Laurent E. Calvet

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Coauteurs

Paolo SodiniStockholm School of EconomicsAdresse e-mail validée de hhs.se
Adlai FisherProfessor of Finance, Sauder School of Business, University of British ColumbiaAdresse e-mail validée de sauder.ubc.ca
John Y. CampbellMorton L. and Carole S. Olshan Professor of Economics, Harvard UniversityAdresse e-mail validée de harvard.edu
Benoît B. MandelbrotMathematics, IBM/Yale University
Liuren WuProfessor of Economics and Finance, Baruch CollegeAdresse e-mail validée de baruch.cuny.edu
Grandmont Jean-MichelSenior Researcher at CREST, Institut Polytechnique, ParisAdresse e-mail validée de ensae.fr
Boris ValléeTorstein Hagen Associate Professor of Finance, Harvard Business SchoolAdresse e-mail validée de hbs.edu
Celerier ClaireUniversity of TorontoAdresse e-mail validée de rotman.utoronto.ca
Francisco GomesLondon Business SchoolAdresse e-mail validée de london.edu
Elvezio RonchettiResearch Center for Statistics and Geneva School of Economics and Management, University of GenevaAdresse e-mail validée de unige.ch
Markus LeippoldUniversity of Zurich, Department of Banking and FinanceAdresse e-mail validée de bf.uzh.ch

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Laurent E. Calvet

Professor of Finance, EDHEC Business School

Adresse e-mail validée de edhec.edu - Page d'accueil

Financial Economics Household Finance Portfolio Selection Fractals Filtering


Titre Trier par citations Trier par année Trier par titre	Citée par Citée par	Année
Down or out: Assessing the welfare costs of household investment mistakes LE Calvet, JY Campbell, P Sodini Journal of Political Economy 115 (5), 707-747, 2007	1126	2007
A multifractal model of asset returns LE Calvet, AJ Fisher, BB Mandelbrot Cowles Foundation Discussion Paper No. 1164, 1997	738*	1997
Fight or flight? Portfolio rebalancing by individual investors LE Calvet, JY Campbell, P Sodini Quarterly Journal of Economics 124 (1), 301-348, 2009	642	2009
Measuring the financial sophistication of households LE Calvet, JY Campbell, P Sodini American Economic Review 99 (2), 393-398, 2009	634	2009
Multifractality in asset returns: Theory and evidence LE Calvet, A Fisher Review of Economics and Statistics 84 (3), 381-406, 2002	423	2002
How to forecast long-run volatility: Regime switching and the estimation of multifractal processes LE Calvet, AJ Fisher Journal of Financial Econometrics 2 (1), 49-83, 2004	380	2004
Forecasting multifractal volatility LE Calvet, A Fisher Journal of Econometrics 105 (1), 27-58, 2001	359	2001
Twin picks: Disentangling the determinants of risk‐taking in household portfolios LE Calvet, P Sodini Journal of Finance 69 (2), 867-906, 2014	281	2014
Multifractal volatility: Theory, forecasting, and pricing LE Calvet, A Fisher Academic Press, 2008	245	2008
Multifractality of Deutschemark/US dollar exchange rates LE Calvet, AJ Fisher, BB Mandelbrot Cowles Foundation discussion paper No. 1166, 1997	223*	1997
Idiosyncratic production risk, growth and the business cycle GM Angeletos, LE Calvet Journal of Monetary Economics 53 (6), 1095-1115, 2006	198	2006
Rich pickings? Risk, return, and skill in household wealth L Bach, LE Calvet, P Sodini American Economic Review 110 (9), 2703-2747, 2020	165	2020
Large deviations and the distribution of price changes LE Calvet, AJ Fisher, BB Mandelbrot Cowles Foundation Discussion Paper No. 1165, 1997	156*	1997
Volatility comovement: A multifrequency approach LE Calvet, AJ Fisher, SB Thompson Journal of Econometrics 131 (1), 179-215, 2006	141	2006
Multifrequency news and stock returns LE Calvet, AJ Fisher Journal of Financial Economics 86 (1), 178-212, 2007	132	2007
Who are the value and growth investors? S Betermier, LE Calvet, P Sodini Journal of Finance 72 (1), 5-46, 2017	104	2017
Financial innovation, market participation, and asset prices LE Calvet, M Gonzalez-Eiras, P Sodini Journal of Financial and Quantitative Analysis 39 (03), 431-459, 2004	95	2004
Rich pickings? Risk, return, and skill in the portfolios of the wealthy L Bach, LE Calvet, P Sodini CEPR Discussion Paper No. DP11734, 2016	77	2016
Incomplete markets and volatility LE Calvet Journal of Economic Theory 98 (2), 295-338, 2001	72	2001
Aggregation of heterogeneous beliefs, risk sharing and asset pricing in complete financial markets LE Calvet, JM Grandmont, I Lemaire Research in Economics 72 (1), 117-146, 2018	61*	2018

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