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Calvet Laurent

Working Papers

Aggregation of Heterogeneous Beliefs, Asset Pricing and Risk-Sharing in Complete Financial Markets” (with J.M. Grandmont and  I. Lemaire). Revise and resubmit, Journal of Economic Theory.

Published and Forthcoming Papers



"Who are the Value and Growth Investors?" (with S. Betermier and P. Sodini), forthcoming in Journal of Finance. Appendix


"Robust Filtering" (with V. Czellar and E. Ronchetti), Journal of the American Statistical Association 110, No. 512, pp. 1591-1606, December 2015.


"Accurate Methods for Approximate Bayesian Computation Filtering" (with V. Czellar), Journal of Financial Econometrics. 13(4), pp. 798-838, Fall 2015.


"What is Beneath the Surface? Option Pricing with Multifrequency Latent States" (with M. Fearnley, A Fisher and M. Leippold), Journal of Econometrics 187(2), pp. 498-511, August 2015.


"Through the Looking Glass: Indirect Inference via Simple Equilibria" (with V. Czellar), Journal of Econometrics 185(2), pp. 343-358, April 2015. Received the Best y-BIS Paper Award from the American Statistical Association and the National Institute of Statistical Sciences.   Appendix   


"Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios" (with P. Sodini), Journal of Finance 69(2), pp. 867-906, April 2014.   Appendix


"Extreme Risk and Fractal Regularity in Finance" (with A. Fisher), Fractal Geometry and Dynamical Systems in Pure and Applied Mathematics II: Fractals in Applied Mathematics, D. Carfi, M. Lapidus, E. Pearse and M. van Frankenhuijsen eds., Contemporary Mathematics, Vol. 601, 2013, American Mathematical Society.


"Measuring the Financial Sophistication of Households” (with J. Campbell and P. Sodini), American Economic Review Papers and Proceedings 99(2), pp. 393–98, May 2009.   Appendix


Fight or Flight? Portfolio Rebalancing by Individual Investors” (with J. Campbell and P. Sodini), Quarterly Journal of Economics 124, pp. 301-348, February 2009.    Appendix


Fractals, Entry in the New Palgrave Dictionary of Economics, 2008.


Multifrequency Jump-Diffusions: An Equilibrium Approach” (with A. Fisher), Journal of Mathematical Economics 44, pp. 207-226, January 2008.


Down or Out: Assessing the Welfare Costs of Household Investment Mistakes” (with J. Campbell and P. Sodini), Journal of Political Economy 115, pp. 707-747, October 2007 (lead article).     Appendix


Multifrequency News and Stock Returns” (with A. Fisher), Journal of Financial Economics 86, pp. 178-212, October 2007.  


Idiosyncratic Production Risk, Growth and the Business Cycle” (with G.M. Angeletos), Journal of Monetary Economics 53, 1095-1115, September 2006 (lead article).


Volatility Comovement: A Multifrequency Approach” (with A. Fisher and S. Thompson), Journal of Econometrics 131, pp. 179-215, March 2006.


"Incomplete-Market Dynamics in a Neoclassical Production Economy” (with G.M. Angeletos), Journal  of Mathematical Economics 41, pp. 407-438, August 2005 (lead article).


Financial Innovation, Market Participation and Asset Prices” (with M. Gonzalez-Eiras and P. Sodini),  Journal of Financial and Quantitative Analysis 39, 431-459, September 2004 (lead article).


How to Forecast Long-Run Volatility: Regime-Switching and the Estimation of Multifractal Processes”  (with A. Fisher), Journal of Financial Econometrics 2, pp. 49-83, Spring 2004.


Behavioral Heterogeneity and the Income Effect” (with E. Comon ), Review of Economics and Statistics 85, pp. 653-669, August 2003.


Multifractality in Asset Returns: Theory and Evidence” (with A. Fisher), Review of Economics and  Statistics 84, pp. 381-406, August 2002 (lead article). 


Forecasting Multifractal Volatility” (with A. Fisher), Journal of Econometrics 105, pp. 27-58, November  2001.


Incomplete Markets and Volatility”, Journal of Economic Theory 98, pp. 295-338, June 2001.


Heterogeneous Probabilities in Complete Asset Markets” (with J.M. Grandmont and I. Lemaire),  Advances in Mathematical Economics 1, pp. 3-15, 1999 (Springer Verlag,  S. Kusuoka and T.  Maruyama, Eds). Japanese translation in Mita Journal of Economics, Tokyo, 1999.


Permanent Working Papers

A Multifractal Model of Asset Returns” (with A. Fisher and B. Mandelbrot), Cowles Foundation Discussion Paper No. 1164, Yale University, September 1997.
Large Deviation Theory and the Distribution of Price Changes” (with A. Fisher and B. Mandelbrot), Cowles Foundation Discussion Paper No. 1165, Yale University, September 1997.

Multifractality of US Dollar/Deutsche Mark Exchange Rates” (with A. Fisher and B. Mandelbrot), Cowles Foundation Discussion Paper No. 1166, Yale University, September 1997.
"Indirect Inference for Learning Models" (with V. Czellar), December 2011.



National Bureau of Economic Research  webpage, with links to my NBER working papers. 


My EconPapers webpage.


My Social Science Research Network  webpage.