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Details about Laurent E. Calvet

E-mail:
Homepage:https://www.edhec.edu/en/corps-professoral-et-chercheurs/calvet-laurent-phd
Workplace:Département Comptabilité, Droit, Finance et Économie (Department of Accounting, Law, Finance and Economics), Groupe EDHEC (École de Hautes Études Commerciales du Nord) (EDHEC Business School), (more information at EDIRC)
Centre for Economic Policy Research (CEPR), (more information at EDIRC)

Access statistics for papers by Laurent E. Calvet.

Last updated 2018-01-04. Update your information in the RePEc Author Service.

Short-id: pca582


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Working Papers

2016

  1. Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in HEC Research Papers Series, HEC Paris (2015) Downloads View citations (16)
  2. Structural Dynamic Analysis of Systematic Risk
    Working Papers, Center for Research in Economics and Statistics Downloads

2014

  1. Who Are the Value and Growth Investors?
    HEC Research Papers Series, HEC Paris Downloads View citations (4)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (3)

    See also Journal Article in Journal of Finance (2017)

2013

  1. Through the Looking Glass: Indirect Inference via Simple Equilibria
    HEC Research Papers Series, HEC Paris Downloads
    See also Journal Article in Journal of Econometrics (2015)
  2. Twin picks: Disentangling the determinants of risk-taking in household portfolios
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (9)
    HEC Research Papers Series, HEC Paris (2011) Downloads View citations (2)
    Working Papers, HAL (2011) View citations (1)

    See also Journal Article in Journal of Finance (2014)
  3. What's Beneath the Surface? Option Pricing with Multifrequency Latent States
    HEC Research Papers Series, HEC Paris Downloads
    See also Journal Article in Journal of Econometrics (2015)

2012

  1. Down or Out: Assessing The Welfare Costs of Household Investment Mistakes
    Working Papers, HAL
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (19)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2006) Downloads View citations (20)
    HEC Research Papers Series, HEC Paris (2006) Downloads View citations (38)
    Working Papers, HAL (2012)
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2006) Downloads View citations (18)
    Post-Print, HAL (2007) View citations (149)
    Scholarly Articles, Harvard University Department of Economics (2007) Downloads View citations (241)

    See also Journal Article in Journal of Political Economy (2007)
  2. Efficient Estimation of Learning Models
    Working Papers, HAL View citations (1)
    Also in Post-Print, HAL (2011)
  3. Idiosyncratic Production Risk, Growth and the Business Cycle
    Working Papers, HAL
    Also in Working Papers, HAL (2003) View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (25)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) Downloads
    Post-Print, HAL (2006) View citations (31)

    See also Journal Article in Journal of Monetary Economics (2006)

2011

  1. A Multifractal Model of Asset Returns
    Working Papers, HAL
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1997) Downloads View citations (74)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) Downloads View citations (8)
  2. Large Deviation Theory and the Distribution of Price Changes
    Working Papers, HAL
  3. Multifractality of US Dollar/Deutsche Mark Exchange Rates
    Working Papers, HAL
  4. Multifrequency News and Stock Returns
    Working Papers, HAL
    Also in Post-Print, HAL (2007) View citations (19)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (4)

    See also Journal Article in Journal of Financial Economics (2007)
  5. State-Observation Sampling and the Econometrics of Learning Models
    Papers, arXiv.org Downloads View citations (3)
    Also in Working Papers, HAL (2011) View citations (1)
    HEC Research Papers Series, HEC Paris (2011) Downloads View citations (3)

2010

  1. Asset Pricing
    Post-Print, HAL
  2. Twin picks: disentangling the determinants of risk-taking in household portfolios conférence invité)
    Post-Print, HAL

2009

  1. Down and Out: Assessing the Welfare Costs of Household investment Mistakes
    Post-Print, HAL
  2. Fight Or Flight? Portfolio Rebalancing by Individual Investors
    Post-Print, HAL View citations (91)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (30)
    Post-Print, HAL (2009) View citations (134)

    See also Journal Article in The Quarterly Journal of Economics (2009)
  3. Household Heterogeneity in financial Market
    Post-Print, HAL
  4. Measuring the Financial Sophistication of Households
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (83)
    Also in Post-Print, HAL (2009) View citations (61)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (85)

    See also Journal Article in American Economic Review (2009)
  5. Multifractal Volatility: Theory, Estimation and Forecasting
    Post-Print, HAL

2008

  1. Fractals
    Post-Print, HAL
  2. Multifractal Volatility: Theory, Forecasting and Pricing
    Post-Print, HAL View citations (30)
  3. Multifrequency jump-diffusions: An equilibrium approach
    Post-Print, HAL View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads

    See also Journal Article in Journal of Mathematical Economics (2008)

2006

  1. Volatility Comovement: a multifrequency approach
    Post-Print, HAL View citations (21)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2006)

2005

  1. Incomplete Market Dynamics in a Neoclassical Production Economy
    Post-Print, HAL View citations (10)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) Downloads View citations (12)
    NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (1)

    See also Journal Article in Journal of Mathematical Economics (2005)

2004

  1. Aggregation oh Heterogeneous Beliefs, Asset Pricing and Risk Sharing in Complete Financial Markets
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
  2. Financial Innovation, Market Participation, and Asset Prices
    Working Papers, Universidad de San Andres, Departamento de Economia View citations (9)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2001) Downloads View citations (2)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (11)
    Post-Print, HAL (2004) View citations (5)
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2001) Downloads View citations (9)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2004)
  3. How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes
    Post-Print, HAL View citations (65)
    See also Journal Article in Journal of Financial Econometrics (2004)

2003

  1. Behavioral Heterogeneity and the Income Effect
    Post-Print, HAL View citations (11)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) View citations (6)

    See also Journal Article in The Review of Economics and Statistics (2003)
  2. Regime-Switching and the Estimation of Multifractal Processes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2003) Downloads View citations (3)

2002

  1. Multifractality in Asset Returns: Theory and Evidence
    Post-Print, HAL View citations (51)
    See also Journal Article in The Review of Economics and Statistics (2002)

2001

  1. Aggregation of Heterogenous Beliefs and Asset Pricing in Complete Financial Markets
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (23)
  2. Forecasting multifractal volatility
    Post-Print, HAL View citations (57)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) Downloads
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) Downloads

    See also Journal Article in Journal of Econometrics (2001)
  3. Incomplete Markets and Volatility
    Post-Print, HAL View citations (8)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1999)

    See also Journal Article in Journal of Economic Theory (2001)
  4. Incomplete Markets, Growth, and the Business Cycle
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (10)

1998

  1. Heterogeneous probabilities in complete asset markets
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)

1997

  1. Large Deviations and the Distribution of Price Changes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (21)
  2. Multifractality of Deutschemark/US Dollar Exchange Rates
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (33)

Journal Articles

2017

  1. Who Are the Value and Growth Investors?
    Journal of Finance, 2017, 72, (1), 5-46 Downloads View citations (4)
    See also Working Paper (2014)

2015

  1. Accurate Methods for Approximate Bayesian Computation Filtering
    Journal of Financial Econometrics, 2015, 13, (4), 798-838 Downloads View citations (4)
  2. Introduction to JPEF special issue on household finance
    Journal of Pension Economics and Finance, 2015, 14, (04), 329-331 Downloads View citations (1)
  3. Robust Filtering
    Journal of the American Statistical Association, 2015, 110, (512), 1591-1606 Downloads
  4. Through the looking glass: Indirect inference via simple equilibria
    Journal of Econometrics, 2015, 185, (2), 343-358 Downloads View citations (5)
    See also Working Paper (2013)
  5. What is beneath the surface? Option pricing with multifrequency latent states
    Journal of Econometrics, 2015, 187, (2), 498-511 Downloads View citations (3)
    See also Working Paper (2013)

2014

  1. Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios
    Journal of Finance, 2014, 69, (2), 867-906 Downloads View citations (53)
    See also Working Paper (2013)

2009

  1. Fight or Flight? Portfolio Rebalancing by Individual Investors
    The Quarterly Journal of Economics, 2009, 124, (1), 301-348 Downloads View citations (129)
    See also Working Paper (2009)
  2. Measuring the Financial Sophistication of Households
    American Economic Review, 2009, 99, (2), 393-98 Downloads View citations (88)
    See also Working Paper (2009)

2008

  1. Multifrequency jump-diffusions: An equilibrium approach
    Journal of Mathematical Economics, 2008, 44, (2), 207-226 Downloads View citations (9)
    See also Working Paper (2008)

2007

  1. Down or Out: Assessing the Welfare Costs of Household Investment Mistakes
    Journal of Political Economy, 2007, 115, (5), 707-747 Downloads View citations (241)
    See also Working Paper (2012)
  2. Multifrequency news and stock returns
    Journal of Financial Economics, 2007, 86, (1), 178-212 Downloads View citations (29)
    See also Working Paper (2011)

2006

  1. Idiosyncratic production risk, growth and the business cycle
    Journal of Monetary Economics, 2006, 53, (6), 1095-1115 Downloads View citations (50)
    See also Working Paper (2012)
  2. Volatility comovement: a multifrequency approach
    Journal of Econometrics, 2006, 131, (1-2), 179-215 Downloads View citations (49)
    See also Working Paper (2006)

2005

  1. Incomplete-market dynamics in a neoclassical production economy
    Journal of Mathematical Economics, 2005, 41, (4-5), 407-438 Downloads View citations (18)
    See also Working Paper (2005)

2004

  1. Financial Innovation, Market Participation, and Asset Prices
    Journal of Financial and Quantitative Analysis, 2004, 39, (03), 431-459 Downloads View citations (13)
    See also Working Paper (2004)
  2. How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes
    Journal of Financial Econometrics, 2004, 2, (1), 49-83 Downloads View citations (105)
    See also Working Paper (2004)

2003

  1. Behavioral Heterogeneity and the Income Effect
    The Review of Economics and Statistics, 2003, 85, (3), 653-669 Downloads View citations (18)
    See also Working Paper (2003)

2002

  1. Multifractality In Asset Returns: Theory And Evidence
    The Review of Economics and Statistics, 2002, 84, (3), 381-406 Downloads View citations (123)
    See also Working Paper (2002)

2001

  1. Forecasting multifractal volatility
    Journal of Econometrics, 2001, 105, (1), 27-58 Downloads View citations (109)
    See also Working Paper (2001)
  2. Incomplete Markets and Volatility
    Journal of Economic Theory, 2001, 98, (2), 295-338 Downloads View citations (35)
    See also Working Paper (2001)

Books

2008

  1. Multifractal Volatility
    Elsevier Monographs, Elsevier Downloads View citations (27)
 
Page updated 2019-08-17