This seminar is in partnership between Global Risk Institute and Industrial Engineering and Operations Research at Columbia University.
This seminar is also part of the Quantitative Finance Weekly Seminar series with Columbia Business School, NYU Tandon School of Finance and Risk Engineering, NYU Courant Institute of Mathematical Sciences, Bloomberg LP and the International Association of Quantitative Finance (IAQF).
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. 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 joining NYU 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.