OT: Former Cornellian wins Nobel Prize in Economics

[min]

See short biography of Robert Engle -- also a Syracuse native-- at the bottom of the page.

http://www.nobel.se/economics/laureates/2003/press.html

[Greg Berge]

Overview of his contribution:

Researchers use data in the form of time series, i.e., chronological sequences of observations, when estimating relationships and testing hypotheses from economic theory. Such time series show the development of GDP, prices, interest rates, stock prices, etc. During the 1980s, this year's Laureates devised new statistical methods for dealing with two key properties of many economic time series: time-varying volatility and nonstationarity.

On financial markets, random fluctuations over time – volatility – are particularly significant because the value of shares, options and other financial instruments depends on their risk. Fluctuations can vary considerably over time; turbulent periods with large fluctuations are followed by calmer periods with small fluctuations. Despite such time-varying volatility, in want of a better alternative, researchers used to work with statistical methods that presuppose constant volatility. Robert Engle's discovery was therefore a major breakthrough. He found that the concept of autoregressive conditional heteroskedasticity (ARCH) accurately captures the properties of many time series and developed methods for statistical modeling of time-varying volatility. His ARCH models have become indispensable tools not only for researchers, but also for analysts on financial markets, who use them in asset pricing and in evaluating portfolio risk.

[Greg Berge]

I was bored: http://members.cox.net/gregberge/cornell/nobel.html

[min]

Wow, very interesting list. Thanks for creating it!
 
1946 was a very good year for Cornell, as people with CU ties were awarded the Nobel Prize in three different subject areas (peace, medicine, and chemistry).

[Jeff Hopkins \'82]

Greg:

It's Roald Hoffman, not Ronald.

JH

[jeh25]

Nice list Greg.

If you are really bored, maybe you could bold the prizes that represent work that was actually done at Cornell?