Faculty

Institution

Unit

Venue

Robert F. Engle

Professor Emeritus of Finance Professor

New York University

Affiliations

Leonard N. Stern School of Business

Technology, Operations, and Statistics

Robert F. Engle is currently serving as a Leonard N. Stern School Of Business Professor Emeritus of Finance Professor at New York University.

Honors

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Experiences

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Education

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Robert F. Engle

New York University

Professor Emeritus of Finance Professor

You can click a keyword to filter the displayed items

finance economics financial economics econometrics empirical finance statistics forecasting asset pricing economic modelling volatility modeling financial econometrics economic analysis international finance time series mathematical finance risk management social sciences economic dynamics financial time series analysis statistical methodology social science research economic research finance research option pricing financial studies financial stability econometric models international financial markets financial risk management regional economics market microstructure economic forecasting global finance high-frequency financial econometrics econometric methods computational statistics theoretical economics demand forecasting economic geography trading model energy forecasting multivariate analysis derivative pricing spatial economics foreign exchange markets term structure model estimation theory climate risk liquidity error correction latent variable models news analytics term structure common features behavioral finance sustainable finance testing technique dynamic conditional correlations stock returns dynamic conditional beta cross section conditional capm dynamic conditional correlation bayesian analysis scientific computing econodynamics matrix analysis high-dimensional method long memory property stock market returns time-varying covariances arch-m model conditional variances co-integrated systems seasonal integration applied econometrics high frequency trading exchange rates international money

Notable Scholarly Works

Notable Federal Grants

Collaborators

CRISK: Measuring the Climate Risk Exposure of the Financial System. Journal of Financial Economics (2025)

finance researchfinanceclimate riskfinancial risk managementaccountingclimate financerisk managementclimate risk exposuresustainable financefinancial stabilityfinancial analysis

Modelling Volatility Cycles: The Mf2‐Garch Model. Journal of Applied Econometrics (2025)

financefinancial time series analysisfinancial economicseconomic modellingvolatility modelingvolatility cyclesasset pricing

Multiplicative Factor Model for Volatility. Journal of Econometrics (2025)

applied mathematicsstatistical modelshigh-frequency financial econometricsmultiplicative factor modeleconomic modellingvolatility modelingmathematical financemathematicsasset pricing

Estimating Systemic Risk for Non-Listed Euro-Area Banks. Journal of Financial Stability (2024)

systemic riskfinancial intermediationfinancefinancial risk managementinternational financefinancial network analysisfinancial stabilityinternational financial markets

Estimating Systemic Risk for Non-Listed Euro-Area Banks. Journal of Financial Stability (2024)

Robert F. EngleTina EmambakhshSimone ManganelliLaura ParisiRiccardo Pizzeghello

systemic risksocial science researchfinanceinternational financeempirical financesocial sciencesnon-listed euro-area banks

Factor-Mimicking Portfolios for Climate Risk. Financial Analysts Journal (2024)

Gianluca De NardRobert F. EngleBryan Kelly

investment managementfinanceclimate riskfactor-mimicking portfoliosrisk managementfinancial analysis

Factor Modeling for Volatility. (2024)

applied mathematicsstatistical modelsstatistical methodologyvolatility modelinglatent modelingmodeling and simulationstatistics

Why Did Bank Stocks Crash During Covid-19?. Review of Financial Studies (2024)

Viral V AcharyaRobert EngleMaximilian JagerSascha Steffen

covid-19financial crisisfinancebank stocksempirical finance

Climate Stress Testing. Annual Review of Financial Economics (2023)

Viral V. AcharyaRichard BernerRobert EngleHyeyoon JungJohannes StroebelXuran ZengYihao Zhao

financefinancial economicsempirical financeeconomics

Estimating Srisk for Latin America. SSRN Electronic Journal (2023)

Robert F. EngleHyeyoon Jung

latin americaeconomicssocial science researchsocial sciences

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Robert F. Engle

Professor Emeritus of Finance Professor

New York University

Affiliations

Leonard N. Stern School of Business

Technology, Operations, and Statistics

Robert F. Engle is currently serving as a Leonard N. Stern School Of Business Professor Emeritus of Finance Professor at New York University.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

Robert F. Engle

New York University

Professor Emeritus of Finance Professor

You can click a keyword to filter the displayed items

Notable Scholarly Works

Notable Federal Grants

Collaborators

CRISK: Measuring the Climate Risk Exposure of the Financial System. Journal of Financial Economics (2025)

finance researchfinanceclimate riskfinancial risk managementaccountingclimate financerisk managementclimate risk exposuresustainable financefinancial stabilityfinancial analysis

Modelling Volatility Cycles: The Mf2‐Garch Model. Journal of Applied Econometrics (2025)

financefinancial time series analysisfinancial economicseconomic modellingvolatility modelingvolatility cyclesasset pricing

Multiplicative Factor Model for Volatility. Journal of Econometrics (2025)

applied mathematicsstatistical modelshigh-frequency financial econometricsmultiplicative factor modeleconomic modellingvolatility modelingmathematical financemathematicsasset pricing

Estimating Systemic Risk for Non-Listed Euro-Area Banks. Journal of Financial Stability (2024)

systemic riskfinancial intermediationfinancefinancial risk managementinternational financefinancial network analysisfinancial stabilityinternational financial markets

Estimating Systemic Risk for Non-Listed Euro-Area Banks. Journal of Financial Stability (2024)

Robert F. EngleTina EmambakhshSimone ManganelliLaura ParisiRiccardo Pizzeghello

systemic risksocial science researchfinanceinternational financeempirical financesocial sciencesnon-listed euro-area banks

Factor-Mimicking Portfolios for Climate Risk. Financial Analysts Journal (2024)

Gianluca De NardRobert F. EngleBryan Kelly

investment managementfinanceclimate riskfactor-mimicking portfoliosrisk managementfinancial analysis

Factor Modeling for Volatility. (2024)

applied mathematicsstatistical modelsstatistical methodologyvolatility modelinglatent modelingmodeling and simulationstatistics

Why Did Bank Stocks Crash During Covid-19?. Review of Financial Studies (2024)

Viral V AcharyaRobert EngleMaximilian JagerSascha Steffen

covid-19financial crisisfinancebank stocksempirical finance

Climate Stress Testing. Annual Review of Financial Economics (2023)

Viral V. AcharyaRichard BernerRobert EngleHyeyoon JungJohannes StroebelXuran ZengYihao Zhao

financefinancial economicsempirical financeeconomics

Estimating Srisk for Latin America. SSRN Electronic Journal (2023)

Robert F. EngleHyeyoon Jung

latin americaeconomicssocial science researchsocial sciences

1
2
3
4
5
41
10 / page

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Similar Faculty Members

Marti G. Subrahmanyam

Institution

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cost of capital

asset pricing

Thomas J. Sargent

Institution

New York University

economic indicators

global finance

Clifford M. Hurvich

Institution

New York University

econometrics

time series

Ruey S. Tsay

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statistics

time series

Darrell Duffie

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financial system

financial stability

Allan Timmermann

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Chester Spatt

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