The academy said the research is used to gather data for time series, such as chronological observations or for estimating relationships and testing hypotheses in economic theory.
CBS News' George Wood reports time series can show the development of prices, interest rates or gross national product.
Engle, 60, a native of Syracuse, New York, is on faculty at New York University and Granger, 69, a native of Swansea, Wales, is at the University of California at San Diego.
Their findings are important because on financial markets, random fluctuations and volatility can affect share prices and value, along with other financial instruments.
Torsten Persson, chairman of the Economy Prize committee, said Granger's research in cointegration "has completely transformed statistical models with economic time series."
Engle's use of autoregressive conditional heteroskedasticity, or ARCH, is used to measure risk evaluation for investors seeking to evaluate how their assets may perform.
Engle and Granger will share the prize worth $1.3 million. Engle was in France and not immediately reachable and Granger is on sabbatical in New Zealand.
The economics prize is the only award not established in the will of Swedish industrialist Alfred Nobel, the inventor of dynamite. It was established separately in 1968 by the Swedish central bank, but it is grouped with the other awards.
Past awards have recognized research on topics ranging from poverty and famine to how multinational corporations reap profits, and theories on how people choose jobs and the welfare losses caused by environmental catastrophes.
Two Americans — Daniel Kahneman, 68, a U.S. and Israeli citizen based at Princeton University in New Jersey and Vernon L. Smith, 75, of George Mason University in Fairfax, Va. — won last year's prize for pioneering the use of psychological and experimental economics in decision-making to make markets safer.
The medicine, physics, chemistry, literature and peace prizes were first awarded in 1901.
The announcements of this year's Nobel awards started last week with the literature prize going to J.M. Coetzee of South Africa.
On Monday, American Paul C. Lauterbur, and Briton Sir Peter Mansfield were selected for the 2003 Nobel Prize in physiology or medicine for discoveries leading to a technique that reveals images of the body's inner organs.
The physics prize on Tuesday went to Alexei A. Abrikosov, Anthony J. Leggett, and Vitaly L. Ginzburg, for their work concerning two phenomena called superconductivity and superfluidity.
Earlier Wednesday, Americans Peter Agre and Roderick MacKinnon won the Nobel Prize in chemistry for studies of tiny transportation tunnels in cell walls, work that illuminates diseases of the heart, kidneys and nervous system.
The Nobel Peace Prize was to be announced Friday in Oslo, Norway.
The prizes are presented to the winners on Dec. 10, the anniversary of Nobel's death in 1896.