Laurent E. Calvet

SKEMA Business School

Professor of Finance

5 Quai Marcel Dassault

Suresnes, 92150

France

CEPR

Research Fellow

33 Great Sutton Street

London, EC1V 0DX

United Kingdom

SCHOLARLY PAPERS

34

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34,675

SSRN CITATIONS
Rank 636

SSRN RANKINGS

Top 636

in Total Papers Citations

1,494

CROSSREF CITATIONS

790

Scholarly Papers (34)

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 SKEMA Business School
Downloads 8,909 (1,309)
Citation 3

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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
SKEMA Business School, University of British Columbia (UBC) - Sauder School of Business and Yale University - International Center for Finance
Downloads 2,967 (8,352)

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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, SKEMA Business School and Yale University - International Center for Finance
Downloads 2,926 (8,524)

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4.

Incomplete Markets and Volatility

Number of pages: 46 Posted: 25 Sep 1998
Laurent E. Calvet
SKEMA Business School
Downloads 1,696 (20,184)
Citation 18

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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 SKEMA Business School
Downloads 1,666 (20,758)
Citation 10

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Idiosyncratic Risk, Precautionary Motive, Endogenous Fluctuations.

6.

Investor Factors

Journal of Finance forthcoming
Number of pages: 115 Posted: 02 Mar 2021 Last Revised: 30 May 2024
McGill University - Desautels Faculty of Management, SKEMA Business School, Aalto University School of Business and Tilburg University
Downloads 1,605 (21,953)
Citation 2

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Asset pricing, factor-based investing, household finance, portfolio allocation.

7.
Downloads 1,598 (22,107)
Citation 2

A Supply and Demand Approach to Capital Markets

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 96 Posted: 22 Aug 2019 Last Revised: 12 Apr 2023
Sebastien Betermier, Laurent E. Calvet and Evan Jo
McGill University - Desautels Faculty of Management, SKEMA Business School and Queen's University - Smith School of Business
Downloads 1,597 (21,753)
Citation 2

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

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, SKEMA Business School and Queen's University - Smith School of Business
Downloads 1 (1,206,392)
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Anomalies, Asset Pricing, capital allocation, factor-based investing, General Equilibrium, production economy

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, SKEMA Business School and Stockholm School of Economics - Department of Finance
Downloads 1,543 (22,955)
Citation 75

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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, SKEMA Business School 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

9.

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
SKEMA Business School, University of British Columbia (UBC) - Sauder School of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 1,071 (39,806)
Citation 7

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

10.

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, SKEMA Business School and Stockholm School of Economics - Department of Finance
Downloads 1,013 (43,084)
Citation 47

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

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
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 552 (94,754)
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. FIN-02-064
Number of pages: 42 Posted: 03 Nov 2008
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 111 (465,346)

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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
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 99 (505,685)

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Regime-Switching and the Estimation of Multifractal Processes

NBER Working Paper No. w9839
Number of pages: 43 Posted: 20 Jul 2003 Last Revised: 22 May 2022
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 81 (575,917)
Citation 1

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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
SKEMA Business School, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 725 (66,871)
Citation 95

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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: 28 Sep 2022
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
SKEMA Business School, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 108 (474,940)
Citation 85

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Financial Innovation, Market Participation and Asset Prices

Number of pages: 47 Posted: 04 Oct 2001
Laurent E. Calvet, Martín Gonzalez-Eiras and Paolo Sodini
SKEMA Business School, University of Copenhagen and Stockholm School of Economics - Department of Finance
Downloads 590 (87,058)

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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
SKEMA Business School, University of Copenhagen and Stockholm School of Economics - Department of Finance
Downloads 70 (627,203)

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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: 21 Nov 2022
Laurent E. Calvet, Martín Gonzalez-Eiras and Paolo Sodini
SKEMA Business School, University of Copenhagen and Stockholm School of Economics - Department of Finance
Downloads 63 (664,083)
Citation 5

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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
SKEMA Business School, University of Copenhagen and Stockholm School of Economics - Department of Finance
Downloads 57 (698,670)

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

14.

Behavioral Heterogeneity and the Income Effect

Number of pages: 70 Posted: 23 Aug 2000
Laurent E. Calvet and Etienne Comon
SKEMA Business School and Harvard Institute of Economic Research
Downloads 654 (77,497)
Citation 8

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15.
Downloads 573 (91,450)
Citation 17

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
SKEMA Business School, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.
Downloads 412 (134,688)

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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: 29 Apr 2023
Laurent E. Calvet, Adlai J. Fisher and Samuel Brodsky Thompson
SKEMA Business School, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.
Downloads 161 (346,100)

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16.

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
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 569 (92,234)
Citation 16

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

17.

Extreme Risk and Fractal Regularity in Finance

Number of pages: 34 Posted: 08 Aug 2012
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 567 (92,670)

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18.

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
SKEMA Business School, HEC Paris - Department of Finance, University of British Columbia (UBC) - Sauder School of Business and University of Zurich
Downloads 553 (95,629)
Citation 4

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

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
SKEMA Business School and Stockholm School of Economics - Department of Finance
Downloads 293 (195,891)

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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
SKEMA Business School and Stockholm School of Economics - Department of Finance
Downloads 153 (361,315)
Citation 20

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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: 03 May 2023
Laurent E. Calvet and Paolo Sodini
SKEMA Business School and Stockholm School of Economics - Department of Finance
Downloads 51 (736,514)
Citation 52

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20.
Downloads 416 (134,486)
Citation 20

Can Security Design Foster Household Risk-Taking?

Journal of Finance, Forthcoming
Number of pages: 188 Posted: 02 Nov 2019 Last Revised: 26 Feb 2022
Laurent E. Calvet, Claire Celerier, Paolo Sodini and Boris Vallee
SKEMA Business School, University of Toronto - Rotman School of Management, Stockholm School of Economics - Department of Finance and Harvard Business School - Finance Unit
Downloads 415 (133,555)
Citation 5

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Behavioral biases, capital guarantee product, household finance, risk-taking, security design.

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
SKEMA Business School, University of Toronto, Stockholm School of Economics - Department of Finance and Harvard Business School - Finance Unit
Downloads 1 (1,206,392)
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behavioral biases, capital guarantee product, household finance, risk-taking, security design

21.

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, SKEMA Business School and Stockholm School of Economics - Department of Finance
Downloads 415 (134,883)
Citation 5

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

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
SKEMA Business School, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 315 (181,308)
Citation 15

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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: 16 Nov 2022
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
SKEMA Business School, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 97 (512,697)
Citation 101

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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
SKEMA Business School, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance

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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 SKEMA Business School
Downloads 332 (171,424)

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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: 07 Sep 2022
George-Marios Angeletos and Laurent E. Calvet
Massachusetts Institute of Technology (MIT) - Department of Economics and SKEMA Business School
Downloads 66 (647,780)
Citation 7

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24.
Downloads 311 (185,042)
Citation 36

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
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 237 (242,711)

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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: 07 Oct 2022
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 74 (607,644)
Citation 8

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25.

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
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 292 (197,810)

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

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 SKEMA Business School
Downloads 230 (249,815)

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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 Aug 2022
George-Marios Angeletos and Laurent E. Calvet
Massachusetts Institute of Technology (MIT) - Department of Economics and SKEMA Business School
Downloads 58 (692,724)
Citation 3

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27.

Robust Filtering

Number of pages: 48 Posted: 04 Aug 2012
Laurent E. Calvet, Veronika Czellar and Elvezio Ronchetti
SKEMA Business School, SKEMA Business School and University of Geneva - Research Center for Statistics
Downloads 247 (234,106)
Citation 3

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

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
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 171 (328,325)

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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: 21 Dec 2022
Laurent E. Calvet and Adlai J. Fisher
SKEMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 35 (856,526)
Citation 1

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29.

Measuring the Financial Sophistication of Households

NBER Working Paper No. w14699
Number of pages: 48 Posted: 17 Feb 2009 Last Revised: 01 Sep 2022
Laurent E. Calvet, John Y. Campbell and Paolo Sodini
SKEMA Business School, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance
Downloads 185 (306,425)
Citation 36

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30.
Downloads 178 (317,191)
Citation 4

The Cross-Section of Household Preferences

Number of pages: 79 Posted: 09 Nov 2022
SKEMA Business School, Harvard University - Department of Economics, London Business School and Stockholm School of Economics - Department of Finance
Downloads 159 (349,809)

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Life-cycle model, elasticity of intertemporal substitution, risk aversion, time preference rate, Epstein-Zin preferences, indirect inference.

The Cross-Section of Household Preferences

NBER Working Paper No. w28788
Number of pages: 42 Posted: 17 May 2021 Last Revised: 27 Feb 2023
SKEMA Business School, Harvard University - Department of Economics, London Business School and Stockholm School of Economics - Department of Finance
Downloads 18 (1,023,902)

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The Cross-Section of Household Preferences

CEPR Discussion Paper No. DP16105
Number of pages: 120 Posted: 14 May 2021
SKEMA Business School, Harvard University - Department of Economics, London Business School and Stockholm School of Economics - Department of Finance
Downloads 1 (1,206,392)
Citation 4
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31.

State-Observation Sampling and the Econometrics of Learning Models

Number of pages: 45 Posted: 26 May 2011
Laurent E. Calvet and Veronika Czellar
SKEMA Business School and SKEMA Business School
Downloads 176 (320,379)
Citation 2

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

32.

Five Facts About the Money Holdings of Individuals and Firms

Number of pages: 53 Posted: 28 Sep 2022
McGill University - Desautels Faculty of Management, SKEMA Business School and Tilburg University
Downloads 167 (335,408)

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Money demand, household finance, corporate cash holdings, portfolio choice, low interest rates.

33.

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
SKEMA Business School and SKEMA Business School
Downloads 121 (433,969)
Citation 10

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

34.

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
SKEMA Business School 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