Robert F. Engle III and Clive Granger Shared 2003 Nobel Prize for Measuring Investment Risk and Tracking Economic Trends

Research Associate Robert F. Engle III and Clive W. J. Granger were awarded the 2003 Nobel Memorial Prize in Economic Sciences for their development of statistical techniques used to measure investment risk and track economic trends. 

The Royal Swedish Academy of Sciences said Engle had created "methods of analyzing economic time series with time-varying volatility" that have “become essential tools of arbitrage pricing theory and practice,” and that Granger had devised "methods of analyzing economic time series with common trends" that can be used to, for example, analyze the relations between wealth and consumption or exchange rates and price levels.

Engle became an NBER affiliate and member of the program on Asset Pricing in 1987. At the time of the Nobel award, he was the Michael Armellino Professor in the Management of Financial Services at New York University’s Stern School of Business. Granger was a professor of economics at the University of California, San Diego. 

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