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Laurent E. Calvet

Personal Details

First Name:Laurent
Middle Name:E.
Last Name:Calvet
Suffix:
RePEc Short-ID:pca582
[This author has chosen not to make the email address public]
https://www.laurentcalvet.com
5 Quai Marcel Dassault 92150 Suresnes France
Twitter: @laurentecalvet
Terminal Degree:1998 Economics Department; Yale University (from RePEc Genealogy)

Affiliation

SKEMA Business School

Lille, France
http://www.skema-bs.fr/
RePEc:edi:esclifr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Calvet, Laurent E. & Campbell, John Y & Gomes, Francisco & Sodini, Paolo, 2021. "The Cross-Section of Household Preferences," CEPR Discussion Papers 16105, C.E.P.R. Discussion Papers.
  2. Calvet, Laurent E. & Célérier, Claire & Vallee, Boris, 2020. "Can Security Design Foster Household Risk-Taking?," CEPR Discussion Papers 14955, C.E.P.R. Discussion Papers.
  3. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
  4. Calvet, Laurent E. & Bach, Laurent, 2016. "Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy," CEPR Discussion Papers 11734, C.E.P.R. Discussion Papers.
  5. Laurent Calvet & Veronika Czellar & Christian Gouriéroux, 2016. "Structural Dynamic Analysis of Systematic Risk," Working Papers 2016-19, Center for Research in Economics and Statistics.
  6. Laurent E. Calvet & Veronika Czellar, 2015. "Accurate Methods for Approximate Bayesian Computation Filtering," Post-Print hal-02313212, HAL.
  7. Laurent E. Calvet & Veronika Czellar & Elvezio Ronchetti, 2015. "Robust Filtering," Post-Print hal-02313229, HAL.
  8. Calvet , Laurent & Betermier , Sebastien, 2014. "Who Are the Value and Growth Investors?," HEC Research Papers Series 1043, HEC Paris.
  9. Calvet , Laurent & Czellar, Veronika, 2013. "Through the Looking Glass: Indirect Inference via Simple Equilibria," HEC Research Papers Series 1048, HEC Paris.
  10. Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold, 2013. "What's Beneath the Surface? Option Pricing with Multifrequency Latent States," HEC Research Papers Series 969, HEC Paris.
  11. Laurent-Emmanuel Calvet, 2011. "Efficient estimation of learning models," Post-Print hal-00577831, HAL.
  12. Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "Large Deviation Theory and the Distribution of Price Changes," Working Papers hal-00601869, HAL.
  13. Laurent E. Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Papers 1105.4519, arXiv.org.
  14. Calvet, Laurent-Emmanuel & Sodini, Paolo, 2011. "Twin picks: disentangling the determinants of risk-taking in household portfolios," HEC Research Papers Series 948, HEC Paris.
  15. Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "Multifractality of US Dollar/Deutsche Mark Exchange Rates," Working Papers hal-00601871, HAL.
  16. Laurent-Emmanuel Calvet, 2010. "Asset Pricing," Post-Print hal-00553973, HAL.
  17. P. Sodini & Laurent-Emmanuel Calvet, 2010. "Twin picks: disentangling the determinants of risk-taking in household portfolios conférence invité)," Post-Print hal-00554140, HAL.
  18. Laurent-Emmanuel Calvet & Paolo Sodini & John Y. Campbell, 2009. "Fight Or Flight? Portfolio Rebalancing by Individual Investors," Post-Print hal-00459683, HAL.
  19. J. Campbell & Paolo Sodini & Laurent-Emmanuel Calvet, 2009. "Down and Out : Assessing the Welfare Costs of Household investment Mistakes," Post-Print hal-00495593, HAL.
  20. Laurent-Emmanuel Calvet & John Y. Campbell & Paolo Sodini, 2009. "Measuring the Financial Sophistication of Households," Post-Print hal-00459687, HAL.
  21. Laurent-Emmanuel Calvet, 2009. "Household Heterogeneity in financial Market," Post-Print hal-00495698, HAL.
  22. A. Fisher & Laurent-Emmanuel Calvet, 2009. "Multifractal Volatility: Theory, Estimation and Forecasting," Post-Print hal-00495925, HAL.
  23. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008. "Multifrequency jump-diffusions: An equilibrium approach," Post-Print hal-00459681, HAL.
  24. Laurent E. Calvet, 2008. "Fractals," Post-Print hal-00671878, HAL.
  25. Laurent E. Calvet & Adlai Fisher, 2008. "Multifractal Volatility: Theory, Forecasting and Pricing," Post-Print hal-00671877, HAL.
  26. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2007. "Multifrequency news and stock returns," Post-Print hal-00459675, HAL.
  27. Calvet, Laurent & Campbell, John Y. & Sodini, Paolo, 2006. "Down or out: assessing the welfare costs of household investment mistakes," HEC Research Papers Series 832, HEC Paris.
  28. Laurent-Emmanuel Calvet & Adlai J. Fisher & Samuel B. Thompson, 2006. "Volatility Comovement: a multifrequency approach," Post-Print hal-00459667, HAL.
  29. George-Marios Angeletos & Laurent-Emmanuel Calvet, 2005. "Incomplete Market Dynamics in a Neoclassical Production Economy," Harvard Institute of Economic Research Working Papers 2058, Harvard - Institute of Economic Research.
  30. Laurent Calvet & Jean-Michel Grandmont & Isabelle Lemaire, 2004. "Aggregation oh Heterogeneous Beliefs, Asset Pricing and Risk Sharing in Complete Financial Markets," Working Papers 2004-12, Center for Research in Economics and Statistics.
  31. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2004. "How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes," Post-Print hal-00478472, HAL.
  32. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," Harvard Institute of Economic Research Working Papers 1999, Harvard - Institute of Economic Research.
  33. George-Marios Angeletos & Laurent E. Calvet, 2002. "Idiosyncratic Production Risk, Growth and the Business Cycle," Harvard Institute of Economic Research Working Papers 1952, Harvard - Institute of Economic Research.
  34. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2002. "Multifractality in Asset Returns: Theory and Evidence," Post-Print hal-00478175, HAL.
  35. Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2001. "Financial Innovation, Market Participation and Asset Prices," Harvard Institute of Economic Research Working Papers 1928, Harvard - Institute of Economic Research.
  36. George-Marios Angeletos & Laurent E. Calvet, 2001. "Incomplete Markets, Growth, and the Business Cycle," Harvard Institute of Economic Research Working Papers 1910, Harvard - Institute of Economic Research.
  37. Laurent Calvet & Jean-Michel Grandmont & Isabelle Lemaire, 2001. "Aggregation of Heterogenous Beliefs and Asset Pricing in Complete Financial Markets," Working Papers 2001-01, Center for Research in Economics and Statistics.
  38. Laurent Calvet, 2000. "Forecasting Multifractal Volatility," Harvard Institute of Economic Research Working Papers 1902, Harvard - Institute of Economic Research.
  39. Laurent E. Calvet & Etienne Comon, 2000. "Behavioral Heterogeneity and The Income Effect," Harvard Institute of Economic Research Working Papers 1892, Harvard - Institute of Economic Research.
  40. Laurent E. Calvet, 1999. "Incomplete Markets and Volatility," Harvard Institute of Economic Research Working Papers 1865, Harvard - Institute of Economic Research.
  41. CALVET, Laurent & GRANDMONT, Jean-Michel & LEMAIRE, Isabelle, 1998. "Heterogeneous probabilities in complete asset markets," LIDAM Discussion Papers CORE 1998019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  42. Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1997. "Large Deviations and the Distribution of Price Changes," Cowles Foundation Discussion Papers 1165, Cowles Foundation for Research in Economics, Yale University.
  43. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
  44. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.

Articles

  1. Laurent Bach & Laurent E. Calvet & Paolo Sodini, 2020. "Rich Pickings? Risk, Return, and Skill in Household Wealth," American Economic Review, American Economic Association, vol. 110(9), pages 2703-2747, September.
  2. Calvet, Laurent-Emmanuel & Grandmont, Jean-Michel & Lemaire, Isabelle, 2018. "Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets," Research in Economics, Elsevier, vol. 72(1), pages 117-146.
  3. Calvet, Laurent E. & Fisher, Adlai J. & Wu, Liuren, 2018. "Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(2), pages 937-963, April.
  4. Sebastien Betermier & Laurent E. Calvet & Paolo Sodini, 2017. "Who Are the Value and Growth Investors?," Journal of Finance, American Finance Association, vol. 72(1), pages 5-46, February.
  5. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
  6. Laurent E. Calvet & Veronika Czellar, 2015. "Accurate Methods for Approximate Bayesian Computation Filtering," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 798-838.
  7. Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015. "What is beneath the surface? Option pricing with multifrequency latent states," Journal of Econometrics, Elsevier, vol. 187(2), pages 498-511.
  8. Laurent E. Calvet & Veronika Czellar & Elvezio Ronchetti, 2015. "Robust Filtering," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(512), pages 1591-1606, December.
  9. Laurent E. Calvet & Paolo Sodini, 2014. "Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios," Journal of Finance, American Finance Association, vol. 69(2), pages 867-906, April.
  10. Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2009. "Fight or Flight? Portfolio Rebalancing by Individual Investors," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 124(1), pages 301-348.
  11. Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2009. "Measuring the Financial Sophistication of Households," American Economic Review, American Economic Association, vol. 99(2), pages 393-398, May.
  12. Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
  13. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
  14. Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2007. "Down or Out: Assessing the Welfare Costs of Household Investment Mistakes," Journal of Political Economy, University of Chicago Press, vol. 115(5), pages 707-747, October.
  15. Angeletos, George-Marios & Calvet, Laurent-Emmanuel, 2006. "Idiosyncratic production risk, growth and the business cycle," Journal of Monetary Economics, Elsevier, vol. 53(6), pages 1095-1115, September.
  16. Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B., 2006. "Volatility comovement: a multifrequency approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 179-215.
  17. Angeletos, George-Marios & Calvet, Laurent-Emmanuel, 2005. "Incomplete-market dynamics in a neoclassical production economy," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 407-438, August.
  18. Calvet, Laurent & Gonzalez-Eiras, Martín & Sodini, Paolo, 2004. "Financial Innovation, Market Participation, and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 431-459, September.
  19. Laurent E. Calvet, 2004. "How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 49-83.
  20. Laurent Calvet & Etienne Comon, 2003. "Behavioral Heterogeneity and the Income Effect," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 653-669, August.
  21. Laurent Calvet & Adlai Fisher, 2002. "Multifractality In Asset Returns: Theory And Evidence," The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 381-406, August.
  22. Calvet, Laurent E., 2001. "Incomplete Markets and Volatility," Journal of Economic Theory, Elsevier, vol. 98(2), pages 295-338, June.
  23. Calvet, Laurent & Fisher, Adlai, 2001. "Forecasting multifractal volatility," Journal of Econometrics, Elsevier, vol. 105(1), pages 27-58, November.

Books

  1. Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifractal Volatility," Elsevier Monographs, Elsevier, edition 1, number 9780121500139.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. h-index
  19. Number of Registered Citing Authors
  20. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  21. Number of Journal Pages, Weighted by Simple Impact Factor
  22. Number of Journal Pages, Weighted by Recursive Impact Factor
  23. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  24. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  25. Euclidian citation score
  26. Breadth of citations across fields
  27. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 18 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (5) 2000-11-29 2006-02-26 2006-05-27 2006-06-03 2019-10-21. Author is listed
  2. NEP-MAC: Macroeconomics (5) 2005-01-02 2006-02-26 2006-05-27 2006-06-03 2021-05-24. Author is listed
  3. NEP-ECM: Econometrics (4) 2000-11-29 2004-07-18 2011-05-30 2015-02-11
  4. NEP-FIN: Finance (3) 2001-10-16 2003-07-13 2005-07-03
  5. NEP-ORE: Operations Research (3) 2013-11-14 2015-02-11 2019-10-21
  6. NEP-DGE: Dynamic General Equilibrium (2) 2003-06-16 2005-01-02
  7. NEP-ETS: Econometric Time Series (2) 2004-07-18 2004-11-22
  8. NEP-UPT: Utility Models and Prospect Theory (2) 2021-05-24 2021-06-21
  9. NEP-CWA: Central and Western Asia (1) 2021-05-24
  10. NEP-IFN: International Finance (1) 2004-11-22
  11. NEP-INO: Innovation (1) 2003-07-13
  12. NEP-NET: Network Economics (1) 2016-06-25
  13. NEP-RMG: Risk Management (1) 2003-07-13

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