This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Information about:
Laurent E. Calvet

Personal Details | Affiliation | Works
This is information that was supplied by Laurent Calvet in registering through RePEc. If you are Laurent E. Calvet , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Laurent
Middle Name: E.
Last Name: Calvet
Suffix:

RePEc Short-ID: pca582

Email:
Homepage: http://www.hec.fr/calvet
Postal Address:
Phone:

Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Simple Impact Factor
  2. Number of Distinct Works, Weighted by Recursive Impact Factor
  3. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  4. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  5. Number of Journal Pages, Weighted by Simple Impact Factor
  6. Number of Journal Pages, Weighted by Recursive Impact Factor
  7. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2009. "Measuring the Financial Sophistication of Households," NBER Working Papers 14699, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  2. Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2008. "Fight or Flight? Portfolio Rebalancing by Individual Investors," NBER Working Papers 14177, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  3. Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2006. "Down or Out: Assessing the Welfare Costs of Household Investment Mistakes," Harvard Institute of Economic Research Working Papers 2107, Harvard - Institute of Economic Research. [Downloadable!]
    Other versions:
    Published as:

  4. Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  5. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  6. George-Marios Angeletos & Laurent-Emmanuel Calvet, 2004. "Incomplete Market Dynamics in a Neoclassical Production Economy," NBER Working Papers 11016, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

  7. 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, Centre de Recherche en Economie et Statistique. [Downloadable!]

  8. Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004. "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers 0300, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  9. 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. [Downloadable!]
    Other versions:

  10. 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. [Downloadable!]
    Other versions:
    Published as:

  11. 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. [Downloadable!]

  12. 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. [Downloadable!]
    Other versions:
    Published as:

  13. Laurent Calvet ; Jean-Michel Grandmont ; Isabelle Lemaire, 2001. "Aggregation of Heterogenous Beliefs and Asset Pricing in Complete Financial Markets," Working Papers 2001-01, Centre de Recherche en Economie et Statistique. [Downloadable!]

  14. Laurent Calvet, 2000. "Forecasting Multifractal Volatility," Harvard Institute of Economic Research Working Papers 1902, Harvard - Institute of Economic Research. [Downloadable!]
    Other versions:
    Published as:

  15. 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.
    Published as:

  16. Laurent E. Calvet, 1999. "Incomplete Markets and Volatility," Harvard Institute of Economic Research Working Papers 1865, Harvard - Institute of Economic Research.
    Published as:

  17. Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1999. "A Multifractal Model of Assets Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-072, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Other versions:

  18. CALVET, Laurent & GRANDMONT, Jean-Michel & LEMAIRE, Isabelle, 1998. "Heterogeneous probabilities in complete asset markets," CORE Discussion Papers 1998019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  19. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation, Yale University. [Downloadable!]

  20. Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1997. "Large Deviations and the Distribution of Price Changes," Cowles Foundation Discussion Papers 1165, Cowles Foundation, Yale University. [Downloadable!]

Articles

  1. 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 393-98, May. [Downloadable!]
    Other versions:

  2. Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2009. "Fight Or Flight? Portfolio Rebalancing by Individual Investors-super-," The Quarterly Journal of Economics, MIT Press, vol. 124(1), pages 301-348, February. [Downloadable!] (restricted)

  3. 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. [Downloadable!] (restricted)
    Other versions:

  4. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October. [Downloadable!] (restricted)
    Other versions:

  5. 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. [Downloadable!] (restricted)
    Other versions:

  6. 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. [Downloadable!] (restricted)
    Other versions:

  7. 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. [Downloadable!] (restricted)
    Other versions:

  8. 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. [Downloadable!] (restricted)
    Other versions:

  9. Calvet, Laurent & Gonzalez-Eiras, Mart?n & Sodini, Paolo, 2004. "Financial Innovation, Market Participation, and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(03), pages 431-459, September. [Downloadable!]
    Other versions:

  10. 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. [Downloadable!] (restricted)

  11. 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, 03. [Downloadable!] (restricted)
    Other versions:

  12. 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. [Downloadable!] (restricted)

  13. Calvet, Laurent E., 2001. "Incomplete Markets and Volatility," Journal of Economic Theory, Elsevier, vol. 98(2), pages 295-338, June. [Downloadable!] (restricted)
    Other versions:

  14. Calvet, Laurent & Fisher, Adlai, 2001. "Forecasting multifractal volatility," Journal of Econometrics, Elsevier, vol. 105(1), pages 27-58, November. [Downloadable!] (restricted)
    Other versions:

NEP Fields

13 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-DGE: Dynamic General Equilibrium (2) 2003-06-16 2005-01-02
  2. NEP-ECM: Econometrics (2) 2000-11-29 2004-07-18
  3. NEP-ETS: Econometric Time Series (2) 2004-07-18 2004-11-22
  4. NEP-FIN: Finance (3) 2001-10-16 2003-07-13 2005-07-03
  5. NEP-FMK: Financial Markets (4) 2000-11-29 2006-02-26 2006-05-27 2006-06-03 Author is listed
  6. NEP-IFN: International Finance (2) 2004-11-22 2008-07-30
  7. NEP-INO: Innovation (1) 2003-07-13
  8. NEP-MAC: Macroeconomics (4) 2005-01-02 2006-02-26 2006-05-27 2006-06-03 Author is listed
  9. NEP-RMG: Risk Management (1) 2003-07-13
Did you know? Citation analysis on IDEAS includes online papers that are freely accessible and whose text could be automatically analyzed, currently about 210000 papers.

This page was last updated on 2009-11-6.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.