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Laurent-Emmanuel Calvet

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Laurent-Emmanuel Calvet
Born (1969-02-28) 28 February 1969 (age 55)
NationalityFrench
Alma materYale University
École des Ponts ParisTech
École Polytechnique
Scientific career
FieldsFinancial economics
Doctoral advisorsJohn Geanakoplos
Benoit Mandelbrot
Peter C. B. Phillips

Laurent-Emmanuel Calvet (born 28 February 1969) is a French economist and a professor of finance. He is Vice President Elect of the European Finance Association.[1]

Calvet is a Professor of Finance at SKEMA Business School. He previously held faculty positions at Harvard University, HEC Paris, and Imperial College London, and EDHEC Business School.

Calvet is a founding member of the Centre for Economic Policy Research's Household Finance Research Network.[2] He serves on the Advisory Scientific Committee of the European Systemic Risk Board.[3]


Early years

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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.[4][5][6] He went on to complete his M.A., M.Phil. and Ph.D. (1998) in economics from Yale University.[7]

Academic career

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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, Imperial College London from 2007 to 2008, and EDHEC Business School from 2016 to 2023.[8] Specialist in asset pricing, household finance, and volatility modelling, Laurent Calvet joined SKEMA Business School in 2023 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.[9][10]

Contributions

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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,[11][12] which is used by academics and financial practitioners to forecast volatility, compute value-at-risk, and price derivatives.[13][14][15][16] This approach is summarized in the book “Multifractal Volatility: Theory, Forecasting and Pricing” (2008).[17]

In a 2007 publication,[18] 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 [19] and habit formation.[20]

Calvet has also contributed to statistical filtering theory.[21] He developed with Veronika Czellar and Elvezio Ronchetti robust filtering techniques that can withstand model misspecifications and outliers.[22] The robust filter naturally solves the degeneracy problem that plagues the particle filter of Gordon, Salmond, and Smith[23] and its many extensions.

See also

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References

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  1. ^ "EFA Executive Committee 2023 | EFA - European Finance Association".
  2. ^ "Laurent e. Calvet". 4 May 2021.
  3. ^ Board, European Systemic Risk (8 December 2022). "The General Board of the European Systemic Risk Board held its 48th regular meeting on 1 December 2022".
  4. ^ "CONCOURS Ecole polytechnique". Le Monde.fr. 2 August 1988.
  5. ^ https://www.legifrance.gouv.fr/jorf/id/JORFTEXT000000356768
  6. ^ https://www.legifrance.gouv.fr/jorf/id/JORFTEXT000000360981
  7. ^ "Recent Placement Outcomes".
  8. ^ "HEC, EDHEC, EMLyon... Les business schools ont leur mercato". 6 September 2016.
  9. ^ La recherche veut comprendre l’irrationalité des marchés, Le Monde, June 19, 2006
  10. ^ Les professionnels doivent imaginer de meilleurs couvertures contre les chocs subis par les acteurs économiques, Le Monde, June 19, 2006
  11. ^ 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. S2CID 119394176.
  12. ^ 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. Vol. 601. Providence, RI: American Mathematical Society. pp. 65–94. doi:10.1090/conm/601/11933. ISBN 9780821891483. MR 3203827.
  13. ^ 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. S2CID 55648360.
  14. ^ 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. S2CID 153420450.
  15. ^ 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.
  16. ^ 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. S2CID 214721764.
  17. ^ Calvet, Laurent E.; Fisher, Adlai J. (2008). Multifractal Volatility: Theory, Forecasting, and Pricing. Burlington, Massachusetts (U.S.A.). ISBN 9780121500139.{{cite book}}: CS1 maint: location missing publisher (link)
  18. ^ Calvet, Laurent E.; Campbell, John Y.; Sodini, Paolo (2007). "Down or Out: Assessing the Welfare Costs of Household Investment Mistakes" (PDF). Journal of Political Economy. 115 (5): 707–747. doi:10.1086/524204.
  19. ^ 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. S2CID 18533375.
  20. ^ 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.
  21. ^ Calvet, Laurent E.; Czellar, Veronika (2014). "Accurate Methods for Approximate Bayesian Computation Filtering". Journal of Financial Econometrics. 13 (4): 798–838. doi:10.1093/jjfinec/nbu019.
  22. ^ Calvet, Laurent E.; Czellar, Veronika; Ronchetti, Elvezio (2014). "Robust Filtering". Journal of the American Statistical Association. 110 (512): 1591–1606. doi:10.1080/01621459.2014.983520. S2CID 219597411.
  23. ^ 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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