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 Laurent E. Calvet
 SSRN Author Rank: 310 by Downloads
 HEC School of Management - Department of Finance and Economics
 1, rue de la Liberation
 78351 Jouy-en-Josas Cedex,
 France
 email address
 National Bureau of Economic Research (NBER)
 1050 Massachusetts Avenue
 Cambridge, MA 02138
 United States
 email address

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. Laurent E. Calvet's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
16,171
Total
Citations
243
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
A Multifractal Model of Asset Returns | Show Abstract | Download |
Cowles Foundation Discussion Paper No. 1164, Sauder School of Business Working Paper
Working Paper Series
Benoit B. Mandelbrot
Yale University - International Center for Finance
Adlai J. Fisher
University of British Columbia - Sauder School of Business
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Posted:
21 Apr 98
Last Revised:
26 Nov 03
5,294
(213)
22

2.  
Large Deviations and the Distribution of Price Changes | Show Abstract | Download |
Cowles Foundation Discussion Paper No. 1165, Sauder School of Business Working Paper
Working Paper Series
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Adlai J. Fisher
University of British Columbia - Sauder School of Business
Benoit B. Mandelbrot
Yale University - International Center for Finance
Posted:
22 Apr 98
Last Revised:
26 Nov 03
2,216
(1,158)
5

3.  
Multifractality of Deutschemark / US Dollar Exchange Rates | Show Abstract | Download |
Cowles Foundation Discussion Paper No. 1166, Sauder School of Business Working Paper
Working Paper Series
Adlai J. Fisher
University of British Columbia - Sauder School of Business
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Benoit B. Mandelbrot
Yale University - International Center for Finance
Posted:
21 Apr 98
Last Revised:
26 Nov 03
2,075
(1,315)
7

4.  
Incomplete Markets and Volatility | Show Abstract | Download |
Harvard Institute of Economics Research Paper No. 1865
Working Paper Series
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Posted:
25 Sep 98
Last Revised:
26 Nov 03
1,544
(2,306)
11

5.  
Incomplete Markets, Growth, And The Business Cycle | Show Abstract | Download |
MIT Dept. of Economics Working Paper No. 00-33, Harvard Institute of Economic Research Paper No. 1910
Working Paper Series
George-Marios Angeletos
Massachusetts Institute of Technology (MIT) - Department of Economics
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Posted:
19 Jan 01
Last Revised:
26 Nov 03
1,412
(2,697)
7

6.   Incl. Electronic Paper
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Martín Gonzalez-Eiras
University of San Andres - Department of Economics
Paolo Sodini
Stockholm School of Economics - Department of Finance
Posted:
04 Oct 01
Last Revised:
12 May 09
578
( 11,556)
24

7.  
Behavioral Heterogeneity And The Income Effect | Show Abstract | Download |
Harvard Institute of Economic Research No. 1892
Working Paper Series
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Etienne Comon
Harvard Institute of Economic Research
Posted:
23 Aug 00
Last Revised:
26 Nov 03
559
(12,152)
1

8.   Incl. Electronic Paper
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Adlai J. Fisher
University of British Columbia - Sauder School of Business
Posted:
27 Mar 03
Last Revised:
23 Dec 08
547
( 12,563)
5

9.  
Fight or Flight? Portfolio Rebalancing by Individual Investors | Show Abstract | Download |
AFA 2008 New Orleans Meetings Paper
Working Paper Series
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
John Y. Campbell
Harvard University - Department of Economics
Paolo Sodini
Stockholm School of Economics - Department of Finance
Posted:
21 Mar 07
Last Revised:
21 Mar 07
443
(16,830)
14

10.   Incl. Electronic Paper
George-Marios Angeletos
Massachusetts Institute of Technology (MIT) - Department of Economics
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Posted:
05 Apr 02
Last Revised:
26 Nov 03
288
( 28,617)
18

11.  
Volatility Comovement: A Multifrequency Approach | Show Abstract | Download |
Sauder School of Business Working Paper
Working Paper Series
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Adlai J. Fisher
University of British Columbia - Sauder School of Business
Samuel Brodsky Thompson
Arrowstreet Capital, L.P.
Posted:
31 Aug 04
Last Revised:
07 Sep 04
256
(32,737)
5

12.   Incl. Electronic Paper
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
John Y. Campbell
Harvard University - Department of Economics
Paolo Sodini
Stockholm School of Economics - Department of Finance
Posted:
11 Feb 06
Last Revised:
02 Jul 09
195
( 43,579)
63

13.   Incl. Electronic Paper
George-Marios Angeletos
Massachusetts Institute of Technology (MIT) - Department of Economics
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Posted:
27 Jan 05
Last Revised:
15 Feb 05
195
( 43,579)
7

14.   Incl. Electronic Paper
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Adlai J. Fisher
University of British Columbia - Sauder School of Business
Posted:
20 Jun 05
Last Revised:
20 Jul 09
192
( 44,230)
8

15.   Incl. Electronic Paper
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Adlai J. Fisher
University of British Columbia - Sauder School of Business
Posted:
20 Dec 06
Last Revised:
23 May 07
126
( 65,637)
1

16.  
Forecasting Multifractal Volatility | Show Abstract | Download |
NYU Working Paper No. FIN-99-017
Working Paper Series
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Adlai J. Fisher
University of British Columbia - Sauder School of Business
Posted:
07 Nov 08
Last Revised:
16 Dec 08
91
(84,145)
13

17.  
A Multifractal Model of Assets Returns | Show Abstract | Download |
NYU Working Paper No. FIN-99-072
Working Paper Series
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Adlai J. Fisher
University of British Columbia - Sauder School of Business
Posted:
11 Nov 08
Last Revised:
04 May 09
73
(97,114)
4

18.  
Measuring the Financial Sophistication of Households | Show Abstract | Download |
NBER Working Paper No. w14699
Working Paper Series
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
John Y. Campbell
Harvard University - Department of Economics
Paolo Sodini
Stockholm School of Economics - Department of Finance
Posted:
17 Feb 09
Last Revised:
28 Sep 09
37
(133,632)
1

19.  
How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes | Show Abstract | Download |
Journal of Financial Econometrics, Vol. 2, No. 1, pp. 49-83, 2004
Accepted Paper Series
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Adlai J. Fisher
University of British Columbia - Sauder School of Business
Posted:
29 Feb 08
Last Revised:
29 Feb 08
25
(153,299)
13

20.  
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
John Y. Campbell
Harvard University - Department of Economics
Paolo Sodini
Stockholm School of Economics - Department of Finance
Posted:
21 Jul 08
Last Revised:
14 Aug 08
13
(186,828)
14

21.  
Volatility Comovement: A Multifrquency Approach | Show Abstract | Download |
NBER Working Paper No. T0300
Working Paper Series
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
Adlai J. Fisher
University of British Columbia - Sauder School of Business
Samuel Brodsky Thompson
Arrowstreet Capital, L.P.
Posted:
15 Aug 07
Last Revised:
15 Aug 07
12
(189,714)
 

22.  
Down or Out: Assessing the Welfare Costs of Household Investment Mistakes | Show Abstract |
Journal of Political Economy, Vol. 115, No. 5, 2007
Accepted Paper Series
Laurent E. Calvet
HEC School of Management - Department of Finance and Economics
John Y. Campbell
Harvard University - Department of Economics
Paolo Sodini
Stockholm School of Economics - Department of Finance
Posted:
21 Dec 07
Last Revised:
21 Dec 07
0
(0)
 


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