Laurent-Emmanuel Calvet

Laurent-Emmanuel Calvet (born 28 February 1969) is a French economist. He taught at Harvard University, at HEC Paris, and is now Professor of Finance at EDHEC Business School.

Laurent-Emmanuel Calvet
Born (1969-02-28) 28 February 1969
NationalityFrench
Alma materYale University
École des Ponts ParisTech
École Polytechnique
Scientific career
FieldsFinancial economics
Doctoral advisorsJohn Geanakoplos
Benoit Mandelbrot
Peter C. B. Phillips

Early years

Calvet was born on 28 February 1969. He attended Lycée Janson de Sailly and Lycée Louis-le-Grand in Paris. He obtained engineering degrees from École Polytechnique in 1991 and École des ponts ParisTech in 1994. He went on to complete his M.A., M.Phil. and Ph.D. (1998) in economics from Yale University.

Academic career

Calvet served as an assistant professor and then as the John Loeb associate professor of the Social Sciences at Harvard University from 1998 to 2004. He taught Finance at HEC Paris from 2004 to 2016. Calvet was also a professor and chair in finance at Imperial College London from 2007 to 2008. Specialist in asset pricing, household finance, and volatility modelling, Laurent Calvet joined the EDHEC Business School faculty in 2016 as a professor of Finance.

In 2006, Calvet received the “Best Finance Researcher under the Age of 40” award from Le Monde and the Europlace Institute of Finance.[1][2]

Contributions

Calvet is known for his research in financial economics, household finance, and econometrics. He pioneered with Adlai Fisher the Markov switching multifractal model of financial volatility,[3][4] which is used by academics and financial practitioners to forecast volatility, compute value-at-risk, and price derivatives.[5][6][7][8] This approach is summarized in the book “Multifractal Volatility: Theory, Forecasting and Pricing” (2008).[9]

In a 2007 publication,[10] Laurent E. Calvet, John Y. Campbell and Paolo Sodini show that households hold well-diversified portfolios of financial assets, consistent with the predictions of portfolio theory. This result confirms a key assumption of the Capital asset pricing model. Subsequent work confirms that household follow other important precepts of financial theory, such as portfolio rebalancing [11] and habit formation.[12]

Calvet has also contributed to statistical filtering theory.[13] He developed with Veronika Czellar and Elvezio Ronchetti robust filtering techniques that can withstand model misspecifications and outliers.[14] The robust filter naturally solves the degeneracy problem that plagues the particle filter of Gordon, Salmond, and Smith[15] and its many extensions.

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See also

References
  1. La recherche veut comprendre l’irrationalité des marchés, Le Monde, June 19, 2006
  2. Les professionnels doivent imaginer de meilleurs couvertures contre les chocs subis par les acteurs économiques, Le Monde, June 19, 2006
  3. Calvet, Laurent E.; Fisher, Adlai J. (2001). "Forecasting Multifractal Volatility". Journal of Econometrics. 105 (1): 27–58. doi:10.1016/S0304-4076(01)00069-0.
  4. Calvet, Laurent E.; Fisher, Adlai J. (2013). "Extreme risk and fractal regularity in finance". Fractal geometry and dynamical systems in pure and applied mathematics. II. Fractals in applied mathematics. Contemporary Mathematics. 601. Providence, RI: American Mathematical Society. pp. 65–94. doi:10.1090/conm/601/11933. ISBN 9780821891483. MR 3203827.
  5. Lux, Thomas (2008). "The Markov-Switching Multifractal Model of Asset Returns". Journal of Business and Economic Statistics. 26 (2): 194–210. doi:10.1198/073500107000000403.
  6. Lux, Thomas; Morales-Arias, Leonardo (2013). "Relative Forecasting Performance of Volatility Models: Monte Carlo Evidence". Quantitative Finance. 13 (9): 320–342. doi:10.1080/14697688.2013.795675. hdl:10419/30039.
  7. Chen, Fei; Diebold, Francis X.; Schorfheide, Frank (2013). "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities" (PDF). Journal of Econometrics. 177 (2): 320–342. doi:10.1016/j.jeconom.2013.04.016.
  8. Žikeš, Filip; Baruník, Jozef; Shenai, Nikhil (2014). "Modeling and Forecasting Persistent Financial Durations". Econometric Reviews. 36 (10): 1–39. arXiv:1208.3087. doi:10.1080/07474938.2014.977057.
  9. Calvet, Laurent E.; Fisher, Adlai J. (2008). Multifractal Volatility: Theory, Forecasting, and Pricing. Burlington, Massachusetts (U.S.A.). ISBN 9780121500139.
  10. Calvet, Laurent E.; Campbell, John Y.; Sodini, Paolo (2007). "Down or Out: Assessing the Welfare Costs of Household Investment Mistakes". Journal of Political Economy. 115 (5): 707–747. doi:10.1086/524204.
  11. Calvet, Laurent E.; Campbell, John Y.; Sodini, Paolo (2009). "Fight of Flight? Portfolio Rebalancing by Individual Investors". Quarterly Journal of Economics. 124 (1): 301–348. doi:10.1162/qjec.2009.124.1.301.
  12. Calvet, Laurent E.; Sodini, Paolo (2014). "Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios" (PDF). Journal of Finance. 59 (2): 867–906. doi:10.1111/jofi.12125.
  13. Calvet, Laurent E.; Czellar, Veronika (2014). "Accurate Methods for Approximate Bayesian Computation Filtering". Journal of Financial Econometrics. 13 (forthcoming): 798–838. doi:10.1093/jjfinec/nbu019.
  14. Calvet, Laurent E.; Czellar, Veronika; Ronchetti, Elvezio (2014). "Robust Filtering". Journal of the American Statistical Association. 110 (forthcoming): 1591–1606. doi:10.1080/01621459.2014.983520.
  15. Gordon, N.J.; Salmond, D.J.; Smith, A.F.M. (1993). "Novel approach to nonlinear/non-Gaussian Bayesian state estimation". IEE Proceedings F - Radar and Signal Processing. 140 (2): 107–113. doi:10.1049/ip-f-2.1993.0015.


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