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La información presentada a continuación puede contener datos no reales y/o que no concuerden con previas investigaciones basadas en años de búsqueda. El motivo de la creación de este archivo dentro de esta página, es exclusivamente con fines académicos, para cumplir con la asignación de un proyecto en la cátedra de Práctica del Idioma Inglés II (Módulo de Competencias Comunicativas II) para estudiantes del cuarto semestre de la UNIVERSIDAD DE CARABOBO. De esta manera, no pretendemos confundir ni dar información errónea o tergiversada a los usuarios, sólo aspiramos cumplir con los requerimientos necesarios para culminar con éxito esta asignatura. Gracias por su comprensión.

ROBERT F. ENGLE

Both of my parents nurtured my dreams and me. It was an idyllic childhood in many ways. We lived in a large somewhat ancient three-story house on 15 acres in Media, Pennsylvania just outside of Philadelphia. Both of my parents grew up in Philadelphia.

My father, Robert Fry Engle, Jr., was named after his father who owned a lovely large hotel on the Jersey shore called the Engleside. Summers were spent in Beach Haven and school years in Philadelphia. My Dad didn't really like the hotel business and told stories about eating in the kitchen with the staff so that he didn't have to fuss every night with fancy clothes and fancy food. He loved to sail and won many races. We still have silver bowls and dishes from these events. Instead of the hotel business he headed off to Cornell where he earned a Ph.D. in chemistry."Wake up, Robin", a gentle hand shook my shoulder. "Let's go." It was so very early but I loved those mornings when my father would wake me and take me on an adventure. When I was a boy and we were camping, we would leave in the quiet morning hours to enjoy the lake together, and attempt to catch some fish. He was an experienced fisherman and a kindly teacher. While he was in graduate school at Cornell and the nation was still in the aftermath of the Great Depression, he traded fish and hunted meat for room and board. I did love those mornings and their crisp dawns.

My mother says that my father truly enjoyed having a son. My two years younger twin sisters felt that he didn't quite know how to enjoy them. But, I wasn't aware of those things then. So many of my childhood memories involve him. All the excursions into science were shaped by his knowledge and enthusiasm. As a Ph.D. chemist at Dupont, he also had access to many materials. So when my friend, Peter Hotz, and I decided to build and shoot off rockets, my Dad supplied different chemicals and a notebook. With each rocket we built, he would help us construct an explosive recipe. We had to write down the ingredients measuring carefully. He taught us to vary one ingredient at a time and then measure the effects. We recorded everything neatly. By the time he was finished, we had learned the scientific method and we had learned the math of measuring the distance that each rocket traveled. Of course, we also varied the rocket design. It was the way science should be done, passionately and carefully. My mother was the unsung hero. She loved parenting the three of us and was always thinking up creative projects. We still watch the home slide shows she made of us and the neighborhood kids acting out fairy tales. She made the costumes, wrote the plays, and drove us to scenic locations around Philadelphia (the haunted house, the secret garden, etc). We all loved them. Except when I was supposed to kiss my sister, Sleeping Beauty, to awake her from the long sleep. I faked that part.

The Engles were a Quaker (Society of Friends) family who emigrated from Cambridge, England in the 1600's. We assume that they came to escape religious persecution and set up their lives in Pennsylvania with the other Quakers. My great-grandfather, Robert Barkley Engle built the Engleside in 1876. A wonderful history of this has been recounted by John Bailey Lloyd in his book Eighteen Miles of History on Long Beach Island. The hotel was very successful for a time but two things eventually led to its demise. One was the spread of the use of the automobile. Families use to pack up and go to the beach for a month at a time bringing their servants with them. Once the bridges were built and cars became more common (and servants less common), families took shorter vacations bringing fewer people along.

The second factor had to do with my grandmother, Sarah Atkinson. As a strict Quaker, she didn't believe in drinking and insisted that the hotel be dry. This opened up an opportunity for nearby hotels who then benefited from the additional revenue. My father proposed to my mother on one of the round towers of the hotel. My mother said that she thought she was marrying into a rich family with a wonderful hotel. The hotel went bankrupt and was torn down a mere 4 years later. My father never seemed to regret the demise of the hotel. Probably he was relieved to know that he could proceed with his science and not be called in to take over a business that did not interest him. My mother's family had American, French, and Welsh origins. Her father, William Vernon Phillips, immigrated to Philadelphia as a young man with his three brothers and two sisters. They came from Cardiff and worked in the scrap metal business. Vernon had great success. His import and export iron and steel business, F.R. Phillips and Sons was based in Philadelphia and Milan, Italy. He was also President of the Phillips-Laffitte Company and Chairman of the Board of the Perry Buston Doane Company. He served as mayor of his town, president of his country club, and deacon in his church. During World War I he was Chief of the War Industry Board in Washington, D.C. and on the Council of National Defense. After the Great War, he received the Knight of the Crown of Italy from the King. His obituary called him "an eminent statesman and capitalist." He was clearly a busy man!He married Florence Starr, a native of Philadelphia in 1912. They had three children, Billy, Isabel, and Mary whom they nicknamed Murry. In tragic succession, Isabel died of then unknown childhood ailments when she was 7, Billy was killed in an automobile accident when he was 16, and Vernon died of a heart attack in 1931 after the Crash of 1929. Murry and Florence were left on their own. They had to move from their beautiful home to smaller quarters. Murry remembers the sadness and loneliness of this time. One of her favorite memories is of the European tour that she took with her mother when she was 18. The pictures of that trip show a tall, slim beautifully dressed young woman full of charm and grace. She attended Swarthmore College majoring in French and then took numerous postgraduate courses in education at the University of Pennsylvania. Although an Episcopalian, she attended Friends schools throughout her life. When she married Bob Engle, she decided to join him in the Society of Friends and has been active her whole life in the Quaker community. Once her children were older, she started to teach French at Media Friends School and eventually became its head. She sheparded the school through the addition of a junior and senior high school and a building campaign. She remained on its board for many years contributing both expertise and funds for new buildings and programs.After she and my father married in 1939, they moved to Syracuse. I was born there on November 10, 1942 and soon after we moved back to the Philadelphia area in Swarthmore. These were happy times. I was named Robert Fry Engle III after my father and grandfather. Small Fry for short! They also had a favorite Springer spaniel named Dukie. My father had taken up ice dancing and there are pictures of my parents skating on ponds and at the Philadelphia Skating Club and Humane Society. They would hook up a record player to a car battery and play music while they skated outdoors.Two years later, in December 1944, my twin sisters, Patricia Lee (Patty) and Sally Starr were born. It was a shock to have three children. Grandmother Florence Starr (nicknamed Twinkle) helped by taking me over to her apartment where I had a wonderful time visiting the giant steam engine trains and learning card games. In 1947, our family moved a few miles away to a big, old house in Media that the Engles called home until my mother sold the house following my father's death in 1983.I graduated as Valedictorian of Penncrest High School in 1960. Ours was the second graduating class of the newly built school. There are some things that I said in my valedictory address that I still believe.

I talked about the need for science to be both relevant and sensitive to the needs of humanity and I emphasized the importance of a balanced life. I am still happiest when I can do research that others can apply widely and when my days have some time for ice dancing or skiing, cultural activities, traveling, and being with my wife and children.My four years at Williams College were filled with fun, growing up, and more science. I decided to call myself "Rob" as it was more masculine and mature. I still use this today. I majored in Physics, joined the Beta Theta Pi fraternity, and played more lacrosse. In my sophomore year, I was named to the All American Team as a lacrosse goalie, which was quite a thrill. By senior year I was nominated to Phi Beta Kappa. Another delight was roaming all over the countryside going to the women's colleges looking for dates and parties on the weekends! I seemed to have one close girlfriend each year. Some of my best friends were made in the fraternity house although tragically, two of them, Stan Allen and Dave Kershaw, died young. They would have hooted with pleasure over the Nobel honor. I worked in Professor Watt Webb's lab doing low temperature physics and studied quantum mechanics from Nobel Laureate Hans Bethe. Watt Webb was a great advisor with lots of insight and creativity and the study of super-conductivity was certainly exciting. However by mid-year, I realized that I did not want to spend the rest of my life as a physicist. Physics wasn't what I expected, or maybe, what I expected was what I realized I did not want anymore. Working in the bowels of a building on projects that interested very few people in the world held less interest for me.

After agonizing over these feelings and talking to my friends, I approached Alfred Kahn, chairman of the Economics department at Cornell. I asked if his department would be interested in considering me for their Ph.D. program. Serendipitously, he said that an NDEA fellowship had just become available because the intended recipient had turned it down. He offered it to me but said that I needed to make an immediate decision or they would offer it to someone else. My head spinning, I accepted the offer. Now, I had to tell my father and Professor Webb. Both were supportive but with heavy hearts. My father had trained me to be a scientist and now I was leaving for one of those "soft" science fields. At that point, neither he nor I realized how important all that scientific training would be in my contributions to economics. I loved economics. I attacked it with an energy that I had lost. I took undergraduate classes to make up my deficits in knowledge while I finished my Masters in Physics on using nuclear magnetic resonance to study the performance of a high temperature-superconducting magnet.

Intriguingly, both superconductivity and NMR, now named MRI, were awarded Nobel prizes this year! In fact the superconductivity lab next to Webb's had been honored by the prize in 1996 and they were in the audience this year.As I began the graduate program, my new advisor, Ta Chung Liu, was in Taiwan working with Chiang Kai Shek on their economic development plan. I took courses in Econometrics from Berndt Stigum where we read Malinvaud in its new English edition, and with John Fei who introduced me to modern microeconomics. My knowledge of math and statistics was put to use instantly. I took Kiefer's probability and Wolfowitz's statistics. I was extremely happy. The years spent in graduate school passed quickly. A few summers were spent in Washington, D.C. at the Bureau of the Budget doing program budgeting. I worked for John Deutsch who later became CIA director. It was there that I first tried to solve a cost benefit problem for public transportation. I recognized that land use was endogenous in the long run and this was critical for the analysis. This was my introduction to urban economics. I met John Kain and Charles Schultz. As the years passed, my work became more focused on time series econometrics. Ta Chung suggested that I try to theoretically analyze the relationship between the different time scales for economic modeling. I was able to use some of my physics skills by formulating the problem in the frequency domain and applying Clive Granger's "typical spectral shape" for an economic time series.

This was my first introduction to his work with Joe Mezrich and Eric Sorensen was to incorporate the GARCH model into a series of client oriented trading systems. Volatility forecasts and trading strategies were proposed based on innovative models. Advanced software developed by Pat Burns and Aslihan Salih, was used to structure client and proprietary portfolio strategies. I learned a great deal from this experience and made many contacts throughout the financial world.I was asked to serve on the steering committee of a Zurich Financial Services company, Olsen and Associates, who were doing path breaking work on the analysis of very high frequency financial data.

They were partly data vendors who delivered tick by tick currency and other data to a collection of European clients, and partly model builders. Richard Olsen and Michel Dacarogna proposed joint academic/practitioner conferences on the use of these data. In the first high frequency data conference, the same data set was analyzed by statisticians, economists, physicists, financial practitioners, and traders. The comparison was fascinating and highly informative.This research leads naturally to an interest in timing of trades to achieve good execution. Several years later, a group at Morgan Stanley headed by Robert Ferstenberg and Rohit d'Soza approached me and I have spent many interesting days with them developing a microstructure approach to optimizing and evaluating trades. We have become good friends as we push this frontier between theory and practice. New York was a very exciting place to visit when I was consulting for Salomon. Now that Lindsey and Jordan were both on their own, I convinced Marianne to spend the fall semester of 1999 visiting NYU in the finance department. I knew many people there.

My sister, Patty, had also moved there to work as the child development officer for UNICEF. Joel Hasbrouck was the leading microstructure econometrician; Steve Figlewski, who was a student of mine many years ago at MIT, was a leading empirical options researcher, and my recent student Josh Rosenberg was there. The semester was too short. I saw the financial markets at work and got to know more finance faculty. We ate well and played hard. When NYU offered me a permanent position, I took it and we moved in September 2000. I thought we would stay for only a year, but even that was not enough. Eventually I retired from UCSD, becoming an emeritus professor. We maintain close ties with San Diego as we have a house there where we spend summers and have lots of friends. UCSD has kept my office and I still see a few students.Since I have been in New York, my work has actually moved back to volatility models, but in large multivariate systems. The extension of ARCH models from univariate processes to multivariate processes began in the early 1980's. Ken Kroner and I introduced one new family, he and Victor Ng introduced another and Tim Bollerslev introduced a third. However, there have not yet been many empirical applications of these models. This is because they are difficult to specify, estimate and interpret. In a new general class of models called Dynamic Conditional Correlation or DCC models, I have developed a potential solution.

This class is parsimonious and appears to give satisfactory performance for both small and large systems. In a series of lectures at Erasmus University in May 2003, this model was fully described and these lectures will soon appear as a Princeton University Press monograph.To evaluate alternative covariance matrices, I have developed a loss function with Riccardo Colacito, based on the effectiveness for asset allocation. The same model can be applied to Credit Risk as the correlation between defaults is determined by the dynamic structure of the covariance matrix and the tail properties of the model. New high frequency volatility models have come out of research with Giampiero Gallo and models for the volatility of volatility have been developed with Isao Ishida. The new and interesting research topics that have opened up since I have been in New York are a constant source of stimulation.

While professional interests have always been important in my life, so have my family and my hobbies. Marianne and I have had a wonderful busy time raising Lindsey and Jordan. We stay as close as we can to them and over the years they have traveled with us all over the world. Lindsey was always a fine student and devoted ballerina. Her warm, friendly personality and her strong determination have led to much success for her and a good time for us. She has been a wonderful sister to her younger brother. When she was a baby, she would come to my office one day a week and sleep on a mat behind a chair to take her nap. She would come to lunch with Clive and the other economists. Unfortunately, all that good input didn't lead to a career in economics! She graduated from Princeton Cum Laude in anthropology and has now finished a Ph.D. in developmental psychology at UCLA. In May, 2003, she married Justin Richland, JD, a legal anthropologist from Los Angeles, also finishing his Ph.D. They both hope to have careers in academia.Jordan is the outgoing charmer.

He is a wonderful athlete, excellent soccer player, and has a probing mind. He graduated from Williams College in English literature with a certificate in theater and is now in Los Angeles working as an actor and cinematographer. During his college years, he spent 2 semesters at the University of Cape Town, South Africa. He was very affected by the country and its people. Our trip with him to Botswana was a highlight for us. Jordan can talk to anyone comfortably and learn about them. He is also an excellent writer. His career path will be an interesting one. As a brother and a son, he is a pleasure for all of us. He has had lots of girlfriends and was especially sorry that the Swedish princesses did not seem interested in him!!My sisters Sally and Patty have also had very successful careers and I am so proud of them. It is remarkable how many parallels there are among us. I guess it must be something about either genetics or our upbringing. Sally received her Ph.D. in anthropology and has been teaching at Wellesley for 30 years. She developed an interest in the relation between legal systems and cultural systems. This lead to books on Urban Danger in Boston, the ways of Getting Justice and Getting Even in and outside the Massachusetts court system, law, culture and the U.S. colonization in Hawaii, human rights and the U.N. and lots of papers with sharp insights into modern society. She was president of the Law and Society Association and a regular visitor at the American Bar Foundation. She is now being courted by NYU and the University of Pennsylvania. Maybe there will be another Engle in New York.Patty received her Ph.D. in psychology at Stanford and has spent a career studying cross cultural child development focusing often on the role of nutrition. She has been involved in projects in Guatemala, Nicaragua, Peru, Uganda, India, and many other places. Her academic publications describe many of these research settings; her students and colleagues at her long time university, California State University at San Louis Obisbo, were able to hear about these first hand. Her current position as Senior Advisor for Child Development at UNICEF in New York gives her scope to pursue the goal of child health from a broad perspective. She has become a vocal advocate for global children as she works to improve the quality of life in so many different cultures.A stable, happy home life is good for all of us and allows us each to focus on our careers knowing that when we are back together, there is more to share.

As a family we love food, wine, music, opera, art, theater, traveling, hiking, fishing, and watching sports. Separately we have our individual career paths and our hobbies. It makes for a rich interaction. I still ice skate 2-3 times a week. I enjoy skating with Wendy Buchi when I am in La Jolla. Marianne is learning to play golf. Lindsey runs with her dogs, Jordan finds soccer games and surfs when he can.The Nobel Prize in Economics is an incredible recognition for the work that my students, colleagues and I have done over the years. We all worked hard but we were also lucky that the financial applications were so important. It continues to amaze me how far this simple idea has traveled.

I am starting a Financial Econometrics Research Center at NYU to foster the continuing development of this field.As I look back over my career, this Prize is the high point. I find myself reflecting with great affection on smaller, perhaps less dramatic, moments. These are moments of insight; moments that started a new research topic or recognized a connection between things previously thought to be distinct. These are also moments of family time - wonderful moments with Lindsey and Jordan, sharing ideas, eating, hiking, skiing and yes, even fishing - and moments with my lifelong companion and soul-mate, Marianne. It has been already a lengthy and varied career but I think I am only part way through it. There are many exciting adventures in our future and I am looking forward to ever so many special moments more.

LadySea