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50 Years of FESM with the Nobel Prize Winner

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photo: Andrzej Romański

The Faculty of Economic Sciences and Management of Nicolaus Copernicus University in Toruń celebrates its fiftieth anniversary in 2018. The culmination of the celebrations of the economists' jubilee will be the ceremonies on Monday, June 18, 2018, during which Prof. Robert Franklin Engle, Nobel Prize winner in Economics will be awarded with the degree of the NCU Doctor Honoris Causa.

The ceremony will start at 11:00 in the Aula Main University Hall (address: ul. Gagarina 11 in Toruń). The program includes, inter alia: speeches by the NCU Rector's authorities and the Dean of the Faculty of Economic Sciences and Management, and invited guests, awarding distinctions, and awarding Prof. R. F. Engle with Doctor Honoris Causa degree. Afterwards, Professor Eagle will deliver a lecture, and then there will be a mini-recital of the NCU Academic Choir.

As part of the jubilee celebrations, various accompanying events are planned, including debates devoted to important problems of the Polish and world economy. So far, the "Transformation of the Polish economy", "Education of economists in Poland" and "International capital flows in the form of direct investments with the participation of Poland" have been discussed.

On June 14th at 14:00 at the seat of the Faculty of Economic Sciences and Management a plaque commemorating Prof. dr. hab. Jerzy Tomala, who died in 2017, co-founder of the Faculty of Economics and Management of Nicolaus Copernicus University, vice-rector of the Nicolaus Copernicus University in 1978-1981, deputy dean of the Faculty of Economic Sciences of the Nicolaus Copernicus University in 1969-1972 will be unveiled next to the Auditorium.

On June 15th, the FESM Alumni Reunion will take place.

Two scientific conferences prepared by the Department of Finance Management will be organized to celebrate the 50th Anniversary of the Faculty on 17-19 June. The first one will be the meeting of the Finance Departments 2018, and will be devoted to contemporary finance in the context of socio-economic development. Guests from Germany, Italy, Turkey, Latvia, Thailand and Colombia as well as members of the Monetary Policy Council will participate in it. During the conference, there will be, among others, meetings of the Committee on Finance of the Polish Academy of Sciences and the Polish Association of Finance and Banking.

The other jubilee scientific event is the 6th International Conference on Finance and Accounting for Sustainable Development. The idea behind the project is to create a forum for the exchange of views for representatives of science from domestic and foreign academic centres on the role of sustainable development in the discipline of finance, and its impact on the potential and competitiveness of the economy.

Robert F. Engle is a finance professor in Stern University in New York. In 2003 prof. Engle 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. 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.
Professor Robert F. Engle was born in Syracuse, NY. He received his Bachelor of Science in Physics with Highest Honors from Williams College and his Master of Science in Physics and Doctor of Philosophy in Economics from Cornell University in 1969. Between 1969 and 1975 he worked as an Assistant and Associate Professor at the Massachusetts Institute of Technology (MIT), Cambridge, MA, and then he became an Associate Professor at the University of California, San Diego, CA, to become a full Professor in 1977, where he worked for the next 25 years.
In 2000 prof. Engle moved to the New York University Stern School of Business, where he has been active until today. Since 2009 Robert F. Engle is a Founder and has been a Director of the influential NYU Volatility Institute creating scientific forecast for numerous financial instruments. The result of the Institute’s work is also the NYU Stern Systemic Risk Rankingfor over 1,000 companies. Prof. Engle is also the Co-Founding President of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU, established in 2007. Moreover, since 1987 he has been connected with the National Bureau of Economic Research (NBER).
Professor Engle is an expert in Econometrics, especially in the analysis and modelling of time series observed in financial markets. His article on the ARCH model, published in 1982, triggered the development of a new sub-discipline called Financial Econometrics. Among his achievements there are such innovative research concepts and techniques as: co-integration approach (with C.W.J. Granger), autoregressive conditional duration (ACD), CAViaR as well as dynamic conditional correlation model (DCC). The significance of financial models of the time-series is most visible and applied in the forecasting of financial instruments volatility and in hedging portfolios against risk. The co-integration approach, for which C.W.J. Granger and R.F. Engle were awarded a Noble Prize, in turn, facilitated a considerable advancement of models and forecasts in macroeconomic scale. For his achievements professor Robert F. Engle has been granted prestigious awards and honorary titles many times. Among others, he is an honorary member of American Finance Association, American Academy of Arts and Sciences, American Statistical Association or Econometric Society. He also holds a Doctorate Honoris Causa degree of HEC University in Paris (2005), Université de Savoie in France (2005), University of Southern Switzerland (2003), and his alma mater - Williams College (2007).
Robert F. Engle is one of the most prominent and renowned scientists in the world researching the econometric modelling of financial time-series. His joint paper with C.W.J. Granger entitledCo-integration and Error Correction - Representation, Estimation and Testing published in 1987 reached 8,836 citations in the Web of Science and the article Autoregressive Conditional Heteroscodasticity with Estimates of the Variance of United-Kingdom Inflation published in 1982 reached over 6.5 thousand citations in the same database. His total number of citations from 99 articles amounts to 28,183, which translates into the H index value of 46. According to the Google Scholar database the mentioned papers reached the milestones in citations amounting 34296 and 23708, respectively.
Professor Robert F. Engle’s publications exerted a great impact on the development of econometric models of time-series, which resulted, among others, in the considerable scientific development of the Department of Econometrics and Statistics at Nicolaus Copernicus University in Toruń. This department was chaired by prof. Zygmunt Zieliński in 1983-1999, and was one of the leading centers in dynamic and financial econometrics in Poland.

 

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