NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Laurent E. Calvet

Department of Finance
EDHEC
Tel: +33 13 967 9409
Fax: +33 13 967 7085

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NBER Working Papers and Publications

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. citation courtesy of

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. citation courtesy of

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

 
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