he was associate professor of economics at Massachusetts Institute of Technology.
For details on his Nobel prize, see
15 October 2003