Laurent E. Calvet : Citation Profile

Are you Laurent E. Calvet?

Groupe EDHEC (École de Hautes Études Commerciales du Nord) (94% share)
Centre for Economic Policy Research (CEPR) (6% share)

25

H index

34

i10 index

2222

Citations

RESEARCH PRODUCTION:

21

Articles

79

Papers

1

Books

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 111
   Journals where Laurent E. Calvet has often published
   Relations with other researchers
   Recent citing documents: 272.    Total self citations: 33 (1.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca582
   Updated: 2020-02-22    RAS profile: 2018-01-04    
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Relations with other researchers

Works with:

Sodini, Paolo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Laurent E. Calvet.

Is cited by:

Campbell, John (69)

Majlesi, Kaveh (60)

Mitchell, Olivia (52)

Lundborg, Petter (48)

Black, Sandra (48)

Devereux, Paul (48)

Lux, Thomas (38)

GUPTA, RANGAN (38)

Guiso, Luigi (34)

Lusardi, Annamaria (34)

Grandmont, Jean-Michel (26)

Cites to:

Campbell, John (23)

Fisher, Adlai (18)

Bollerslev, Tim (13)

Ghysels, Eric (11)

Engle, Robert (10)

Abel, Andrew (10)

Benhabib, Jess (9)

Mandelbrot, Benoît (9)

Weil, Philippe (9)

Drost, Feike C. (8)

Jasiak, Joann (8)

Main data

Where Laurent E. Calvet has published?

Journals with more than one article published# docs
Journal of Econometrics4
Journal of Financial Econometrics2
Journal of Finance2
Journal of Mathematical Economics2
The Review of Economics and Statistics2

Working Papers Series with more than one paper published# docs
Post-Print / HAL23
Working Papers / HAL11
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University3
Working Papers / Center for Research in Economics and Statistics3
Scholarly Articles / Harvard University Department of Economics2

Recent works citing Laurent E. Calvet (2018 and 2017)

YearTitle of citing document
2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2018Application of AIDS model to analyse the farm household food demand elasticity: Evidence from panel data. (2018). K. b., U., ; Khed, V. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275899.

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2017The ABC of Simulation Estimation with Auxiliary Statistics. (2017). Ng, Serena ; Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1501.01265.

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2017Evidence of Self-Organization in Time Series of Capital Markets. (2017). , Leopoldo ; Garc, Alba Lucero ; Morales-Matamoros, Oswaldo ; Soto-Campos, Carlos Arturo . In: Papers. RePEc:arx:papers:1604.03996.

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2018Existence of a Radner equilibrium in a model with transaction costs. (2018). Weston, Kim . In: Papers. RePEc:arx:papers:1702.01706.

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2017Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysics. (2017). Weatherall, James Owen ; Palacios, Patricia ; Jhun, Jennifer . In: Papers. RePEc:arx:papers:1704.02392.

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2018Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint. (2018). Rosenbaum, Mathieu ; Neuman, Eyal. In: Papers. RePEc:arx:papers:1711.00427.

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2019Equilibrium in thin security markets under restricted participation. (2019). Anthropelos, Michail ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1802.09954.

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2018Multifractal characteristics and return predictability in the Chinese stock markets. (2018). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shan, Zheng ; Gao, Xing-Lu ; Fu, Xin-Lan. In: Papers. RePEc:arx:papers:1806.07604.

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2018An incomplete equilibrium with a stochastic annuity. (2018). Zitkovic, Gordan ; Weston, Kim . In: Papers. RePEc:arx:papers:1809.05947.

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2018Dynamical variety of shapes in financial multifractality. (2018). Gcebarowski, Robert ; Rak, Rafal ; O'Swicecimka, Pawel ; Kowalski, Rafal ; Zd, Stanislaw Dro. In: Papers. RePEc:arx:papers:1809.06728.

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2019Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017. (2019). Stanuszek, Marek ; O'Swicecimka, Pawel ; Zd, Stanislaw Dro ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:1812.08548.

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2018Duesenberrys Theory of Consumption: Habit, Learning, and Ratcheting. (2018). Koo, Hyeng Keun ; Jeon, Junkee ; Choi, Kyoung Jin. In: Papers. RePEc:arx:papers:1812.10038.

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2019Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor. In: Papers. RePEc:arx:papers:1901.05024.

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2020A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour. (2019). Griveau-Billion, Théophile ; Calderhead, Ben. In: Papers. RePEc:arx:papers:1904.08153.

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2019Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1904.12346.

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2020Housing Investment, Stock Market Participation and Household Portfolio choice: Evidence from Chinas Urban Areas. (2020). Liu, Huirong. In: Papers. RePEc:arx:papers:2001.01641.

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2018Liquidity Requirements and Bank Deposits: Evidence from Ethiopia. (2018). Limodio, Nicola ; Strobbe, Francesco. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1879.

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2017Adoption Costs of Financial Innovation: Evidence from Italian ATM Cards. (2017). Welte, Angelika ; Smith, Gregor ; Schmidt-Dengler, Philipp ; Huynh, Kim. In: Staff Working Papers. RePEc:bca:bocawp:17-8.

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2019Flight from Safety: How a Change to the Deposit Insurance Limit Affects Households’ Portfolio Allocation. (2019). Gropp, Reint ; Damar, Evren ; Mordel, Adi. In: Staff Working Papers. RePEc:bca:bocawp:19-29.

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2017Understanding the determinants of financial outcomes and choices: the role of noncognitive abilities. (2017). Peijnenburg, Kim ; Parise, Gianpaolo. In: BIS Working Papers. RePEc:bis:biswps:640.

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2018INEQUALITY AND AGGREGATE DEMAND IN THE IS‐LM AND IS‐MP MODELS. (2018). Calvert Jump, Robert. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:269-276.

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2018Synthesizing an Index of Financial Literacy Using Not†For†Purpose Survey Data. (2018). West, Tracey ; Worthington, Andrew C. In: Economic Notes. RePEc:bla:ecnote:v:47:y:2018:i:2-3:p:331-352.

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2017Has Greater Stock Market Participation Increased Wealth Inequality in the Us?. (2017). Haliassos, Michael ; Georgarakos, Dimitris ; Bilias, Yannis . In: Review of Income and Wealth. RePEc:bla:revinw:v:63:y:2017:i:1:p:169-188.

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2017Why does portfolio choice correlate across generations. (2017). Sarvimäki, Matti ; Knüpfer, Samuli ; Sarvimaki, Matti ; Rantapuska, Elias ; Knupfer, Samuli. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_025.

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2019Financial literacy and its influence on consumers’ internet banking behaviour. (2019). Anyfantaki, Sofia ; Andreou, Panayiotis C. In: Working Papers. RePEc:bog:wpaper:275.

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2017Portfolio Selection by Households: An Empirical Analysis Using Dynamic Panel Data Models. (2017). Fujiwara, Shigeaki ; Takizuka, Yasutaka ; Ito, Yuichiro . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp17e06.

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2017Equity Market Globalization and Portfolio Rebalancing. (2017). Lee, Dongwon ; Kim, Kyungkeun. In: Working Papers. RePEc:bok:wpaper:1717.

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2018The Joint Distribution of Wealth and Income Risk: Evidence from Bern. (2018). Krapf, Matthias. In: Working papers. RePEc:bsl:wpaper:2018/18.

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2017Wealth Distribution with Random Discount Factors. (2017). Toda, Alexis Akira. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt5n29f260.

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2018Why Do Wealthy Parents Have Wealthy Children?. (2018). Rønning, Marte ; Mogstad, Magne ; Fagereng, Andreas ; Ronning, Marte. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6955.

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2018Jean-Michel Grandmont - A Forthcoming Mind. (2018). Linnemer, Laurent ; Visser, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7060.

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2018Paralyzed by Shock: The Portfolio Formation Behavior of Peer-to-Business Lending Investors. (2018). Weber, Martina ; Hornuf, Lars ; Dorfleitner, Gregor. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7092.

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2018How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market. (2018). Gronwald, Marc ; Sattarhoff, Cristina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7102.

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2018Heterogeneity and Persistence in Returns to Wealth. (2018). Malacrino, Davide ; Fagereng, Andreas ; Pistaferri, Luigi ; Guiso, Luigi. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7107.

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2018The Joint Distribution of Wealth and Income Risk: Evidence from Bern. (2018). Krapf, Matthias. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7130.

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2019Joint Income-Wealth Inequality: An Application Using Administrative Tax Data. (2019). Krapf, Matthias ; Gallusser, David. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7876.

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2019Behavioral Responses to Wealth Taxes: Evidence from Switzerland. (2019). Schmidheiny, Kurt ; Krapf, Matthias ; Brülhart, Marius ; Gruber, Jonathan ; Brulhart, Marius. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7908.

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2019Capital Income Risk and the Dynamics of the Wealth Distribution. (2019). Walde, Klaus ; Khieu, Hoang. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7970.

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2019Staatsfonds für eine effiziente Altersvorsorge: Welche innovativen Lösungen sind möglich?. (2019). Werding, Martin ; Meier, Volker ; Knabe, Andreas ; Rurup, Bert ; Huchzermeier, Dennis ; Petergruner, Hans ; Corneo, Giacomo ; Hainz, Christa ; Clemens, H C ; di Dio, Donato ; Bortenlanger, Christine ; Weimann, Joachim. In: ifo Schnelldienst. RePEc:ces:ifosdt:v:72:y:2019:i:14:p:03-24.

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2017Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles. (2017). Smilyanov, Georgi ; Cauwels, Peter ; Sornette, Didier. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1727.

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2017The Historical Evolution of the Wealth Distribution: A Quantitative-Theoretic Investigation. (2017). Hubmer, Joachim ; Krusell, Per ; Smith, Anthony A. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11743.

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2017Saving and Wealth Inequality. (2017). Fella, Giulio ; De Nardi, Mariacristina. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11746.

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2017Understanding the Determinants of Financial Outcomes and Choices: The Role of Noncognitive Abilities. (2017). Parise, Gianpaolo ; Peijnenburg, Kim. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11900.

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2017Financial Literacy Externalities. (2017). Haliassos, Michael ; Karabulut, Yigitcan ; Jansson, Thomas . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12100.

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2017Household Debt and Monetary Policy: Revealing the Cash-Flow Channel. (2017). Vestman, Roine ; Flodén, Martin ; Sigurdsson, Josef ; Kilstrom, Matilda ; Floden, Martin . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12270.

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2017Socioeconomic Status and Macroeconomic Expectations. (2017). Nagel, Stefan ; Kuhnen, Camelia ; Das, Sreyoshi. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12464.

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2018Shift-Share Instruments and the Impact of Immigration. (2018). Stuhler, Jan ; Ruist, Joakim ; Jaeger, David. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12701.

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2018Real Interest Rates and Productivity in Small Open Economies. (2018). Siena, Daniele ; Sala, Luca ; Monacelli, Tommaso. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12808.

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2018Investor Sophistication and Capital Income Inequality. (2018). Stevens, Luminita ; Nosal, Jaromir ; Kacperczyk, Marcin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12870.

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2018Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field. (2018). Kouwenberg, Roy ; Peijnenburg, Kim ; Mitchell, Olivia S ; Dimmock, Steve. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13109.

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2018Do the Rich Get Richer in the Stock Market? Evidence from India. (2018). Campbell, John ; Ranish, Benjamin ; Ramadorai, Tarun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13116.

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2018The Implications of Financial Innovation for Capital Markets and Household Welfare. (2018). Buss, Adrian ; Vilkov, Grigory ; Uppal, Raman. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13137.

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2018Learning from Noise: Evidence from Indias IPO Lotteries. (2018). Balasubramaniam, Vimal ; Ramadorai, Tarun ; Anagol, Santosh. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13314.

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2019Participation Following Sudden Access. (2019). Haliassos, Michael ; Fuchs-Schundeln, Nicola. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13596.

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2019A Supply and Demand Approach to Equity Pricing. (2019). Jo, Evan ; Calvet, Laurent ; Betermier, Sebastien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13974.

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2019Behavioral Responses to Wealth Taxes: Evidence from Switzerland. (2019). Krapf, Matthias ; Schmidheiny, Kurt ; Gruber, Jonathan ; Brulhart, Marius. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14054.

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2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117.

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2017Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach. (2017). Trede, Mark ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6617.

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118.

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2019Forecasting Volatility in Cryptocurrency Markets. (2019). Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7919.

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2019Long Memory Conditional Heteroscedasticity in Count Data. (2019). Stapper, Manuel ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:8219.

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2018Shift- Share Instruments and the Impact of Immigration. (2018). Stuhler, Jan ; Ruist, Joakim ; Jaeger, David. In: CReAM Discussion Paper Series. RePEc:crm:wpaper:1802.

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2017Behavioral Heterogeneity : Pareto Distributions of Homothetic Preference Scales and Aggregate Expenditures Income Elasticities. (2017). Grandmont, Jean-Michel. In: Working Papers. RePEc:crs:wpaper:2017-11.

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2018Jean-Michel Grandmont A forthcoming mind. (2018). Linnemer, Laurent ; Visser, Michael. In: Working Papers. RePEc:crs:wpaper:2018-06.

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2019Being in good hands: Deposit insurance and peers financial sophistication. (2019). Pasini, Giacomo ; Mastrogiacomo, Mauro ; Caloia, Francesco. In: DNB Working Papers. RePEc:dnb:dnbwpp:638.

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2017Redistributive Innovation Policy, Inequality and Efficiency. (2017). Getachew, Yoseph ; Basu, Parantap. In: CEGAP Working Papers. RePEc:dur:cegapw:2017_02.

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2017The portfolio of euro area fund investors and ECB monetary policy announcements. (2017). Manganelli, Simone ; Bubeck, Johannes ; Habib, Maurizio Michael. In: Working Paper Series. RePEc:ecb:ecbwps:20172116.

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2019Financial literacy, housing value and household financial market participation: Evidence from urban China. (2019). Deng, Xiaojun ; Zou, Jing . In: China Economic Review. RePEc:eee:chieco:v:55:y:2019:i:c:p:52-66.

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2017Overconfidence and investment: An experimental approach. (2017). Renneboog, Luc ; Tobler, Philippe N ; Pikulina, Elena. In: Journal of Corporate Finance. RePEc:eee:corfin:v:43:y:2017:i:c:p:175-192.

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2017Huggett economies with multiple stationary equilibria. (2017). Toda, Alexis Akira. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:77-90.

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2018The Asian Financial Crisis and international reserve accumulation: A robust control approach. (2018). Lee, Sang Seok ; Luk, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:284-309.

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2017Generalized Method of Moment estimation of multivariate multifractal models. (2017). Liu, Ruipeng ; Lux, Thomas. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:136-148.

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2017Can targeted information affect academic performance and borrowing behavior for college students? Evidence from administrative data. (2017). Schmeiser, Maximilian ; Stoddard, Christiana ; Urban, Carly. In: Economics of Education Review. RePEc:eee:ecoedu:v:56:y:2017:i:c:p:95-109.

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2019Can skewness predict currency excess returns?. (2019). Yin, Libo ; Han, Liyan ; Jiang, Xue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:628-641.

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2018Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space. (2018). Augustyniak, Maciej ; Dufays, Arnaud. In: Economics Letters. RePEc:eee:ecolet:v:170:y:2018:i:c:p:122-126.

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2018The ABC of simulation estimation with auxiliary statistics. (2018). Ng, Serena ; Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:112-139.

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2018A two-step indirect inference approach to estimate the long-run risk asset pricing model. (2018). Grammig, Joachim ; Kuchlin, Eva-Maria. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:6-33.

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2019The scale of predictability. (2019). Bandi, F M ; Tebaldi, C ; Tamoni, A ; Perron, B. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:120-140.

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2019Do demographics prevent consumption aggregates from reflecting micro-level preferences?. (2019). schröder, carsten ; Koulovatianos, Christos ; Schmidt, Ulrich ; Schroder, Carsten. In: European Economic Review. RePEc:eee:eecrev:v:111:y:2019:i:c:p:166-190.

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2019Long horizon predictability: An asset allocation perspective. (2019). Poncet, Patrice ; Lioui, Abraham. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:961-975.

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2019From academic abilities to occupation: What drives stock market participation?. (2019). Liivamagi, Kristjan ; Vaarmets, Tarvo ; Talpsepp, Tnn. In: Emerging Markets Review. RePEc:eee:ememar:v:39:y:2019:i:c:p:83-100.

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2017Return expectations and risk aversion heterogeneity in household portfolios. (2017). Bucciol, Alessandro ; Pastorello, Sergio ; Miniaci, Raffaele . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:201-219.

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2018Hindsight effect: What are the actual cash flow timing skills of mutual fund investors?. (2018). Muoz, Fernando ; Vicente, Ruth . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:181-193.

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2018Investor types and stock return volatility. (2018). Che, Limei . In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:139-161.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2018CAPM, components of beta and the cross section of expected returns. (2018). Cenesizoglu, Tolga ; Reeves, Jonathan J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:223-246.

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2019Financial literacy and household finances: A Bayesian two-part latent variable modeling approach. (2019). Ma, Shuang ; Song, Xinyuan ; Lu, Bin ; Feng, Xiangnan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:119-137.

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2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model. (2017). Pino Saldías, Gabriel ; Herrera, Rodrigo ; Rodriguez, Alejandro. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:129-143.

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2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

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2018The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm. (2018). Cheng, Fangzheng ; Li, Shanling ; Fan, Dandan. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:341-355.

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2017Return volatility duration analysis of NYMEX energy futures and spot. (2017). Niu, Hongli ; Wang, Jun. In: Energy. RePEc:eee:energy:v:140:y:2017:i:p1:p:837-849.

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2019Overnight momentum, informational shocks, and late informed trading in China. (2019). Li, Youwei ; Xiong, Xiong ; Han, Xing ; Gao, YA. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919302741.

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2017Forecasting volatility with interacting multiple models. (2017). Katrak, Xerxis ; Svec, Jiri. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:245-252.

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2019Suboptimal investment behavior and welfare costs: A simulation based approach. (2019). Reus, Lorenzo ; Castaeda, Pablo . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:170-180.

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2017Permanent price impact asymmetry of trades with institutional constraints. (2017). Chiyachantana, Chiraphol ; Sharma, Vivek ; Jiang, Christine ; Jain, Pankaj K. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:1-16.

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2018Market frictions, investor sophistication, and persistence in mutual fund performance. (2018). Dumitrescu, Ariadna ; Gil-Bazo, Javier . In: Journal of Financial Markets. RePEc:eee:finmar:v:40:y:2018:i:c:p:40-59.

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2018The MAX effect: Lottery stocks with price limits and limits to arbitrage. (2018). Hung, Weifeng ; Yang, Jimmy J. In: Journal of Financial Markets. RePEc:eee:finmar:v:41:y:2018:i:c:p:77-91.

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2019Who trades on momentum?. (2019). Smajlbegovic, Esad ; Jank, Stephan ; Baltzer, Markus. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:56-74.

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2018The determinants of retail trading activity in emerging markets: A cross-market analysis. (2018). Alderighi, Stefano. In: Global Finance Journal. RePEc:eee:glofin:v:37:y:2018:i:c:p:152-167.

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2018Forecasting crude oil price volatility. (2018). Herrera, Ana Maria ; Pastor, Daniel ; Hu, Liang. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:622-635.

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More than 100 citations found, this list is not complete...

Works by Laurent E. Calvet:

YearTitleTypeCited
2009Measuring the Financial Sophistication of Households In: American Economic Review.
[Full Text][Citation analysis]		article100
2009Measuring the Financial Sophistication of Households.(2009) In: Scholarly Articles.
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2009Measuring the Financial Sophistication of Households.(2009) In: NBER Working Papers.
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2011State-Observation Sampling and the Econometrics of Learning Models In: Papers.
[Full Text][Citation analysis]		paper1
2011state-observation sampling and the econometrics of learning models.(2011) In: HEC Research Papers Series.
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2011State-Observation Sampling and the Econometrics of Learning Models.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 1		paper
2014Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios In: Journal of Finance.
[Full Text][Citation analysis]		article67
2011Twin picks: disentangling the determinants of risk-taking in household portfolios.(2011) In: HEC Research Papers Series.
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2011Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios.(2011) In: Working Papers.
[Citation analysis]
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2010Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios.(2010) In: NBER Working Papers.
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2013Twin picks: Disentangling the determinants of risk-taking in household portfolios.(2013) In: SAFE Working Paper Series.
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This paper has another version. Agregated cites: 67		paper
2017Who Are the Value and Growth Investors? In: Journal of Finance.
[Full Text][Citation analysis]		article9
2014Who Are the Value and Growth Investors?.(2014) In: HEC Research Papers Series.
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2014Who are the value and growth investors?.(2014) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 9		paper
1998Heterogeneous probabilities in complete asset markets In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper3
2016Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper30
2015Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy.(2015) In: HEC Research Papers Series.
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2001Aggregation of Heterogenous Beliefs and Asset Pricing in Complete Financial Markets In: Working Papers.
[Full Text][Citation analysis]		paper23
2004Aggregation oh Heterogeneous Beliefs, Asset Pricing and Risk Sharing in Complete Financial Markets In: Working Papers.
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2016Structural Dynamic Analysis of Systematic Risk In: Working Papers.
[Full Text][Citation analysis]		paper0
2004Financial Innovation, Market Participation, and Asset Prices In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article28
2001Financial Innovation, Market Participation and Asset Prices.(2001) In: Harvard Institute of Economic Research Working Papers.
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2001Financial Innovation, Market Participation and Asset Prices.(2001) In: SSE/EFI Working Paper Series in Economics and Finance.
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2003Financial Innovation, Market Participation and Asset Prices.(2003) In: NBER Working Papers.
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2004Financial Innovation, Market Participation, and Asset Prices.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 28		paper
2015Introduction to JPEF special issue on household finance In: Journal of Pension Economics and Finance.
[Full Text][Citation analysis]		article1
1997A Multifractal Model of Asset Returns In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper76
1999A Multifractal Model of Assets Returns.(1999) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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This paper has another version. Agregated cites: 76		paper
2011A Multifractal Model of Asset Returns.(2011) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 76		paper
1997Large Deviations and the Distribution of Price Changes In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper20
1997Multifractality of Deutschemark/US Dollar Exchange Rates In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper30
2006Down or out: assessing the welfare costs of household investment mistakes In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper291
2007Down or Out: Assessing the Welfare Costs of Household Investment Mistakes.(2007) In: Journal of Political Economy.
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2012Down or Out: Assessing The Welfare Costs of Household Investment Mistakes.(2012) In: Working Papers.
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2006Down or Out: Assessing The Welfare Costs of Household Investment Mistakes.(2006) In: Working Paper Series.
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2012Down or Out: Assessing The Welfare Costs of Household Investment Mistakes.(2012) In: Working Papers.
[Citation analysis]
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2006Down or Out: Assessing the Welfare Costs of Household Investment Mistakes.(2006) In: Harvard Institute of Economic Research Working Papers.
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2007Down or Out: Assessing the Welfare Costs of Household Investment Mistakes..(2007) In: Scholarly Articles.
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2006Down or Out: Assessing the Welfare Costs of Household Investment Mistakes.(2006) In: NBER Working Papers.
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This paper has another version. Agregated cites: 291		paper
2013Whats Beneath the Surface? Option Pricing with Multifrequency Latent States In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper3
2015What is beneath the surface? Option pricing with multifrequency latent states.(2015) In: Journal of Econometrics.
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2013Through the Looking Glass: Indirect Inference via Simple Equilibria In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper5
2015Through the looking glass: Indirect inference via simple equilibria.(2015) In: Journal of Econometrics.
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2001Forecasting multifractal volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article99
2000Forecasting Multifractal Volatility.(2000) In: Harvard Institute of Economic Research Working Papers.
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1999Forecasting Multifractal Volatility.(1999) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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2006Volatility comovement: a multifrequency approach In: Journal of Econometrics.
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2004Volatility Comovement: A Multifrequency Approach.(2004) In: NBER Technical Working Papers.
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2001Incomplete Markets and Volatility In: Journal of Economic Theory.
[Full Text][Citation analysis]		article26
1999Incomplete Markets and Volatility.(1999) In: Harvard Institute of Economic Research Working Papers.
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2007Multifrequency news and stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article30
2011Multifrequency News and Stock Returns.(2011) In: Working Papers.
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2005Multifrequency News and Stock Returns.(2005) In: NBER Working Papers.
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2005Incomplete-market dynamics in a neoclassical production economy In: Journal of Mathematical Economics.
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2005Incomplete Market Dynamics in a Neoclassical Production Economy.(2005) In: Harvard Institute of Economic Research Working Papers.
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2004Incomplete Market Dynamics in a Neoclassical Production Economy.(2004) In: NBER Working Papers.
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2008Multifrequency jump-diffusions: An equilibrium approach In: Journal of Mathematical Economics.
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2006Multifrequency Jump-Diffusions: An Equilibrium Approach.(2006) In: NBER Working Papers.
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2006Idiosyncratic production risk, growth and the business cycle In: Journal of Monetary Economics.
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2002Idiosyncratic Production Risk, Growth and the Business Cycle.(2002) In: Harvard Institute of Economic Research Working Papers.
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2003Idiosyncratic Production Risk, Growth and the Business Cycle.(2003) In: Working Papers.
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2012Idiosyncratic Production Risk, Growth and the Business Cycle.(2012) In: Working Papers.
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2003Idiosyncratic Production Risk, Growth, and the Business Cycle.(2003) In: NBER Working Papers.
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2008Multifractal Volatility In: Elsevier Monographs.
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2000Behavioral Heterogeneity and The Income Effect In: Harvard Institute of Economic Research Working Papers.
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2003Behavioral Heterogeneity and the Income Effect.(2003) In: The Review of Economics and Statistics.
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2001Incomplete Markets, Growth, and the Business Cycle In: Harvard Institute of Economic Research Working Papers.
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2003Regime-Switching and the Estimation of Multifractal Processes In: Harvard Institute of Economic Research Working Papers.
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2003Regime-Switching and the Estimation of Multifractal Processes.(2003) In: NBER Working Papers.
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2006Volatility Comovement: a multifrequency approach In: Post-Print.
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2007Multifrequency news and stock returns In: Post-Print.
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2008Multifrequency jump-diffusions: An equilibrium approach In: Post-Print.
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2009Fight Or Flight? Portfolio Rebalancing by Individual Investors In: Post-Print.
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2009Measuring the Financial Sophistication of Households In: Post-Print.
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2001Incomplete Markets and Volatility In: Post-Print.
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2001Forecasting multifractal volatility In: Post-Print.
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2002Multifractality in Asset Returns: Theory and Evidence In: Post-Print.
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2003Behavioral Heterogeneity and the Income Effect In: Post-Print.
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2004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes In: Post-Print.
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2004Financial Innovation, Market Participation, and Asset Prices In: Post-Print.
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2009Down and Out : Assessing the Welfare Costs of Household investment Mistakes In: Post-Print.
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2009Fight or Flight ? Portfolio Rebalancing by Individual Investors In: Post-Print.
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2009Household Heterogeneity in financial Market In: Post-Print.
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2009Multifractal Volatility: Theory, Estimation and Forecasting In: Post-Print.
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2010Asset Pricing In: Post-Print.
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2010Twin picks: disentangling the determinants of risk-taking in household portfolios conférence invité) In: Post-Print.
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2011Efficient estimation of learning models In: Post-Print.
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2008Multifractal Volatility: Theory, Forecasting and Pricing In: Post-Print.
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2008Fractals In: Post-Print.
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2007Down or out: Assessing the welfare costs of household investment mistakes In: Post-Print.
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2005Incomplete Market Dynamics in a Neoclassical Production Economy In: Post-Print.
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2006Idiosyncratic Production Risk, Growth and the Business Cycle In: Post-Print.
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2011Large Deviation Theory and the Distribution of Price Changes In: Working Papers.
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2011Multifractality of US Dollar/Deutsche Mark Exchange Rates In: Working Papers.
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2012Efficient Estimation of Learning Models In: Working Papers.
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2008Fight or Flight? Portfolio Rebalancing by Individual Investors In: NBER Working Papers.
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2009Fight or Flight? Portfolio Rebalancing by Individual Investors.(2009) In: The Quarterly Journal of Economics.
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2015Accurate Methods for Approximate Bayesian Computation Filtering In: Journal of Financial Econometrics.
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2004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes In: Journal of Financial Econometrics.
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2015Robust Filtering In: Journal of the American Statistical Association.
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2002Multifractality In Asset Returns: Theory And Evidence In: The Review of Economics and Statistics.
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