"I'm absolutely delighted and it’s definitely quite a surprise," said Engle on Wednesday from Annecy, France, where he is on sabbatical.
The Royal Swedish Academy of Sciences said on Wednesday Engle and Britain's Clive Granger had won the 2003 Nobel economics prize for inventing models to measure investment risk and study the relationship between simultaneous economic events. Engle and Granger share the $1.3 million prize, which has been awarded since 1969.
"I am obviously very pleased because this is a symbol of how widely the research I have done over the years has been accepted and its impact," said Engle, a professor of economics at New York University's Stern School of Business.
Engle said his award-winning research stems from a paper he wrote in 1982 while at the London School of Economics. His work provides investors with the means of assessing whether certain investments are worth the risk.
"It's had a lot of implications for portfolio analysis and for derivatives and a lot of input on determining what fair value is for an option." Engle said. He has published more than 100 academic papers and three books.
Engle and Granger are not the only Anglo-American team to share a Nobel prize this year.
Britain’s Dr Peter Mansfield and US scientist Paul Lauterbur won the medicine prize on Monday for their discovery, which enables doctors to see the internal organs and other tissues through the use of a strong magnetic field.
Meanwhile, two Russians and a Briton who explained the nature of matter at extremely low temperatures have won the Nobel prize for physics.
Alexei Abrikosov, Vitaly Ginzburg and Anthony Leggett, who were awarded the prize on Tuesday, have been commended for their work on superconductivity, which helped in the development of magnetic imaging scanners.
And the Nobel Prize for chemistry has gone to two Americans who have demonstrated how human cells communicate with each other. Peter Agre and Roderick MacKinnon’s research has provided crucial information, particularly about illnesses affecting the kidneys, heart, muscles and nervous system.
Last week, South African novelist J Maxwell Coetzee won the 2003 Nobel Prize in Literature, a choice hailed by critics who described him as an elusive man but accessible writer, both literary and politically engaged.
A white South African raised in an English-speaking home and writing in English despite his Afrikaans background, Coetzee portrays a desolate vision of his racially divided country with a lean, allegorical style compared with Franz Kafka and Samuel Beckett.
The Nobel prizes, first awarded in 1901, were created in the will of Swedish industrialist Alfred Nobel, inventor of dynamite, who died in 1896.