.
Calvet, Laurent E.'s
Scholarly Papers
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column.
Aggregate Statistics
Total 20,513
Total Citations 401
1.
Mandelbrot, Benoit B. Yale University - International Center for Finance
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
6,607(328)
31
2.
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
Mandelbrot, Benoit B. Yale University - International Center for Finance
2,586(1,796)
7
3.
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Mandelbrot, Benoit B. Yale University - International Center for Finance
2,466(1,961)
9
4.
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
1,606(4,124)
11
5.
Angeletos, George-Marios Massachusetts Institute of Technology (MIT) - Department of Economics
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
1,510(4,599)
10
Idiosyncratic Risk, Precautionary Motive, Endogenous Fluctuations.
6.
Financial Innovation, Market Participation and Asset Prices
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Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Gonzalez-Eiras, Martín University of San Andres - Department of Economics
Sodini, Paolo Stockholm School of Economics - Department of Finance
Posted:
04 Oct 01
Last Revised:
08 Mar 13
650(17,745)
25
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Gonzalez-Eiras, Martín University of San Andres - Department of Economics
Sodini, Paolo Stockholm School of Economics - Department of Finance
41
25
Endogenous participation, Epstein-Zin utility, financial innovation, incomplete markets, multiple risk factors, spanning
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Gonzalez-Eiras, Martín University of San Andres - Department of Economics
Sodini, Paolo Stockholm School of Economics - Department of Finance
25
25
Endogenous participation, Epstein-Zin utility, financial innovation, incomplete markets, multiple risk factors, spanning
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Gonzalez-Eiras, Martín University of San Andres - Department of Economics
Sodini, Paolo Stockholm School of Economics - Department of Finance
35
25
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Gonzalez-Eiras, Martín University of San Andres - Department of Economics
Sodini, Paolo Stockholm School of Economics - Department of Finance
549
25
Endogenous Participation, Epstein-Zin Utility, Financial Innovation, Incomplete Markets, Multiple Risk Factors, Risk Premium, Spanning
7.
Fight or Flight? Portfolio Rebalancing by Individual Investors
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Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Campbell, John Y. Harvard University - Department of Economics
Sodini, Paolo Stockholm School of Economics - Department of Finance
Posted:
21 Mar 07
Last Revised:
08 Mar 13
612(19,404)
57
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Campbell, John Y. Harvard University - Department of Economics
Sodini, Paolo Stockholm School of Economics - Department of Finance
26
57
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Campbell, John Y. Harvard University - Department of Economics
Sodini, Paolo Stockholm School of Economics - Department of Finance
586
57
Asset allocation, disposition effect, diversification, participation, portfolio rebalancing
8.
Regime-Switching and the Estimation of Multifractal Processes
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Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
Posted:
27 Mar 03
Last Revised:
08 Mar 13
599(19,972)
15
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
48
15
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
46
15
Forecasting, long memory, Markov regime-switching, maximum likelihood estimation, scaling, stochastic volatility, time deformation, volatility component, Vuong test
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
30
15
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
475
15
Forecasting, Long Memory, Markov Regime-switching, Maximum Likelihood Estimation, Scaling, Stochastic Volatility, Time Deformation, Volatility Component, Vuong Test
9.
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Comon, Etienne Harvard Institute of Economic Research
589(20,413)
1
10.
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
Wu, Liuren City University of New York, CUNY Baruch College - Zicklin School of Business
Posted:
17 Mar 10
Last Revised:
16 Apr 13
483(26,637)
Term structure of interest rates, cascade model, dimension-invariance, interest rate forecasting, yield curve stripping, forward rate correlations
11.
Volatility Comovement: A Multifrequency Approach
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Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
Thompson, Samuel Brodsky Arrowstreet Capital, L.P.
Posted:
31 Aug 04
Last Revised:
08 Mar 13
373(37,092)
9
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
Thompson, Samuel Brodsky Arrowstreet Capital, L.P.
37
8
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
Thompson, Samuel Brodsky Arrowstreet Capital, L.P.
336
9
Multivariate MSM, comovement, maximum likelihood, particle filter, Markov-switching, stochastic volatility, multifrequency volatility decomposition, value at risk, quantile forecasts
12.
Idiosyncratic Production Risk, Growth, and the Business Cycle
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Angeletos, George-Marios Massachusetts Institute of Technology (MIT) - Department of Economics
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Posted:
05 Apr 02
Last Revised:
08 Mar 13
315(45,447)
22
Angeletos, George-Marios Massachusetts Institute of Technology (MIT) - Department of Economics
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
24
22
Angeletos, George-Marios Massachusetts Institute of Technology (MIT) - Department of Economics
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
291
22
Incomplete Markets, Entrepreneurial Risk, Investment, Growth, Fluctuations, Precautionary Savings
13.
Down or Out: Assessing the Welfare Costs of Household Investment Mistakes
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Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Campbell, John Y. Harvard University - Department of Economics
Sodini, Paolo Stockholm School of Economics - Department of Finance
Posted:
11 Feb 06
Last Revised:
08 Mar 13
252(58,664)
102
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Campbell, John Y. Harvard University - Department of Economics
Sodini, Paolo Stockholm School of Economics - Department of Finance
0
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Campbell, John Y. Harvard University - Department of Economics
Sodini, Paolo Stockholm School of Economics - Department of Finance
47
102
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Campbell, John Y. Harvard University - Department of Economics
Sodini, Paolo Stockholm School of Economics - Department of Finance
205
102
Asset allocation, diversification, familiarity, participation
14.
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
237(62,582)
21
Forecasting, Implied Volatility, Long Memory, Multifractal Model of Asset Returns, Option Pricing, Poisson Multifractal, Trading Time, Volatility Smile
15.
Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios
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Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Sodini, Paolo Stockholm School of Economics - Department of Finance
Posted:
31 Mar 10
Last Revised:
03 Apr 13
224(66,489)
9
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Sodini, Paolo Stockholm School of Economics - Department of Finance
9
9
Asset allocation, communication, genetics, habit formation, human capital, labor income, leverage, participation, risk-taking, social interactions, twin study
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Sodini, Paolo Stockholm School of Economics - Department of Finance
11
9
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Sodini, Paolo Stockholm School of Economics - Department of Finance
Posted:
31 Mar 10
Last Revised:
21 Mar 13
204
9
Asset allocation, communication, genetics, habit formation, human capital, labor income, leverage, participation, risk-taking, social interactions, twin study
16.
Multifrequency News and Stock Returns
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Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
Posted:
20 Jun 05
Last Revised:
08 Mar 13
224(66,489)
18
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
34
18
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
190
18
Multifrequency news, volatility feedback, learning, information quality, endogenous skewness and kurtosis, Epstein-Zin utility
17.
Incomplete Market Dynamics in a Neoclassical Production Economy
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Angeletos, George-Marios Massachusetts Institute of Technology (MIT) - Department of Economics
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Posted:
27 Jan 05
Last Revised:
08 Mar 13
213(70,022)
7
Angeletos, George-Marios Massachusetts Institute of Technology (MIT) - Department of Economics
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
29
7
Angeletos, George-Marios Massachusetts Institute of Technology (MIT) - Department of Economics
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
184
7
Entrepreneurial Risk, Precautionary Motive, Endogenous Fluctuations, Poverty Traps
18.
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
194(76,971)
19.
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fearnley, Marcus HEC Paris - Department of Finance
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
Leippold, Markus University of Zurich - Department of Banking and Finance
Posted:
07 Nov 12
Last Revised:
04 Apr 13
170(87,310)
Markov-switching multifractal, particle filter, regime-switching, stochastic volatility, jump-risk premium, option pricing
20.
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
152(96,631)
7
Multifractal Model of Asset Returns, Compound Stochastic Process, Time Deformation, Scaling, Self-Similarity, Multifractal Spectrum, Stochastic Volatility
21.
Multifrequency Jump-Diffusions: An Equilibrium Approach
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Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
Posted:
20 Dec 06
Last Revised:
07 May 13
151(97,210)
7
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
17
7
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
Posted:
20 Dec 06
Last Revised:
07 May 13
134
7
Endogenous jumps, general equilibrium, Markov regime-switching, multifrequency, fat tails, stochastic volatility, time deformation, volatility component
22.
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Czellar, Veronika HEC Paris (Groupe HEC) - Economics & Decision Sciences
128(111,853)
1
Hidden Markov model, particle filter, learning, indirect inference, forecasting, state space model, value at risk
23.
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Czellar, Veronika HEC Paris (Groupe HEC) - Economics & Decision Sciences
Ronchetti, Elvezio University of Geneva - Department of Econometrics
106(129,554)
Kalman filter, particle filter, robust statistics, state space model, stochastic volatility
24.
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Campbell, John Y. Harvard University - Department of Economics
Sodini, Paolo Stockholm School of Economics - Department of Finance
66(174,594)
32
25.
Calvet, Laurent E. HEC Paris (Groupe HEC) - Finance Department
Fisher, Adlai J. University of British Columbia (UBC) - Sauder School of Business
forecasting, long memory, Markov-switching multifractal (MSM), closed-form likelihood, scaling, stochastic volatility, volatility component, Vuong test
