I am clearly not the best blogger since I have not written for over a year. What a year it has been. When Rob won the Prize, he had to define volatility and risk to most people who were interested in what his formulas were good for. Now, we all know about volatility and risk. The ground has shaken (physically for Haiti and economically for the world) and now, hopefully, the very worst is behind us. In the meantime, Rob has a new Volatility Institute (www.stern.nyu.edu/volatility) and a Volatility Laboratory http://vlab.stern.nyu.edu/ with daily updates on volatility on a slew of things (indexes, stocks, countries, etc) and has appeared many places to talk about systemic risk. He chaired a committee for the National Academy of Science on the topic and will testify before the Banking Committee in the US Senate this week. He and twenty NYU Stern colleagues have published a book, Restoring Financial Stability: How to Repair a Failed System, on the crisis (edited by Matt Richardson and Viral Acharya) that seems to have had great impact on policy. It's amazing to see how much there is to learn quickly to attempt to apply what you know to what is happening. Only the world economy is at stake, after all.
On the personal side, we have a new grandchild, Graham Emory Richland, now 1 week old!! His older brother, Silas, is adorably thrilled to have a baby brother. His face just melts when he looks at him. We do too.
Well, and I guess sadly, the optimism of the spring has turned into the
downturn of the fall. Volatility is everywhere and Rob is constantly
busy working with new data. It's a disturbing, frightening, and
worrying moment in our world with also incredible opportunities to
study, write and lecture. Rob has been interviewed on every news
outlet and we just returned from the meeting of the committee on
Systemic Risk at the World Economic Forum Global Agenda meeting in
Dubai. Sheik Mohammed, Prime Minister, was just furious about what he
sees as the failures and excesses of the banks and their effect on his
economic outlook. Let's hope that the unfolding pain is short.
On the brighter side, children continue to grow, people to live and love, and our grandchild to delight.
Conde Nast's May Portfolio Magazine lauched it's Brilliant Edition with names of folks they think are the ones to watch in the finance industry. Our guy was named and pictured as one of the most influential professors. Check it out at http://www.portfolio.com/executives/features/2008/04/14/Brilliant-Professors
Guess my mother was right. I should marry someone at least as smart as I am!
Well, what a whirlwind of economic happenings over the past few months. From the CDO subprime crisis to the downfall of Bear Stearns to the crawl back, there has been lots of news and lots of volatility. So, Rob is in his element! We were in Italy at the Villa d'Este for a conference sponsored by Confcommercio (Italian Chamber of Commerce) when the Bear Stearns news broke . Rob was besieged by the print and TV press and appeared everywhere. We hadn't told our friends, the Gallos, that we were planning a quick trip to Italy, but they found out when they saw Rob on the evening news!
During a lovely lunch in Annecy with the CEO of Credit Agricole, Rob predicted that the bottom would be over about 6 months. So far, so good.
CNBC and the BBC have capitalized on the Nobel guys by having three of them ( Joe Stiglitz and Ned Phelps too) comment on the present and future. Joe, the perennial pessimist, Ned, the middle guy, and Rob, painted as the optimist. The CNBC video is blissfully short and the BBC is more in depth.
Where's the Economy Going? Nobel Winners Weigh In
CNBC's " " hosted a meeting of the minds this morning: Past
shared their insight on the future of the markets.
Just in case you were wondering what this Nobel Prize was given for, and just in case you haven't listened to the Nobel lecture (or were afraid you wouldn't understand it), the Financial Times has come out with a 5 day, 5 minute per day set of lectures by Rob on Volatility. They are really nicely done and fun too. Also, check out the ice dancing...
I have put off writing this post for probably a year because every time we come back from another amazing trip, I think that there is another one coming up so I should wait. While I have been waiting we have been having a fabulous time on many continents at many venues. For instance, in the last seven months we have taken our kids skiing in Switzerland then left them there to go to Prague, Budapest, and Presov, Slovakia where I was born. The mayor of Presov wanted to meet us and then asked Rob what to do with their local economy! A month later we went to the Cala di Volpe resort in Sardinia as the guests of the University of Sassari's Olbia campus. They named their Aula Magna after Rob in a lovely ceremony where Rob deftly handled the provocative Italian press. Then we went to Venice to stay at the Danieli with it's incredible view of the Grand Canal (thanks to Giampierro and Domenico). Rob took a trip to London in August and then in late Auguest we went to Copenhagen, Zurich, and back to Annecy. In nearby Chambery, Rob was given an honorary doctorate (honoris causis) at the University of Savoie at a lovely ceremony full of red robes and white fur shoulder stoles followed by foie gras and champagne. The US Embassy had a representative there too saying that the French didn't often honor Americans! Because we were in Annecy for the phone call and we own an apartment there, the French do claim us a touch.
After the summer in La Jolla we are back in New York. The next trip is November to Taiwan, Japan, and China. Next year we already have lined up Spain, Hong Kong, Paris, and I can't remember the rest!
Is this great or what! I'll post pictures as soon as I get them organized.
Now that Finn Kydland and Ed Prescott have been presented with their 2004 Nobel Prizes in Economics, Rob has been heard to say that he has gone from being a "lame duck laureate" to "last year's laureate"! So one year plus one week (or so) has passed since that glorious week in Stockholm. And?
And it still feels like magical fairy dust is sprinkling everywhere. Invitations keep pouring in. We have been travelling to many wonderful spots, trying to choose those who truly seem interested in Rob, not just having another Nobel notch on their belts.
One of the best perks is that the NY Philharmonic saw fit to upgrade our seats to 12th row center! The Met bettered our view too.
One thing I've noticed is that Rob is working on new research projects at an amazing rate. He has research assistants from Finance and Economics at NYU Stern and also one from UCSD. He now has a Morgan Stanley Research Fellow in Financial Econometrics at his new Center for Financial Econometrics and he manages to keep all of them busy. Some folks have asked him why he doesn't stop working now that he's won. He is amused by their query since he feels more excited than ever.
We were invited to a dinner at the Swedish Consulate on December 10 to celebrate Alfred. Rod McKinnon (2003 winner in Chemistry) was there and he seems just as invigorated by the Prize and the year. In contrast, his co-winner, Peter Agre, said he was exhausted. Last year he set a goal to inspire youth to care about science--seems to have tuckered him right out! Hopefully, he'll get a little respite.
So where have we gone? Many European cities, Lugano, Florence, Paris, Madrid, Maastricht, Berne, London...some Asian destinations, Singapore, the Maldives...some of the Americas, Mexico , Canada. I'm sure I've left some out. We've also been around the US.
There have been so many wonderful occasions in his honor from the NYU Gala at the NY Public Library to the one coming up in Philadephia for the American Economic Association and the American Finance Association. Many of the international venues were honorific too. So what does it add up to?
Most importantly, I have seen Rob change into someone who is now acutely aware and interested in the political and financial future of the world. He carefully takes the time to learn about the countries he visits, especially if he thinks that someone will ask questions (and that happens everywhere). When we were in Mexico recently, his news conference was covered in great detail in the press and TV. Who knew that so much personal and intellectual growth could happen after 60! I don't think he's retiring anytime soon.
And did I mention the food and wine? We have eaten at some of the world's most interesting restaurants from little yummy ones to gorgeous 3 star types. Another time, I'll follow up with more details. But, just to say, we had an incredibly interesting meal at Tom Aikens in London last week with Neil Shephard and his lovely expectant wife, Heather Bell...
The excitement is building. Next Monday the next Nobel Prize winner(s) in Economic Science will be announced. Are they in for a thrill. I am not sure that any of my fellow psychologists study the effects of incredible, surprising joy but for us it was quite something. I'm not sure that we slept well for a month. We were constantly flooded with waves of pure happiness and amazement. It seemed that every minute brought another stimulus--friends popping out of the blue, childhood experiences being relived by contact with friends and acquaintances from very long ago, learning to deal with news outlets, television, interviews in foreign languages (we learned that one the hard way!), and then planning for that incredible Nobel Week in Sweden.
To be honest, the thrill is still there and the invitations keep pouring in. The immense stature of the Nobel Prize envelopes its honorees, it seems, possibly for their lifetimes and beyond. NYU has been wonderfully generous. There was a stunning gala at the New York Public Library in March and just last week, there was a conference organized by the Salomon Center headed by our friend, Matt Richardson, in Rob's honor. Economists and finance people from all over the world came. Rob's students are a wonderfully, devoted group and many of them traveled across the globe to be here for one or both of these occasions.
One of the wonderful aspects of these honorific times is that Rob gets to hear in his lifetime what many people only have said about others in their eulogies! It has been very touching to hear from his students and colleagues about his style of mentoring his students, the inspirational quality of his teaching, his generosity with his colleagues and the useful applications of his work. As my mother said recently, when you married him (and you were so young and we were worried) how did you know he would grow up so well?!!!!! He has made us all proud.
So we are excited to see who is next. We have lots of advice--if only there is time to hear it!
Welcome to Robert Engle's Nobel weblog. Through these posts you will read about our reactions and experiences since the call on October 8, 2003 informing Rob of this wonderful honor. You will read reactions to the six month anniversary, comments from friends and other visitors, and you can look at pictures taken by professionals and by our friends. We are glad you stopped in.
The delightful experience of being the "mater" of a Nobel Prize winner is an often recurring one. When I happen to see someone I haven't encountered for awhile, or if I've just met an interesting stranger, I can't resist mentioning what honor has recently been awarded to my son. This is especially important to me because our last names are different, and no one, where my second husband, Ernest Lauser, and I are now living, would expect any such relationship. Rob's father, Robert Engle Jr., died 21 years ago. He was a brilliant man and very close and helpful to Rob during his growing years. He would have been so very proud of him now.
So when my tale is told, I invariably receive - "I've never known a Nobel Prize Winner, but now I can say that I know the mother of one. Congratulations! You must be very proud of him." This always gives me
a little thrill because, of course, I am extremely proud of him. How long I'll be able to tell my tale, in good
taste, I don't know. But it's been great fun, and the recollection of the magnificent ceremony and all that the award entails, both for Rob and for the general public, gives me deep joy.
Murry Engle Lauser
It is hard to believe that it has been half-a-year.
I still vividly remember coming back to my office
from teaching just about half-an-hour after the
official Prize announcement to find my answering
machine loaded with calls from journalists wanting
a quick reaction and/or sound bite. And Stockholm,
what a fairytale! Hardly a day goes by without
Marian and myself thinking back and talking about
that once-in-a-lifetime experience.
From a professional perspective it is also hard to
overestimate the positive effect that the Prize has
had for all of us working in the same general area
as Rob. No economist looks at ARCH and volatility
research quite the same way since October 8, 2003.
Personally I have clearly benefitted immensely from
being associated with some of the early ARCH papers.
How fortunate I was to arrive as Rob’s graduate
student in San Diego at exactly the right time some
twenty plus years ago. Thanks for everything.
Today is April 8, 2004, exactly 6 months from the day of the phone call. At the end of the call, Gunnar Oquist told Rob that his life would never be the same. Well, so far he's right and the new touches are quite wonderful. Robert Merton, Harvard's previous Nobel winner in Economics, told me that sometimes depression accompanies the prize. So far, that hasn't come knocking at our door. Instead it's been a time of joyous celebration, seeing friends and students from all over the world, and many new opportunities. NYU is starting a new research center for Rob- the Finanacial Econometrics Research Center. Who knows, ARCH may become a household name!!!!
There have been many requests from all over the world for talks, honorary degrees, press events. Who knew? I've asked Robert Ferstenberg to write today what the six months has meant to him. I've attached his comments and printed them below also.
I'd very much appreciate more comments from each of you to give to Rob and to put on the website if you
don't mind. If you don't want them published there, then I won't.
I hope that you and your families are well this holiday season. Spring is just about here in New York.
From Robert Ferstenberg...
The (Stocklholm, 2003) experience has continued to resonate for me in away that makes it seem very recent and very clear as a memory. I find myself looking at the photographs fairly frequently, something I'm not normally inclined to do, and I think about it several times a week.
There is definitely a kind of magic about the whole event that makes it unlike any other in my experience.
I am employed by a financial services firm and we use ARCH in our daily process for executing customer orders. Since the ceremonies, I have become acutely aware of the multiitude of references to ARCH and its many variants in print publications and other media.
It really has had enormous impact on the way our business thinks about and manages financial risk.
I recently found this clipping. It is still relevant even though it came out a few months ago...
I was at the NYU Child Study Center today getting ready to give my monthly talk on Getting a Good Start which is an hour and a half for new parents to learn about their babies, when Susan Schwartz, a wonderful director of the learning disabilities group, asked me whether Rob was glowing. She said that Eric Kandel, a 2000 Nobel winner in Medicine and a member of her Temple, is still glowing. Well, yes, in fact. We are both still glowing. I think our mothers are too and our friends and, I think, our children when they stop to think about their parental units. We are still amazed by this wonderful acknowledgement.
On March 12, NYU put on a fabulous black tie gala for 400 in Rob's honor at the stately, incredibly beautiful NY Public Library. It was so very elegant and lovely and remniscent of Stockholm. Many of Rob's students came from all around the globe. The farthest travelled from Brazil and Denmark. It was such a pleasure for us to see so many of them and they enjoyed chatting with each other. One of Rob's Taiwanese students said that in Chinese academic tradition, they are all "brothers and sisters" since Rob is like their "father". Such a lovely thought.
When Rob got up to speak at the Gala, everyone stood and gave him an ovation. It was a humbling and touching moment for both of us. Rob gave a speech that was full of gratitude and humor. In Letterman style, he listed 10 reasons why it's good to win the Nobel Prize...I'm not at liberty to publish them yet but I can say that number 10 was "Your mother gets her picture in the local newspaper!" The speech was capped off with Rob's first two graduate students from UCSD, Mark Watson and Dennis Kraft, bringing up the duplicate Nobel medal so that Rob could present it to our old friend Tom Cooley, Dean of NYU's Stern School of Business. Our good friends, Leonard and Allison Stern were there too. It was a touching time.
Every week has brought it's Nobellian pleasures. Last week, the article that Michael Barr wrote (below) appeared in a larger article on OTBN in the Wall Street Journal.
Rob gave an after dinner speech at the Utah Finance Meeting and had a contest to see what other anacronyms ARCH might stand for. As we all know, ARCH really stands for Auto Regressive Conditional Hetereoscadasticity. Here were some of the other candidates!
Anything Really Can Happen
Another Risk Can't Hurt
All Reality comes Here
Applied Research Can Help
Another Rather Crazy Hypothesis
Almost Right Conjected Heuristic
Almost Real Crummy Hogwash
Applied Research on Changing Histories
A Real Chinese Hero
A Rice Cake History
A Real Clever Heuristic
Another Really Cute Hunch
Ahh, Robert...Call Home!
A Really Cool Hat
And Robert Can Hit
All Risks Compensate Highly
and the politically incorrect from Matt Spiegel
After Research Call a Hooker!
Please try your hand and put one of you own in the Comments Section.
Here is a picture of Rob with a bottle of Nobel One brought to Stockholm by Australian Tony Hall. This picture came to mind because we had a dinner party last night in New York to celebrate the Prize with friends while also observing OTBN (Open That Bottle Night) suggested to readers by the Wall Street Journal. Michael Barr has written a lovely little piece on the dinner that follows...
"Three years ago we met our now dear friends Rob and Marianne Engle while sitting side by side in a small restaurant on the Lower East Side. The conversation was sparked by queries about the food and wine we were enjoying separately but became much more animated upon discovering that we each had two children -- a son named Jordan and a daughter named Lindsey. That serendipitous night was the beginning of our wonderful friendship, enhanced by many bottles of wine (although Marianne and my wife Susan do get tired of watching Rob and me huddle behind a wine list). Who better to spend Open That Bottle Night with?
This year, though, we had something extraordinary to celebrate -- Rob had just won the Nobel Prize in Economics. A suggested OTBN dinner for four soon escalated into a five-course dinner party for ten, with Marianne, an accomplished chef, buried for a week in a mound of cookbooks and the rest of us rummaging in cellars for that special bottle (or two). Rob and I weighed whether five or six bottles was the right number (seven proved more accurate), and what wines to pair with Marianne's planned feast. It was a five-hour whirlwind of food, wine, and merriment, capped by a mouth-watering veal loin with imported morels and three sensational cabernets -- a Heitz '68 (elegant, dusty and sweet, not past its prime as feared), a Pichon Longeuville '82 (wonderful, but perhaps still too young), and a Caymus Special Selection '88 (vibrant, chewy and brimming with berry fruit). Then (over cheese and with a Yalumba Signature '99 Cabernet/Shiraz blend), we watched a video of Rob receiving his Nobel Prize from the King of Sweden and the formal banquet that followed in Stockholm. Our first OTBN was flavored not only by notes of earth, spice and cassis, but by the taste of sharing our friends' joy in celebrating a true once-in-a-lifetime honor."
So much fun.
We're are so glad to have you visit our weblog. From the moment of the first phone call, when Marianne was in and Rob was out eating panini and checking out computer stores, to the present, this Nobel Prize has been an amazing life experience for all of us. The extreme pleasure of having one's work acknowledged in this way has been matched only by the outpouring of love and kindness from family and friends. Peruse the website, click over to the Nobel website, if you wish, for more of the experience, and then, please, leave a comment so Rob knows you dropped in.
Sawyer suggested that it might be fun to take a look at some of the print news coverage on the Nobel announcement and other events. A month after the announcement, the NYU Publicity Department sent us a NY phone book size set of clippings. Here are a few:
(San Diego Union Tribune)
(Oxford Journal of Financial Econometrics)
(University of Savoie)
(European University Institute)
(London School of Economics)
We left our lovely canalside apartment in Annecy on Wednesday, January 14, 2004 and arrived many hours later in New York City. Packing up had the usual annoyances but there were new questions this time. Where to carry the Nobel Prize--the real gold disc with Rob's name enscribed on the side? The award certificate? The banner from the B Choir of the Stockholm School (these were the guys who marched in singing "HETEROSCADASTICITY DOESN'T MEAN A SHIT TO ME", the little Lucia sculpture left in our room the morning we were awakened by the 6 Lucia singers including the lovely maiden with the lit candles on her head. Those schedules marked up with Inger's incredibly useful notes of additions to the schedule, hairdresser appointments, reminders, protocol. What would we have done without her calm sweet guidance?
We bought a few scrapbooks and started filling those to make sure we didn't leave anything behind. So finally, 3 FedEx boxes and 9 suitcases later, we were able to depart. Did I say that I made the car trip to Geneva with Rob's expanded briefcase on my lap, my briefcase on the floor, and the seat pushed all the way forward so that the luggages in the back seat would fit?
Now we are here. We wondered how it would feel to be back. It feels just wonderful and it does feel different. We've changed. We no longer question whether we should be in New York or back in California. Destiny has spoken and we feel so joyous that we are here to enjoy it. Rob carries a sense of bliss about him that is an additon to his usual warm steady demeanor. I have rented an office and I will make a full professional life here to compliment the small practice I still nurture in La Jolla.
It still feels incredible to have won this Nobel Prize. I don't know if there will ever be a time that it will be incorporated into ourselves and just be. I hope that the thought will always be accompanied by that frisson of joy that we have now. We still look at each other with wonder and say, The Nobel Prize!
Marianne, January 18, 2004
Sawyer has just informed us that the best way to navigate back from the photos is to click on the upper left side of your screen where it says englenobel.blogs.com. That will get you back to this page. Thank you, Sawyer. I wish I had known that before I had to overexercise my back button!
Be sure to check out the Nobel website at www.nobel.se to see and hear Rob's lecture (just in case you missed any of it!), his Nobel e-museum interview with Clive, read menus, and get all kinds of little known information.
One week from tomorrow our sabbatical is over and we return to New York. A month ago we were all in Stockholm experiencing that fairytale time called Nobel Week. For me, the warmth of family and friends sharing the magic of Nils and the black stretch limo, 27 changes of clothes including 3 balls, glamorous venues, and, of course, the joy of watching the acknowledgement of Rob and his ideas are among my favorite memories. I hope that you will share some of your memories too. Time and life march on, memories fade slightly--so write down your favorite moments for posterity and to jog our collective memories as time passes.To add your stories, click on Comments and go.
Welcome to the Comments section of Rob's Nobel Website!
It meant so much to us to have our friends and family with us in Stockholm, and we look forward to sharing pictures and comments. Please click on the link "comments" below to see other people's comments and to write them for others to read!
To the right is a link to our Nobel pictures. Send new pictures to Marianne via the "email me" link and she will post them to the website.