Corps professoral

Laurent-Emmanuel CALVET

Professeur

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Laurent-Emmanuel CALVET

Académie

Transformation

Centre de recherche

Finance & Accounting Insights on Risk and Regulation

Localisation

Paris

Discipline

Finance

Laurent E. Calvet is a Professor of Finance at SKEMA Business School. An engineering graduate from Ecole Polytechnique and Ecole des Ponts ParisTech (France), he holds a Ph.D. in Economics from Yale University. Prior to joining SKEMA, he served as the John Loeb Associate Professor of the Social Sciences at Harvard University (1998-2004), a Professor and Chair in Finance at Imperial College London (2007-8), an HEC Foundation Chaired Professor at HEC Paris (2004-16), and a Chaired Professor of Finance at EDHEC Business School (2016-23). 

Calvet is a founding member of the CEPR Network in Household Finance and an affiliate of the Center for European Policy Research (London) and the Center for Financial Studies (Frankfurt).

Since Sept 2020, Calvet has co-organized with Kim Peijnenburg and Raman Uppal the CEPR Advanced Forum for Financial Economics (CAFFE) online seminar series.

Calvet's research focuses on asset pricing, household finance, and financial econometrics. He co-developed with Adlai Fisher the Markov-Switching Multifractal model of financial volatility, which is increasingly used by practitioners to forecast value-at-risk and price derivatives. 

Formation
1998
PhD en Economie, Yale University, Etats-Unis d'Amérique
1994
Ingénieur en Chef du Corps des Ponts et Chaussées, Ecole des Ponts ParisTech, France
1991
Diplôme d’Ingénieur, Ecole Polytechnique, France
Expérience professionnelle
Positions académiques principales
Depuis 2023
Professeur de Finance, SKEMA Business School, France
2016 - 2023
Professeur de Finance, EDHEC, France
2014 - 2016
Professeur de Finance, HEC, France
2007 - 2008
Professeur, Imperial College Business School, Royaume Uni
2002 - 2005
Professeur associé, Département d'Economie, Harvard University, Etats-Unis d'Amérique
1998 - 2002
Professeur assistant, Département d'Economie, Harvard University, Etats-Unis d'Amérique

Articles académiques revus

CALVET, L.E., CELERIER, C., SODINI, P. et VALLEE, B. (2023). Can Security Design Foster Household Risk‐Taking? Journal of Finance, 78(4), pp. 1917-1966.
CALVET, L.E., GIANFRATE, G. et UPPAL, R. (2022). The finance of climate change. Journal of Corporate Finance, 73, pp. 102162.
BACH, L., CALVET, L.E. et SODINI, P. (2020). Rich Pickings? Risk, Return, and Skill in Household Wealth. American Economic Review, 110(9), pp. 2703-2747.
CALVET, L.E., FISHER, A.J. et WU, L. (2018). Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics. Journal of Financial and Quantitative Analysis, 53(2), pp. 937-963.
CALVET, L.E., GRANDMONT, J.M. et LEMAIRE, I. (2018). Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets. Research in Economics, 72(1), pp. 117-146.
BETERMIER, S., CALVET, L.E. et SODINI, P. (2017). Who Are the Value and Growth Investors? Journal of Finance, 72(1), pp. 5-46.
CALVET, L.E. et CZELLAR, V. (2015). Accurate Methods for Approximate Bayesian Computation Filtering. Journal of Financial Econometrics, 13(4), pp. 798-838.
CALVET, L.E., FEARNLEY, M., FISHER, A.J. et LEIPPOLD, M. (2015). What is beneath the surface? Option pricing with multifrequency latent states. Journal of Econometrics, 187(2), pp. 498-511.
CALVET, L.E., CZELLAR, V. et RONCHETTI, E. (2015). Robust Filtering. Journal of the American Statistical Association, 110(512), pp. 1591-1606.
CALVET, L.E. et CZELLAR, V. (2015). Through the looking glass: Indirect inference via simple equilibria. Journal of Econometrics, 185(2), pp. 343-358.
CALVET, L.E. et SODINI, P. (2014). Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios. Journal of Finance, 69(2), pp. 867-906.
CALVET, L.E., CAMPBELL, J.Y. et SODINI, P. (2009). Measuring the Financial Sophistication of Households. American Economic Review, 99(2), pp. 393-398.
CALVET, L.E., CAMPBELL, J.Y. et SODINI, P. (2009). Fight Or Flight? Portfolio Rebalancing by Individual Investors. Quarterly Journal of Economics, 124(1), pp. 301-348.
CALVET, L.E. et FISHER, A.J. (2008). Multifrequency jump-diffusions: An equilibrium approach. Journal of Mathematical Economics, 44(2), pp. 207-226.
CALVET, L.E. et FISHER, A. (2007). Multifrequency news and stock returns☆. Journal of Financial Economics, 86(1), pp. 178-212.
CALVET, L.E., CAMPBELL, J. et SODINI, P. (2007). Down or Out: Assessing the Welfare Costs of Household Investment Mistakes. Journal of Political Economy, 115(5), pp. 707-747.
ANGELETOS, G.M. et CALVET, L.E. (2006). Idiosyncratic production risk, growth and the business cycle. Journal of Monetary Economics, 53(6), pp. 1095-1115.
CALVET, L.E., FISHER, A.J. et THOMPSON, S.B. (2006). Volatility comovement: a multifrequency approach. Journal of Econometrics, 131(1-2), pp. 179-215.
ANGELETOS, G.M. et CALVET, L.E. (2005). Incomplete-market dynamics in a neoclassical production economy. Journal of Mathematical Economics, 41(4-5), pp. 407-438.
CALVET, L.E., GONZALEZ-EIRAS, M. et SODINI, P. (2004). Financial Innovation, Market Participation, and Asset Prices. Journal of Financial and Quantitative Analysis, 39, pp. 431-459.
CALVET, L.E. et FISHER, A.J. (2004). How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. Journal of Financial Econometrics, 2(1), pp. 49-83.
CALVET, L.E. et COMON, E. (2003). Behavioral Heterogeneity and the Income Effect. Review of Economics and Statistics, 85, pp. 653-669.
CALVET, L.E. et FISHER, A.J. (2002). Multifractality in Asset Returns: Theory and Evidence. Review of Economics and Statistics, 84, pp. 381-406.
CALVET, L.E. et FISHER, A. (2001). Forecasting multifractal volatility. Journal of Econometrics, 105(1), pp. 27-58.
CALVET, L.E. (2001). Incomplete Markets and Volatility. Journal of Economic Theory, 98(2), pp. 295-338.

Chapitres d’ouvrage

CALVET, L.E., GRANDMONT, J.M. et LEMAIRE, I. (1999). Heterogenous probabilities in complete asset markets. Dans: Shigeo Kusuoka, Toru Maruyama eds. Advances in Mathematical Economics. 1 ed. Tokyo: Springer, pp. 3-15.

Documents de recherche

CALVET, L.E., BETERMIER, S., KNUPFER, S. et KVAERNER, J. (2023). Investor Factors. SSRN.

Présentations dans des conférences

CALVET, L.E. (2023). Investor factors. Dans: Bank of England and Imperial College Business School Workshop on Household Finance and Housing. London.

Présentations dans des séminaires de recherche

CALVET, L.E. (2023). Investor factors. Dans: NEOMA. Paris.