NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Laurent E. Calvet

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers and Chapters

April 2010Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios
with Paolo Sodini: w15859

Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios” (with P. Sodini), forthcoming in Journal of Finance.

February 2009Measuring the Financial Sophistication of Households
with John Y. Campbell, Paolo Sodini: w14699

Published: 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. citation courtesy of

July 2008Fight or Flight? Portfolio Rebalancing by Individual Investors
with John Y. Campbell, Paolo Sodini: w14177

Published: 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.

December 2006Multifrequency Jump-Diffusions: An Equilibrium Approach
with Adlai J. Fisher: w12797

Published: 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. citation courtesy of

February 2006Down or Out: Assessing the Welfare Costs of Household Investment Mistakes
with John Y. Campbell, Paolo Sodini: w12030

Published: Calvet, Laurent, John Campbell, and Paolo Sodini. "Down or Out: Assessing the Welfare Costs of Household Investment Mistakes.” Journal of Political Economy 115 (October 2007): 707-747. citation courtesy of

June 2005Multifrequency News and Stock Returns
with Adlai J. Fisher: w11441

Published: Calvet, Laurent E. and Adlai J. Fisher. "Multifrequency News and Stock Returns." Journal of Financial Economics 86, 1 (October 2007): 178-212. citation courtesy of

December 2004Incomplete Market Dynamics in a Neoclassical Production Economy
with George-Marios Angeletos: w11016

Published: Angeletos, George-Marios and Laurent-Emmanuel Calvet. "Incomplete-Market Dynamics In A Neoclassical Production Economy," Journal of Mathematical Economics, 2005, v41(4-5,Aug), 407-438. citation courtesy of

August 2004Volatility Comovement: A Multifrequency Approach
with Adlai J. Fisher, Samuel B. Thompson: t0300

Published: Calvet, Laurent E., Adlai J. Fisher and Samuel B. Thompson. "Volatility Comovement: A Multifrequency Approach," Journal of Econometrics, 2006, v131(1-2,Mar-Apr), 179-215.

July 2003Regime-Switching and the Estimation of Multifractal Processes
with Adlai Fisher: w9839

Published: Calvet, Laurent E. and Adlai J. Fisher. "How To Forecast Long-Run Volatility: Regime Switching And The Estimation Of Multifractal Processes," Journal of Financial Econometrics, 2004, v2(1,Winter), 49-83.

Financial Innovation, Market Participation and Asset Prices
with Martin Gonzalez-Eiras, Paolo Sodini: w9840

Published: Calvet, Laurent, Martin Gonzalez-Eiras and Paolo Sodini. "Financial Innovation, Market Participation, And Asset Prices," Journal of Financial and Quantitative Analysis, 2004, v39(3,Sep), 431-459. citation courtesy of

June 2003Idiosyncratic Production Risk, Growth, and the Business Cycle
with George-Marios Angeletos: w9764

Published: 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. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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