Past Event Announcement: 12/1/2008

 

What Is Happening To Financial Market Volatility And Why?

Surging financial market volatility is set to mark the end of year 2008 with loud roars. During such volatile times, risks rise, but opportunities abound. The $64 question, nevertheless, is how we manage the risks and grasp the opportunities.

NYTFA & FSC are excited to invite you to a special year-end presentation by Prof Robert Engle, the 2003 Nobel Laureate in Economics and Michael Armellino Professor of Finance at NYU. The title of Prof Engle's presentation will (tentatively) be: "What is happening to market volatility and why?"

Don't miss this rare opportunity to meet such a distinguished scholar and professional, and to ponder the answers to the $64 question. Due to security concerns, RSVP is mandatory. If you haven't done so, please email a bio of yous to NYTFA dot mail at gmail dot com.

Date: December 1, 2008 (Mon)

 

Place: Taipei Economic and Cultural Office in New York, 1 E. 42nd Street (corner of 5th Ave & 42nd St)

Agenda:

  • 5:30-6:00pm: Registration
  • 6:00-7:00pm: Prof Robert Engle: "What is happening to financial market volatility and why?"
  • 7:00-8:30pm: Reception

Cost: Free (donation appreciated) 

Speaker: Professor Robert F. Engle

Robert Engle, the Michael Armellino Professor of Finance 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). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.

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, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models.

Before joining NYU Stern in 2000, Professor Engle was Chancellor's Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology.

He received his bachelor of science in physics from Williams College and his master of science in physics and doctor of philosophy in economics from Cornell University. Born in Syracuse, NY, he grew up in Media, Pennsylvania, spent 25 years in San Diego, and now lives in New York.