Laurent-Emmanuel Calvet

Laurent-Emmanuel Calvet
Born (1969-02-28) February 28, 1969
Nationality French
Fields Financial economics
Alma mater Yale University
École des Ponts ParisTech
École Polytechnique
Doctoral advisors John Geanakoplos
Benoit Mandelbrot
Peter C. B. Phillips
Doctoral students George-Marios Angeletos
Paolo Sodini
Boris Vallée

Laurent-Emmanuel Calvet (born February 28, 1969) is a French economist. He is a Professor of Finance at HEC Paris.

Biography

Early years

Calvet was born on February 28, 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 joined HEC Paris in 2004, where he is currently a professor of Finance. Calvet was also a professor and chair in finance at Imperial College London from 2007 to 2008.

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.

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". Contemporary Mathematics 601. doi:10.1090/conm/601/11933.
  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.
  7. ↑ Chen, Fei; Diebold, Francis X.; Schorfheide, Frank (2013). "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities". Journal of Econometrics 177: 320–342.
  8. ↑ Žikeš, Filip; Baruník, Jozef; Shenai, Nikhil (2014). "Modeling and Forecasting Persistent Financial Durations". Econometric Reviews. 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". 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 (forthcoming). doi:10.1093/jjfinec/nbu019.
  14. ↑ Calvet, Laurent E.; Czellar, Veronika; Ronchetti, Elvezio (2014). "Robust Filtering". Journal of the American Statistical Association (forthcoming). 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 on Radar and Signal Processing 140 (2): 107–113. doi:10.1049/ip-f-2.1993.0015.

External links

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