Robert F. Engle and Clive W.J. Granger won the Nobel Memorial Prize for their work on analyzing economic time series, according to a press release from the Royal Swedish Academy of Sciences.
Mr. Engle, an economics professor at New York University's Stern School of Business, developed models for analyzing volatility over time. A press release from the academy said Mr. Engle's 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."
Mr. Granger, an economics professor at the University of California at San Diego, developed methods for evaluating economic situations in which short-term dynamics are affected by large, random disturbances, and long-term dynamics are restricted by economic relationships. "Examples include the relations between wealth and consumption, exchange rates and price levels, and short- and long-term interest rates," the press release said.
Neither recipient was available for comment.