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

31

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620

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793

Scholarly Papers (31)

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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 8,191 (771)
Citation 1

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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 2,812 (4,934)

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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 2,782 (5,009)

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4.

Incomplete Markets and Volatility

Number of pages: 46 Posted: 25 Sep 1998
Laurent E. Calvet
EDHEC Business School - Department of Economics & Finance
Downloads 1,654 (11,855)
Citation 9

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5.

Incomplete Markets, Growth, and the Business Cycle

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 1,609 (12,349)
Citation 10

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Idiosyncratic Risk, Precautionary Motive, Endogenous Fluctuations.

6.

Rich Pickings? Risk, Return, and Skill in Household Wealth

Downloads 1,115 ( 21,735)
Citation 45

Rich Pickings? Risk, Return, and Skill in Household Wealth

HEC Paris Research Paper No. FIN-2016-1126, Swedish House of Finance Research Paper No. 16-03
Number of pages: 65 Posted: 21 Dec 2015 Last Revised: 20 Jan 2019
Laurent Bach, Laurent E. Calvet and Paolo Sodini
ESSEC Business School - Finance Department, EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance
Downloads 1,115 (21,364)
Citation 58

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

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
ESSEC Business School - Finance Department, EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance
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cost of debt, factor-based investing, household finance, inequality, leverage, private equity, real estate, risk-taking

7.

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 942 (27,705)
Citation 7

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

8.

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 778 (36,230)
Citation 17

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

9.

Fight or Flight? Portfolio Rebalancing by Individual Investors

Downloads 724 ( 39,979)
Citation 83

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 661 (44,548)
Citation 94

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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 Last Revised: 08 Mar 2013
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 63 (401,397)

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10.

Financial Innovation, Market Participation and Asset Prices

Downloads 706 ( 41,309)
Citation 21

Financial Innovation, Market Participation and Asset Prices

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 Copenhagen and Stockholm School of Economics - Department of Finance
Downloads 569 (54,240)
Citation 1

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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 Copenhagen and Stockholm School of Economics - Department of Finance
Downloads 53 (437,188)

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

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 Copenhagen and Stockholm School of Economics - Department of Finance
Downloads 43 (478,600)

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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 Last Revised: 03 Nov 2014
Laurent E. Calvet, Martín Gonzalez-Eiras and Paolo Sodini
EDHEC Business School - Department of Economics & Finance, University of Copenhagen and Stockholm School of Economics - Department of Finance
Downloads 41 (487,760)
Citation 4

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11.

Regime-Switching and the Estimation of Multifractal Processes

Downloads 689 ( 42,745)
Citation 1

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 521 (60,642)
Citation 1

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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 66 (391,620)

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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 62 (404,755)

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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 Last Revised: 08 Mar 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 40 (492,490)

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12.

Behavioral Heterogeneity and the Income Effect

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 618 (49,368)
Citation 5

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13.

A Supply and Demand Approach to Equity Pricing

Downloads 612 ( 50,212)

A Supply and Demand Approach to Equity Pricing

Number of pages: 95 Posted: 22 Aug 2019 Last Revised: 24 Nov 2020
Sebastien Betermier, Laurent E. Calvet and Evan Jo
McGill University - Desautels Faculty of Management, EDHEC Business School - Department of Economics & Finance and McGill University - Desautels Faculty of Management
Downloads 612 (49,564)

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Asset pricing, anomalies, capital allocation, general equilibrium, factor-based investing, production economy.

A Supply and Demand Approach to Equity Pricing

CEPR Discussion Paper No. DP13974
Number of pages: 67 Posted: 07 Oct 2019
Sebastien Betermier, Laurent E. Calvet and Evan Jo
McGill University - Desautels Faculty of Management, EDHEC Business School - Department of Economics & Finance and McGill University - Desautels Faculty of Management
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Anomalies, Asset Pricing, capital allocation, factor-based investing, General Equilibrium, production economy

14.

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 486 (66,795)
Citation 4

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15.

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 480 (67,828)
Citation 3

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

16.

Volatility Comovement: A Multifrequency Approach

Downloads 477 ( 68,379)
Citation 14

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 379 (89,104)

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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 Last Revised: 08 Mar 2013
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 98 (308,560)

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17.

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 452 (73,119)
Citation 16

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

18.

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

Downloads 348 ( 99,098)
Citation 37

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 254 (138,196)

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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 65 (394,848)
Citation 36

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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 Last Revised: 25 Sep 2010
Laurent E. Calvet and Paolo Sodini
EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance
Downloads 29 (550,929)

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19.

Idiosyncratic Production Risk, Growth, and the Business Cycle

Downloads 344 (100,384)
Citation 43

Idiosyncratic Production Risk, Growth, and the Business Cycle

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 310 (111,950)

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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 Last Revised: 30 Oct 2014
George-Marios Angeletos and Laurent E. Calvet
Massachusetts Institute of Technology (MIT) - Department of Economics and EDHEC Business School - Department of Economics & Finance
Downloads 34 (522,440)
Citation 6

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20.

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

Downloads 330 (105,206)
Citation 263

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 260 (134,966)
Citation 12

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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 Last Revised: 08 Mar 2013
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 70 (379,189)
Citation 86

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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

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21.

Multifrequency News and Stock Returns

Downloads 255 (138,254)
Citation 29

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 213 (164,002)

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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 Last Revised: 08 Mar 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 42 (483,174)
Citation 1

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22.

From Saving Comes Having? Disentangling the Impact of Saving on Wealth Inequality

Swedish House of Finance Research Paper No. 18-8
Number of pages: 56 Posted: 03 Jan 2018 Last Revised: 20 Jul 2018
Laurent Bach, Laurent E. Calvet and Paolo Sodini
ESSEC Business School - Finance Department, EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance
Downloads 242 (145,524)
Citation 5

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Household finance, inequality, saving, consumption, income-to-wealth ratio

23.

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 239 (147,281)

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

24.

Incomplete Market Dynamics in a Neoclassical Production Economy

Downloads 231 (152,122)
Citation 15

Incomplete Market Dynamics in a Neoclassical Production Economy

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 196 (177,602)

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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 Last Revised: 08 Mar 2013
George-Marios Angeletos and Laurent E. Calvet
Massachusetts Institute of Technology (MIT) - Department of Economics and EDHEC Business School - Department of Economics & Finance
Downloads 35 (517,127)
Citation 2

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25.

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 - Research Center for Statistics
Downloads 212 (165,049)
Citation 2

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

26.

Multifrequency Jump-Diffusions: An Equilibrium Approach

Downloads 168 (203,542)
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 144 (231,821)

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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 Last Revised: 08 Mar 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 24 (583,835)

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27.

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 155 (217,874)
Citation 2

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

28.

Measuring the Financial Sophistication of Households

NBER Working Paper No. w14699
Number of pages: 48 Posted: 17 Feb 2009 Last Revised: 08 Mar 2013
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 113 (278,073)
Citation 27

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29.

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 95 (312,577)
Citation 2

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

30.

Can Security Design Foster Household Risk-Taking?

Downloads 43 (469,314)
Citation 4

Can Security Design Foster Household Risk-Taking?

Number of pages: 56 Posted: 02 Nov 2019 Last Revised: 25 Jun 2020
Laurent E. Calvet, Claire Celerier, Paolo Sodini and Boris Vallee
EDHEC Business School - Department of Economics & Finance, University of Toronto - Rotman School of Management, Stockholm School of Economics - Department of Finance and Harvard Business School - Finance Unit
Downloads 43 (478,600)
Citation 4

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Financial innovation, household finance, capital protected investment, behavioral biases, stock market participation, risk-taking

Can Security Design Foster Household Risk-Taking?

CEPR Discussion Paper No. DP14955
Number of pages: 111 Posted: 29 Jun 2020 Last Revised: 16 Aug 2020
Laurent E. Calvet, Claire Célérier, Paolo Sodini and Boris Vallee
EDHEC Business School - Department of Economics & Finance, University of Toronto, Stockholm School of Economics - Department of Finance and Harvard Business School - Finance Unit
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behavioral biases, capital guarantee product, household finance, risk-taking, security design

31.

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

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