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Laurent E. Calvet

EDHEC Business School - Department of Economics & Finance

France

CEPR

Research Fellow

33 Great Sutton Street

London, EC1V 0DX

United Kingdom

  • EDHEC Business School - Department of Economics & Finance

  • CEPR

SCHOLARLY PAPERS

29

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445

Scholarly Papers (29)

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1.

A Multifractal Model of Asset Returns

Cowles Foundation Discussion Paper No. 1164, Sauder School of Business Working Paper
Number of pages: 33 Posted: 21 Apr 1998
Benoit B. Mandelbrot, Adlai J. Fisher and Laurent E. Calvet
Yale University - International Center for Finance, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School - Department of Economics & Finance
Downloads 7,242 (542)
Citation 31

Abstract:

2.

Large Deviations and the Distribution of Price Changes

Cowles Foundation Discussion Paper No. 1165, Sauder School of Business Working Paper
Number of pages: 30 Posted: 22 Apr 1998
Laurent E. Calvet, Adlai J. Fisher and Benoit B. Mandelbrot
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Yale University - International Center for Finance
Downloads 2,663 (3,225)
Citation 7

Abstract:

3.

Multifractality of Deutschemark / US Dollar Exchange Rates

Cowles Foundation Discussion Paper No. 1166, Sauder School of Business Working Paper
Number of pages: 40 Posted: 21 Apr 1998
Adlai J. Fisher, Laurent E. Calvet and Benoit B. Mandelbrot
University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School - Department of Economics & Finance and Yale University - International Center for Finance
Downloads 2,574 (3,385)
Citation 9

Abstract:

4.

Incomplete Markets and Volatility

Harvard Institute of Economics Research Paper No. 1865
Number of pages: 46 Posted: 25 Sep 1998
Laurent E. Calvet
EDHEC Business School - Department of Economics & Finance
Downloads 1,620 (7,773)
Citation 12

Abstract:

5.

Incomplete Markets, Growth, And The Business Cycle

MIT Dept. of Economics Working Paper No. 00-33, Harvard Institute of Economic Research Paper No. 1910
Number of pages: 51 Posted: 19 Jan 2001
George-Marios Angeletos and Laurent E. Calvet
Massachusetts Institute of Technology (MIT) - Department of Economics and EDHEC Business School - Department of Economics & Finance
Downloads 1,558 (8,221)
Citation 10

Abstract:

Idiosyncratic Risk, Precautionary Motive, Endogenous Fluctuations.

6.

Financial Innovation, Market Participation and Asset Prices

Downloads 680 ( 29,487)
Citation 26

Financial Innovation, Market Participation and Asset Prices

Harvard Institute of Economic Research Paper No. 1928
Number of pages: 47 Posted: 04 Oct 2001
Laurent E. Calvet, Martín Gonzalez-Eiras and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, University of San Andres - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 561 (37,656)
Citation 26

Abstract:

Endogenous Participation, Epstein-Zin Utility, Financial Innovation, Incomplete Markets, Multiple Risk Factors, Risk Premium, Spanning

Financial Innovation, Market Participation and Asset Prices

NYU Working Paper No. S-MF-02-03
Number of pages: 50 Posted: 12 Nov 2008
Laurent E. Calvet, Martín Gonzalez-Eiras and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, University of San Andres - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 45 (343,537)
Citation 26

Abstract:

Endogenous participation, Epstein-Zin utility, financial innovation, incomplete markets, multiple risk factors, spanning

Financial Innovation, Market Participation and Asset Prices

NBER Working Paper No. w9840
Number of pages: 43 Posted: 20 Jul 2003
Laurent E. Calvet, Martín Gonzalez-Eiras and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, University of San Andres - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 37 (371,692)
Citation 26

Abstract:

Financial Innovation, Market Participation and Asset Prices

NYU Working Paper No. FIN-02-042
Number of pages: 50 Posted: 03 Nov 2008
Laurent E. Calvet, Martín Gonzalez-Eiras and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, University of San Andres - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 37 (371,692)
Citation 26

Abstract:

Endogenous participation, Epstein-Zin utility, financial innovation, incomplete markets, multiple risk factors, spanning

7.

Fight or Flight? Portfolio Rebalancing by Individual Investors

Downloads 668 ( 30,263)
Citation 63

Fight or Flight? Portfolio Rebalancing by Individual Investors

AFA 2008 New Orleans Meetings Paper
Number of pages: 45 Posted: 21 Mar 2007
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 632 (32,070)
Citation 63

Abstract:

Asset allocation, disposition effect, diversification, participation, portfolio rebalancing

Fight or Flight? Portfolio Rebalancing by Individual Investors

NBER Working Paper No. w14177
Number of pages: 46 Posted: 21 Jul 2008
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 36 (375,448)
Citation 63

Abstract:

8.

Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics

Number of pages: 55 Posted: 17 Mar 2010 Last Revised: 16 Apr 2013
Laurent E. Calvet, Adlai J. Fisher and Liuren Wu
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 648 (25,608)

Abstract:

Term structure of interest rates, cascade model, dimension-invariance, interest rate forecasting, yield curve stripping, forward rate correlations

9.

Regime-Switching and the Estimation of Multifractal Processes

Downloads 645 ( 31,700)
Citation 17

Regime-Switching and the Estimation of Multifractal Processes

Harvard Institute of Economic Research Discussion Paper No. 1999, Sauder School of Business Working Paper
Number of pages: 44 Posted: 27 Mar 2003
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 499 (43,788)
Citation 17

Abstract:

Forecasting, Long Memory, Markov Regime-switching, Maximum Likelihood Estimation, Scaling, Stochastic Volatility, Time Deformation, Volatility Component, Vuong Test

Regime-Switching and the Estimation of Multifractal Processes

NYU Working Paper No. S-DRP-02-10
Number of pages: 42 Posted: 07 Nov 2008
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 55 (313,073)
Citation 17

Abstract:

Regime-Switching and the Estimation of Multifractal Processes

NYU Working Paper No. FIN-02-064
Number of pages: 42 Posted: 03 Nov 2008
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 54 (315,988)
Citation 17

Abstract:

Forecasting, long memory, Markov regime-switching, maximum likelihood estimation, scaling, stochastic volatility, time deformation, volatility component, Vuong test

Regime-Switching and the Estimation of Multifractal Processes

NBER Working Paper No. w9839
Number of pages: 43 Posted: 20 Jul 2003
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 37 (371,692)
Citation 17

Abstract:

10.

Behavioral Heterogeneity And The Income Effect

Harvard Institute of Economic Research No. 1892
Number of pages: 70 Posted: 23 Aug 2000
Laurent E. Calvet and Etienne Comon
EDHEC Business School - Department of Economics & Finance and Harvard Institute of Economic Research
Downloads 599 (34,448)
Citation 1

Abstract:

11.

Volatility Comovement: A Multifrequency Approach

Downloads 436 ( 52,504)
Citation 9

Volatility Comovement: A Multifrequency Approach

Sauder School of Business Working Paper
Number of pages: 41 Posted: 31 Aug 2004
Laurent E. Calvet, Adlai J. Fisher and Samuel Brodsky Thompson
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.
Downloads 368 (63,806)
Citation 9

Abstract:

Multivariate MSM, comovement, maximum likelihood, particle filter, Markov-switching, stochastic volatility, multifrequency volatility decomposition, value at risk, quantile forecasts

Volatility Comovement: A Multifrequency Approach

NBER Working Paper No. t0300
Number of pages: 42 Posted: 15 Aug 2007
Laurent E. Calvet, Adlai J. Fisher and Samuel Brodsky Thompson
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.
Downloads 68 (280,349)
Citation 8

Abstract:

12.

Extreme Risk and Fractal Regularity in Finance

Number of pages: 34 Posted: 08 Aug 2012
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 378 (53,545)
Citation 1

Abstract:

13.

What's Beneath the Surface? Option Pricing with Multifrequency Latent States

HEC Paris Research Paper No. 969/2013
Number of pages: 52 Posted: 07 Nov 2012 Last Revised: 17 Oct 2014
Laurent E. Calvet, Marcus Fearnley, Adlai J. Fisher and Markus Leippold
EDHEC Business School - Department of Economics & Finance, HEC Paris - Department of Finance, University of British Columbia (UBC) - Sauder School of Business and University of Zurich - Department of Banking and Finance
Downloads 369 (53,092)

Abstract:

Markov-switching multifractal, particle filter, regime-switching, stochastic volatility, jump-risk premium, option pricing

14.

Forecasting Multifractal Volatility

NYU Working Paper No. FIN-99-017
Number of pages: 48 Posted: 07 Nov 2008
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 335 (61,666)
Citation 21

Abstract:

Forecasting, Implied Volatility, Long Memory, Multifractal Model of Asset Returns, Option Pricing, Poisson Multifractal, Trading Time, Volatility Smile

15.

Idiosyncratic Production Risk, Growth, and the Business Cycle

Downloads 332 ( 72,619)
Citation 23

Idiosyncratic Production Risk, Growth, and the Business Cycle

Harvard Institute of Economic Research Paper No. 1952; MIT Department of Economics Working Paper No. 02-10
Number of pages: 29 Posted: 05 Apr 2002
George-Marios Angeletos and Laurent E. Calvet
Massachusetts Institute of Technology (MIT) - Department of Economics and EDHEC Business School - Department of Economics & Finance
Downloads 303 (79,887)
Citation 23

Abstract:

Incomplete Markets, Entrepreneurial Risk, Investment, Growth, Fluctuations, Precautionary Savings

Idiosyncratic Production Risk, Growth, and the Business Cycle

NBER Working Paper No. w9764
Number of pages: 29 Posted: 08 Jun 2003
George-Marios Angeletos and Laurent E. Calvet
Massachusetts Institute of Technology (MIT) - Department of Economics and EDHEC Business School - Department of Economics & Finance
Downloads 29 (405,201)
Citation 23

Abstract:

16.

Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy

Downloads 319 ( 75,986)

Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy

HEC Paris Research Paper No. FIN-2016-1126, Swedish House of Finance Research Paper No. 16-03
Number of pages: 47 Posted: 21 Dec 2015 Last Revised: 30 Apr 2017
Laurent Bach, Laurent E. Calvet and Paolo Sodini
Swedish House of Finance, EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance
Downloads 319 (75,482)

Abstract:

Household finance, inequality, risk-taking, factor-based investing, leverage, cost of debt, real estate, private equity.

Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy

CEPR Discussion Paper No. DP11734
Number of pages: 63 Posted: 03 Jan 2017
Laurent Bach, Laurent E. Calvet and Paolo Sodini
Swedish House of Finance, EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance
Downloads 0

Abstract:

cost of debt, factor-based investing, household finance, inequality, leverage, private equity, real estate, risk-taking

17.

Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios

Downloads 309 ( 78,726)
Citation 7

Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios

Journal of Finance, Forthcoming
Number of pages: 144 Posted: 31 Mar 2010 Last Revised: 21 Mar 2013
Laurent E. Calvet and Paolo Sodini
EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance
Downloads 246 (100,496)
Citation 6

Abstract:

Asset allocation, communication, genetics, habit formation, human capital, labor income, leverage, participation, risk-taking, social interactions, twin study

Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios

SAFE Working Paper No. 13
Number of pages: 146 Posted: 03 Apr 2013
Laurent E. Calvet and Paolo Sodini
EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance
Downloads 41 (357,094)
Citation 6

Abstract:

Asset allocation, communication, genetics, habit formation, human capital, labor income, leverage, participation, risk-taking, social interactions, twin study

Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios

NBER Working Paper No. w15859
Number of pages: 51 Posted: 05 Apr 2010
Laurent E. Calvet and Paolo Sodini
EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance
Downloads 22 (442,109)
Citation 7

Abstract:

18.

Who Are the Value and Growth Investors?

Journal of Finance, Forthcoming, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper, HEC Paris Research Paper No. FIN-2014-1043
Number of pages: 76 Posted: 21 Apr 2014 Last Revised: 15 Mar 2016
Sebastien Betermier, Laurent E. Calvet and Paolo Sodini
McGill University - Desautels Faculty of Management, EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance
Downloads 301 (34,094)

Abstract:

Asset pricing, factor-based investing, household finance, human capital, portfolio allocation, value premium.

19.

Down or Out: Assessing the Welfare Costs of Household Investment Mistakes

Downloads 280 ( 87,860)
Citation 108

Down or Out: Assessing the Welfare Costs of Household Investment Mistakes

Harvard Institute of Economic Research Discussion Paper No. 2107, Riksbank Research Paper Series No. 28, Riksbank Working Paper No. 195
Number of pages: 65 Posted: 21 Feb 2006
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 226 (109,604)
Citation 108

Abstract:

Asset allocation, diversification, familiarity, participation

Down or Out: Assessing the Welfare Costs of Household Investment Mistakes

NBER Working Paper No. w12030
Number of pages: 65 Posted: 11 Feb 2006
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 54 (315,988)
Citation 108

Abstract:

Down or Out: Assessing the Welfare Costs of Household Investment Mistakes

Journal of Political Economy, Vol. 115, No. 5, 2007
Posted: 21 Dec 2007
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance

Abstract:

20.

Multifrequency News and Stock Returns

Downloads 244 (101,821)
Citation 20

Multifrequency News and Stock Returns

Sauder School of Business Working Paper
Number of pages: 51 Posted: 20 Jun 2005
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 203 (121,974)
Citation 20

Abstract:

Multifrequency news, volatility feedback, learning, information quality, endogenous skewness and kurtosis, Epstein-Zin utility

Multifrequency News and Stock Returns

NBER Working Paper No. w11441
Number of pages: 51 Posted: 12 Jul 2005
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 41 (357,094)
Citation 20

Abstract:

21.

Incomplete Market Dynamics in a Neoclassical Production Economy

Downloads 224 (111,076)
Citation 7

Incomplete Market Dynamics in a Neoclassical Production Economy

MIT Department of Economics Working Paper No. 04-41; Harvard Institute of Economic Research Discussion Paper No. 2058
Number of pages: 38 Posted: 01 Feb 2005
George-Marios Angeletos and Laurent E. Calvet
Massachusetts Institute of Technology (MIT) - Department of Economics and EDHEC Business School - Department of Economics & Finance
Downloads 191 (129,216)
Citation 7

Abstract:

Entrepreneurial Risk, Precautionary Motive, Endogenous Fluctuations, Poverty Traps

Incomplete Market Dynamics in a Neoclassical Production Economy

NBER Working Paper No. w11016
Number of pages: 37 Posted: 27 Jan 2005
George-Marios Angeletos and Laurent E. Calvet
Massachusetts Institute of Technology (MIT) - Department of Economics and EDHEC Business School - Department of Economics & Finance
Downloads 33 (387,413)
Citation 7

Abstract:

22.

A Multifractal Model of Assets Returns

NYU Working Paper No. FIN-99-072
Number of pages: 56 Posted: 11 Nov 2008
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 187 (115,635)
Citation 6

Abstract:

Multifractal Model of Asset Returns, Compound Stochastic Process, Time Deformation, Scaling, Self-Similarity, Multifractal Spectrum, Stochastic Volatility

23.

Multifrequency Jump-Diffusions: An Equilibrium Approach

Downloads 166 (146,998)
Citation 7

Multifrequency Jump-Diffusions: An Equilibrium Approach

Journal of Mathematical Economics, Vol. 44, No. 2, 2008
Number of pages: 35 Posted: 20 Dec 2006 Last Revised: 07 May 2013
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 142 (168,336)
Citation 7

Abstract:

Endogenous jumps, general equilibrium, Markov regime-switching, multifrequency, fat tails, stochastic volatility, time deformation, volatility component

Multifrequency Jump-Diffusions: An Equilibrium Approach

NBER Working Paper No. w12797
Number of pages: 35 Posted: 24 Dec 2006
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 24 (430,873)
Citation 7

Abstract:

24.

Robust Filtering

Number of pages: 48 Posted: 04 Aug 2012
Laurent E. Calvet, Veronika Czellar and Elvezio Ronchetti
EDHEC Business School - Department of Economics & Finance, EDHEC Business School and University of Geneva - Department of Econometrics
Downloads 159 (130,697)

Abstract:

Kalman filter, particle filter, robust statistics, state space model, stochastic volatility

25.

State-Observation Sampling and the Econometrics of Learning Models

Number of pages: 45 Posted: 26 May 2011
Laurent E. Calvet and Veronika Czellar
EDHEC Business School - Department of Economics & Finance and EDHEC Business School
Downloads 142 (160,437)
Citation 1

Abstract:

Hidden Markov model, particle filter, learning, indirect inference, forecasting, state space model, value at risk

26.

Measuring the Financial Sophistication of Households

NBER Working Paper No. w14699
Number of pages: 48 Posted: 17 Feb 2009
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 78 (236,307)
Citation 34

Abstract:

27.

Through the Looking Glass: Indirect Inference via Simple Equilibria

HEC Paris Research Paper No. FIN-2014-1048
Number of pages: 58 Posted: 02 Jun 2014 Last Revised: 10 Jun 2014
Laurent E. Calvet and Veronika Czellar
EDHEC Business School - Department of Economics & Finance and EDHEC Business School
Downloads 59 (264,449)

Abstract:

Hidden Markov model, long-run risk, learning, value at risk, indirect inference, particle filters

28.

Financial Innovation and Stock Market Participation

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 40 Posted: 02 Jun 2016
Claire Celerier, Boris Vallee, Laurent E. Calvet and Paolo Sodini
University of Toronto - Rotman School of Management, Harvard Business School - Finance Unit, EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance
Downloads 0 (360,271)
Citation 25

Abstract:

29.

How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes

Journal of Financial Econometrics, Vol. 2, No. 1, pp. 49-83, 2004
Posted: 29 Feb 2008
Laurent E. Calvet and Adlai J. Fisher
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business

Abstract:

forecasting, long memory, Markov-switching multifractal (MSM), closed-form likelihood, scaling, stochastic volatility, volatility component, Vuong test

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