Laurent E. Calvet

EDHEC Business School - Department of Economics & Finance

France

CEPR

Research Fellow

33 Great Sutton Street

London, EC1V 0DX

United Kingdom

SCHOLARLY PAPERS

33

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SSRN CITATIONS
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784

CROSSREF CITATIONS

799

Scholarly Papers (33)

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 8,375 (875)
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 2,875 (5,569)

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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 2,814 (5,793)

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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 1,659 (13,567)
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 1,618 (14,088)
Citation 10

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Idiosyncratic Risk, Precautionary Motive, Endogenous Fluctuations.

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 1,238 (20,844)
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

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 965 (30,488)
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.
Downloads 882 ( 34,501)
Citation 2

A Supply and Demand Approach to Equity Pricing

Number of pages: 95 Posted: 22 Aug 2019 Last Revised: 18 Oct 2021
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 882 (33,999)
Citation 2

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

A Supply and Demand Approach to Equity Pricing

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

9.

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 828 (37,690)
Citation 19

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

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 674 (49,128)
Citation 95

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

Fight or Flight? Portfolio Rebalancing by Individual Investors

Number of pages: 46 Posted: 21 Jul 2008 Last Revised: 27 Sep 2021
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 71 (415,050)

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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
EDHEC Business School - Department of Economics & Finance, University of Copenhagen and Stockholm School of Economics - Department of Finance
Downloads 573 (60,593)
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 55 (473,335)

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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 (526,852)

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

Financial Innovation, Market Participation and Asset Prices

Number of pages: 43 Posted: 20 Jul 2003 Last Revised: 23 May 2021
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 (536,819)
Citation 5

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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 528 (67,216)
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 68 (425,045)

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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 67 (428,468)

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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

Number of pages: 43 Posted: 20 Jul 2003 Last Revised: 21 Nov 2021
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 48 (503,239)
Citation 1

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13.

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 623 (55,186)
Citation 5

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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 508 (71,290)
Citation 4

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15.
Downloads 498 ( 73,053)
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 385 (98,094)

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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

Number of pages: 42 Posted: 15 Aug 2007 Last Revised: 29 Oct 2021
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 113 (309,204)

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16.

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
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
Downloads 488 (74,882)
Citation 4

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

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 480 (76,379)
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.

What Do the Portfolios of Individual Investors Reveal About the Cross-Section of Equity Returns?

Number of pages: 86 Posted: 02 Mar 2021
McGill University - Desautels Faculty of Management, EDHEC Business School - Department of Economics & Finance, BI Norwegian Business School and Tilburg University
Downloads 441 (84,542)

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

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 259 (150,912)

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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 83 (378,889)
Citation 42

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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

Number of pages: 51 Posted: 05 Apr 2010 Last Revised: 01 Nov 2021
Laurent E. Calvet and Paolo Sodini
EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance
Downloads 31 (592,922)

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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 EDHEC Business School - Department of Economics & Finance
Downloads 314 (123,241)
Citation 1

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

Idiosyncratic Production Risk, Growth, and the Business Cycle

Number of pages: 29 Posted: 08 Jun 2003 Last Revised: 06 Sep 2021
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 (569,264)
Citation 7

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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 268 (145,723)
Citation 12

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Asset allocation, diversification, familiarity, participation

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

Number of pages: 65 Posted: 11 Feb 2006 Last Revised: 15 Nov 2021
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 74 (405,424)
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
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics and Stockholm School of Economics - Department of Finance

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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 291 (134,934)
Citation 5

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

23.
Downloads 261 (150,330)
Citation 31

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 216 (180,211)

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

Multifrequency News and Stock Returns

Number of pages: 51 Posted: 12 Jul 2005 Last Revised: 07 Oct 2021
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 45 (517,257)
Citation 3

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24.

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 248 (158,175)

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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 EDHEC Business School - Department of Economics & Finance
Downloads 199 (194,635)

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Entrepreneurial Risk, Precautionary Motive, Endogenous Fluctuations, Poverty Traps

Incomplete Market Dynamics in a Neoclassical Production Economy

Number of pages: 37 Posted: 27 Jan 2005 Last Revised: 07 Feb 2021
George-Marios Angeletos and Laurent E. Calvet
Massachusetts Institute of Technology (MIT) - Department of Economics and EDHEC Business School - Department of Economics & Finance
Downloads 36 (563,647)
Citation 3

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26.

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, SKEMA Business School and University of Geneva - Research Center for Statistics
Downloads 220 (177,440)
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
EDHEC Business School - Department of Economics & Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 149 (250,220)

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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

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 26 (626,396)

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28.

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 SKEMA Business School
Downloads 160 (235,415)
Citation 2

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

29.

Measuring the Financial Sophistication of Households

Number of pages: 48 Posted: 17 Feb 2009 Last Revised: 01 Sep 2021
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 126 (284,466)
Citation 36

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30.

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 SKEMA Business School
Downloads 103 (327,700)
Citation 4

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

31.
Downloads 87 (364,772)
Citation 2

The Cross-Section of Household Preferences

Swedish House of Finance Research Paper No. 21-11
Number of pages: 116 Posted: 05 May 2021 Last Revised: 23 Jun 2021
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics, London Business School and Stockholm School of Economics - Department of Finance
Downloads 78 (393,291)
Citation 1

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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

Number of pages: 76 Posted: 17 May 2021 Last Revised: 18 Nov 2021
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics, London Business School and Stockholm School of Economics - Department of Finance
Downloads 8 (771,774)
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The Cross-Section of Household Preferences

Number of pages: 120 Posted: 14 May 2021
EDHEC Business School - Department of Economics & Finance, Harvard University - Department of Economics, London Business School and Stockholm School of Economics - Department of Finance
Downloads 1 (838,783)
Citation 1
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32.
Downloads 83 (375,359)
Citation 4

Can Security Design Foster Household Risk-Taking?

Number of pages: 60 Posted: 02 Nov 2019 Last Revised: 29 Jun 2021
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 83 (378,889)
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?

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

33.

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