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)

19

H index

22

i10 index

1315

Citations

RESEARCH PRODUCTION:

21

Articles

79

Papers

1

Books

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 65
   Journals where Laurent E. Calvet has often published
   Relations with other researchers
   Recent citing documents: 141.    Total self citations: 32 (2.38 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca582
   Updated: 2018-09-15    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:

Majlesi, Kaveh (41)

Lux, Thomas (36)

Black, Sandra (35)

Lundborg, Petter (35)

Devereux, Paul (35)

Campbell, John (33)

Lusardi, Annamaria (28)

Mitchell, Olivia (25)

Guiso, Luigi (24)

GUPTA, RANGAN (23)

Onali, Enrico (18)

Cites to:

Campbell, John (21)

Fisher, Adlai (18)

Bollerslev, Tim (13)

Ghysels, Eric (11)

Engle, Robert (10)

Mandelbrot, Benoît (9)

gourieroux, christian (8)

Jasiak, Joann (8)

Benhabib, Jess (8)

Drost, Feike C. (8)

Duffie, Darrell (7)

Main data


Where Laurent E. Calvet has published?


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

Working Papers Series with more than one paper published# docs
Post-Print / HAL23
Working Papers / HAL11
Working Papers / Center for Research in Economics and Statistics3
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University3
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). Khed, V ; K. b., U., . 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). Jhun, Jennifer ; Weatherall, James Owen ; Palacios, Patricia . In: Papers. RePEc:arx:papers:1704.02392.

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

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2018Equilibrium in thin security markets under restricted participation. (2018). 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). Fu, Xin-Lan ; Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shan, Zheng ; Gao, Xing-Lu. In: Papers. RePEc:arx:papers:1806.07604.

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

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

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

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2017Equity Market Globalization and Portfolio Rebalancing. (2017). Kim, Kyungkeun ; Lee, Dongwon. 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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2018Why Do Wealthy Parents Have Wealthy Children?. (2018). 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 and Confused by Glut: The Portfolio Formation Behavior of Peer-to-Business Lending Investors. (2018). Dorfleitner, Gregor ; Weber, Martina ; Hornuf, Lars. 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). Sattarhoff, Cristina ; Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7102.

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2018Heterogeneity and Persistence in Returns to Wealth. (2018). Fagereng, Andreas ; Pistaferri, Luigi ; Malacrino, Davide ; 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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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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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). Segnon, Mawuli ; Trede, Mark. 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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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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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 ; Habib, Maurizio Michael ; Bubeck, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20172116.

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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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2018The ABC of simulation estimation with auxiliary statistics. (2018). Forneron, Jean-Jacques ; Ng, Serena. 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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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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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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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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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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2018Financial literacy and participation in the derivatives markets. (2018). Hsiao, Yu-Jen ; Tsai, Wei-Che. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:15-29.

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2017Genetic and environmental influences on household financial distress. (2017). Xu, Yilan ; Brown, Jeffrey ; Briley, Daniel A ; Roberts, Brent W. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:142:y:2017:i:c:p:404-424.

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2017Rational inattention and the dynamics of consumption and wealth in general equilibrium. (2017). Young, Eric ; Wang, Gaowang ; Luo, Yulei ; Nie, Jun. In: Journal of Economic Theory. RePEc:eee:jetheo:v:172:y:2017:i:c:p:55-87.

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2017Systematic mistakes in the mortgage market and lack of financial sophistication. (2017). Ben-David, Itzhak ; Agarwal, Sumit ; Yao, Vincent . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:1:p:42-58.

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2017Who is internationally diversified? Evidence from the 401(k) plans of 296 firms. (2017). Bekaert, Geert ; Ravina, Enrichetta ; Hu, Wei-Yin ; Hoyem, Kenton . In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:86-112.

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2017Socioeconomic status and learning from financial information. (2017). Kuhnen, Camelia ; Miu, Andrei C. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:2:p:349-372.

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2017Information networks: Evidence from illegal insider trading tips. (2017). Ahern, Kenneth. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:1:p:26-47.

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2017Intermediary asset pricing: New evidence from many asset classes. (2017). He, Zhiguo ; Manela, Asaf ; Kelly, Bryan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:1:p:1-35.

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2018Belief-free price formation. (2018). Horner, Johannes ; Tomala, Tristan ; Lovo, Stefano. In: Journal of Financial Economics. RePEc:eee:jfinec:v:127:y:2018:i:2:p:342-365.

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2018An intertemporal CAPM with stochastic volatility. (2018). Campbell, John ; Turley, Robert ; Polk, Christopher ; Giglio, Stefano. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:207-233.

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2018Downside risks and the cross-section of asset returns. (2018). Farago, Adam ; Tedongap, Romeo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:69-86.

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2017Financial education, investor protection and international portfolio diversification. (2017). Giofre', Maela. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:111-139.

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2018Does cognitive aging affect portfolio choice?. (2018). Pak, Tae-Young ; Babiarz, Patryk. In: Journal of Economic Psychology. RePEc:eee:joepsy:v:66:y:2018:i:c:p:1-12.

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2018The heterogeneous effects of education on crime: Evidence from Danish administrative twin data. (2018). Bennett, Patrick. In: Labour Economics. RePEc:eee:labeco:v:52:y:2018:i:c:p:160-177.

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2017Simple agent-based dynamical system models for efficient financial markets: Theory and examples. (2017). Immonen, Eero . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:69:y:2017:i:c:p:38-53.

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2017Financial literacy, financial advisors, and information sources on demand for life insurance. (2017). Lin, Chaonan ; Yeh, Cheng-Yung ; Hsiao, Yu-Jen. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:43:y:2017:i:c:p:218-237.

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2017Coupling detrended fluctuation analysis for multiple warehouse-out behavioral sequences. (2017). Yao, Can-Zhong ; Zheng, Xu-Zhou ; Lin, Ji-Nan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:75-90.

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2017Complexity and multifractal behaviors of multiscale-continuum percolation financial system for Chinese stock markets. (2017). Zeng, Yayun ; Xu, Kaixuan ; Wang, Jun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:364-376.

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2017Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA. (2017). Lu, Xinsheng ; Ge, Jintian ; Sun, Xinxin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:474:y:2017:i:c:p:144-161.

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2017The cross-correlation analysis of multi property of stock markets based on MM-DFA. (2017). Yang, Yujun ; Li, Jianping. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:481:y:2017:i:c:p:23-33.

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2017Multifractal analysis of Moroccan family business stock returns. (2017). Lahmiri, Salim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:183-191.

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2018Characterization of autoregressive processes using entropic quantifiers. (2018). Redelico, Francisco O ; Traversaro, Francisco . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:13-23.

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2018The complexity of the HANG SENG Index and its constituencies during the 2007–2008 Great Recession. (2018). Argyroudis, G ; Siokis, F. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:463-474.

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2018Investigation of multifractality in the Brazilian stock market. (2018). Maganini, Natalia Diniz ; Lima, Fabiano Guasti ; da Silva, Antonio Carlos . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:497:y:2018:i:c:p:258-271.

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2018Modeling and complexity of stochastic interacting Lévy type financial price dynamics. (2018). Wang, Yiduan ; Zhang, Wei ; Zheng, Shenzhou. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:498-511.

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2018Dynamic efficiency of European credit sectors: A rolling-window multifractal detrended fluctuation analysis. (2018). Shahzad, Syed Jawad Hussain ; Aloui, Chaker ; Jammazi, Rania ; Hussain, Syed Jawad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:337-349.

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2018Fuzzy entropy complexity and multifractal behavior of statistical physics financial dynamics. (2018). Wang, Yiduan ; Zhang, Wei ; Zheng, Shenzhou. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:486-498.

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2018Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets. (2018). Grandmont, Jean-Michel ; Calvet, Laurent-Emmanuel ; Lemaire, Isabelle. In: Research in Economics. RePEc:eee:reecon:v:72:y:2018:i:1:p:117-146.

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2017Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models. (2017). GUPTA, RANGAN ; Segnon, Mawuli ; Lux, Thomas. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:69:y:2017:i:c:p:692-704.

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2018Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market. (2018). Wan, Xiaoyuan . In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:1-15.

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2018Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis. (2018). Tao, Qizhi ; Zhang, Ting ; Liu, Jiapeng ; Wei, YU. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:143-153.

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2017Do personality traits influence investors’ portfolios?. (2017). Zarri, Luca ; Bucciol, Alessandro. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:68:y:2017:i:c:p:1-12.

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2017The scale of predictability. (2017). Bandi, F M ; Tebaldi, C ; Tamoni, Andrea ; Perron, B. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85646.

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2018Investment in Financial Information and Portfolio Performance. (2018). Jappelli, Tullio ; Guiso, Luigi. In: EIEF Working Papers Series. RePEc:eie:wpaper:1807.

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2017Analysis of Variance in Household Financial Portfolio Choice: Evidence from Spain. (2017). Utrero-González, Natalia ; González Chapela, Jorge ; Callado-Muñoz, Francisco ; Utrero-Gonzalez, N ; Gonzalez-Chapela, J ; Callado-Munoz, F J. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:5:p:439-459.

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2018How Much has Wealth Concentration Grown in the United States? A Re-Examination of Data from 2001-2013. (2018). Bricker, Jesse ; Hansen, Lars Peter ; Henriques, Alice M. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-24.

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:23-:d:143630.

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2018Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis. (2018). Jensen, Mark J ; Maheu, John M. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:52-:d:167993.

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2018Stock Market Returns and Consumption. (2018). Majlesi, Kaveh ; Kermani, Amir ; di Maggio, Marco ; Dimaggio, Marco . In: Working Papers. RePEc:hhs:lunewp:2018_001.

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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: Working Paper Series. RePEc:hhs:rbnkwp:0342.

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2018Do Individual Investors Trade Differently in Different Markets?. (2018). Abreu, Margarida ; Mendes, Victor. In: Working Papers Department of Economics. RePEc:ise:isegwp:wp012018.

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2017HOW Biased is the Behavior of the Individual Investor in Warrants?. (2017). Abreu, Margaria. In: Working Papers Department of Economics. RePEc:ise:isegwp:wp182017.

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2017The Investor in Structured Retail Products: Marketing Driven or Gambling Oriented?. (2017). Abreu, Margarida ; Mendes, Victor. In: Working Papers Department of Economics. RePEc:ise:isegwp:wp192017.

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2017How Biased is the Behavior of the Individual Investor in Warrants?. (2017). Abreu, Margarida. In: Working Papers REM. RePEc:ise:remwps:wp0072017.

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2017The Investor in Structured Retail Products: Marketing Driven or Gambling Oriented?. (2017). Abreu, Margarida ; Mendes, Victor. In: Working Papers REM. RePEc:ise:remwps:wp0142017.

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2018Do Individual Investors Trade Differently in Different Markets?. (2018). Abreu, Margarida ; Mendes, Victor. In: Working Papers REM. RePEc:ise:remwps:wp0262018.

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2018Shift-Share Instruments and the Impact of Immigration. (2018). Stuhler, Jan ; Ruist, Joakim ; Jaeger, David. In: IZA Discussion Papers. RePEc:iza:izadps:dp11307.

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2018Stock Market Returns and Consumption. (2018). Majlesi, Kaveh ; Kermani, Amir ; di Maggio, Marco ; Dimaggio, Marco . In: IZA Discussion Papers. RePEc:iza:izadps:dp11357.

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2017VIX Forecast Under Different Volatility Specifications. (2017). Wang, Ying ; Wong, Hoi Ying. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:2:d:10.1007_s10690-017-9227-0.

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2017The dynamics of capital accumulation in the US: simulations after piketty. (2017). Roemer, John ; De Donder, Philippe ; DeDonder, Philippe . In: The Journal of Economic Inequality. RePEc:kap:jecinq:v:15:y:2017:i:2:d:10.1007_s10888-016-9346-2.

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2017Behavioral Heterogeneity: Pareto Distributions of Homothetic Preference Scales and Aggregate Expenditures Income Elasticities. (2017). Grandmont, Jean-Michel. In: Discussion Paper Series. RePEc:kob:dpaper:dp2017-31.

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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.
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article83
2009Measuring the Financial Sophistication of Households.(2009) In: Post-Print.
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2009Measuring the Financial Sophistication of Households.(2009) In: Scholarly Articles.
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paper
2009Measuring the Financial Sophistication of Households.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 83
paper
2011State-Observation Sampling and the Econometrics of Learning Models In: Papers.
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paper1
2011state-observation sampling and the econometrics of learning models.(2011) In: Les Cahiers de Recherche.
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paper
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.
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article59
2011Twin picks: disentangling the determinants of risk-taking in household portfolios.(2011) In: Les Cahiers de Recherche.
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paper
2011Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios.(2011) In: Working Papers.
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paper
2010Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios.(2010) In: NBER Working Papers.
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paper
2013Twin picks: Disentangling the determinants of risk-taking in household portfolios.(2013) In: SAFE Working Paper Series.
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paper
2017Who Are the Value and Growth Investors? In: Journal of Finance.
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article5
2014Who Are the Value and Growth Investors?.(2014) In: Les Cahiers de Recherche.
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paper
2014Who are the value and growth investors?.(2014) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 5
paper
1998Heterogeneous probabilities in complete asset markets In: CORE Discussion Papers.
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paper3
2016Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy In: CEPR Discussion Papers.
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paper17
2015Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy.(2015) In: Les Cahiers de Recherche.
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paper
2001Aggregation of Heterogenous Beliefs and Asset Pricing in Complete Financial Markets In: Working Papers.
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paper22
2004Aggregation oh Heterogeneous Beliefs, Asset Pricing and Risk Sharing in Complete Financial Markets In: Working Papers.
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paper4
2016Structural Dynamic Analysis of Systematic Risk In: Working Papers.
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paper0
2004Financial Innovation, Market Participation, and Asset Prices In: Journal of Financial and Quantitative Analysis.
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article24
2001Financial Innovation, Market Participation and Asset Prices.(2001) In: Harvard Institute of Economic Research Working Papers.
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paper
2004Financial Innovation, Market Participation, and Asset Prices.(2004) In: Post-Print.
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paper
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: 24
paper
2015Introduction to JPEF special issue on household finance In: Journal of Pension Economics and Finance.
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article1
1997A Multifractal Model of Asset Returns In: Cowles Foundation Discussion Papers.
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paper68
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: 68
paper
2011A Multifractal Model of Asset Returns.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 68
paper
1997Large Deviations and the Distribution of Price Changes In: Cowles Foundation Discussion Papers.
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paper19
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: Les Cahiers de Recherche.
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paper257
2007Down or Out: Assessing the Welfare Costs of Household Investment Mistakes.(2007) In: Journal of Political Economy.
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article
2007Down or Out: Assessing the Welfare Costs of Household Investment Mistakes..(2007) In: Scholarly Articles.
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paper
2006Down or Out: Assessing the Welfare Costs of Household Investment Mistakes.(2006) In: Harvard Institute of Economic Research Working Papers.
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paper
2012Down or Out: Assessing The Welfare Costs of Household Investment Mistakes.(2012) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 257
paper
2006Down or Out: Assessing the Welfare Costs of Household Investment Mistakes.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 257
paper
2012Down or Out: Assessing The Welfare Costs of Household Investment Mistakes.(2012) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 257
paper
2006Down or Out: Assessing The Welfare Costs of Household Investment Mistakes.(2006) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 257
paper
2007Down or out: Assessing the welfare costs of household investment mistakes.(2007) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 257
paper
2013Whats Beneath the Surface? Option Pricing with Multifrequency Latent States In: Les Cahiers de Recherche.
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paper3
2015What is beneath the surface? Option pricing with multifrequency latent states.(2015) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 3
article
2013Through the Looking Glass: Indirect Inference via Simple Equilibria In: Les Cahiers de Recherche.
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paper5
2015Through the looking glass: Indirect inference via simple equilibria.(2015) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 5
article
2001Forecasting multifractal volatility In: Journal of Econometrics.
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article93
2000Forecasting Multifractal Volatility.(2000) In: Harvard Institute of Economic Research Working Papers.
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This paper has another version. Agregated cites: 93
paper
1999Forecasting Multifractal Volatility.(1999) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper
2001Forecasting multifractal volatility.(2001) In: Post-Print.
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This paper has another version. Agregated cites: 93
paper
2006Volatility comovement: a multifrequency approach In: Journal of Econometrics.
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article47
2006Volatility Comovement: a multifrequency approach.(2006) In: Post-Print.
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paper
2004Volatility Comovement: A Multifrequency Approach.(2004) In: NBER Technical Working Papers.
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paper
2001Incomplete Markets and Volatility In: Journal of Economic Theory.
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article24
1999Incomplete Markets and Volatility.(1999) In: Harvard Institute of Economic Research Working Papers.
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paper
2001Incomplete Markets and Volatility.(2001) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 24
paper
2007Multifrequency news and stock returns In: Journal of Financial Economics.
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article25
2007Multifrequency news and stock returns.(2007) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 25
paper
2011Multifrequency News and Stock Returns.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 25
paper
2005Multifrequency News and Stock Returns.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 25
paper
2005Incomplete-market dynamics in a neoclassical production economy In: Journal of Mathematical Economics.
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article18
2005Incomplete Market Dynamics in a Neoclassical Production Economy.(2005) In: Harvard Institute of Economic Research Working Papers.
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paper
2005Incomplete Market Dynamics in a Neoclassical Production Economy.(2005) In: Post-Print.
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paper
2004Incomplete Market Dynamics in a Neoclassical Production Economy.(2004) In: NBER Working Papers.
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This paper has another version. Agregated cites: 18
paper
2008Multifrequency jump-diffusions: An equilibrium approach In: Journal of Mathematical Economics.
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article8
2008Multifrequency jump-diffusions: An equilibrium approach.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 8
paper
2006Multifrequency Jump-Diffusions: An Equilibrium Approach.(2006) In: NBER Working Papers.
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This paper has another version. Agregated cites: 8
paper
2006Idiosyncratic production risk, growth and the business cycle In: Journal of Monetary Economics.
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article70
2002Idiosyncratic Production Risk, Growth and the Business Cycle.(2002) In: Harvard Institute of Economic Research Working Papers.
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paper
2006Idiosyncratic Production Risk, Growth and the Business Cycle.(2006) In: Post-Print.
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paper
2003Idiosyncratic Production Risk, Growth and the Business Cycle.(2003) In: Working Papers.
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paper
2012Idiosyncratic Production Risk, Growth and the Business Cycle.(2012) In: Working Papers.
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paper
2003Idiosyncratic Production Risk, Growth, and the Business Cycle.(2003) In: NBER Working Papers.
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paper
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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paper22
2003Behavioral Heterogeneity and the Income Effect.(2003) In: Post-Print.
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This paper has another version. Agregated cites: 22
paper
2003Behavioral Heterogeneity and the Income Effect.(2003) In: The Review of Economics and Statistics.
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article
2001Incomplete Markets, Growth, and the Business Cycle In: Harvard Institute of Economic Research Working Papers.
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paper8
2003Regime-Switching and the Estimation of Multifractal Processes In: Harvard Institute of Economic Research Working Papers.
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paper16
2003Regime-Switching and the Estimation of Multifractal Processes.(2003) In: NBER Working Papers.
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paper
2009Fight Or Flight? Portfolio Rebalancing by Individual Investors In: Post-Print.
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paper135
2009Fight or Flight? Portfolio Rebalancing by Individual Investors.(2009) In: The Quarterly Journal of Economics.
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This paper has another version. Agregated cites: 135
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2008Fight or Flight? Portfolio Rebalancing by Individual Investors.(2008) In: NBER Working Papers.
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paper
2009Fight or Flight ? Portfolio Rebalancing by Individual Investors.(2009) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 135
paper
2002Multifractality in Asset Returns: Theory and Evidence In: Post-Print.
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paper106
2002Multifractality In Asset Returns: Theory And Evidence.(2002) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 106
article
2004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes In: Post-Print.
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paper89
2004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes.(2004) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 89
article
2009Down and Out : Assessing the Welfare Costs of Household investment Mistakes In: Post-Print.
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paper0
2009Household Heterogeneity in financial Market In: Post-Print.
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paper0
2009Multifractal Volatility: Theory, Estimation and Forecasting In: Post-Print.
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2010Asset Pricing In: Post-Print.
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paper0
2010Twin picks: disentangling the determinants of risk-taking in household portfolios conférence invité) In: Post-Print.
[Citation analysis]
paper0
2011Efficient estimation of learning models In: Post-Print.
[Citation analysis]
paper1
2012Efficient Estimation of Learning Models.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2008Multifractal Volatility: Theory, Forecasting and Pricing In: Post-Print.
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paper23
2008Fractals In: Post-Print.
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paper0
2011Large Deviation Theory and the Distribution of Price Changes In: Working Papers.
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paper0
2011Multifractality of US Dollar/Deutsche Mark Exchange Rates In: Working Papers.
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paper0
2015Accurate Methods for Approximate Bayesian Computation Filtering In: Journal of Financial Econometrics.
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article4
2015Robust Filtering In: Journal of the American Statistical Association.
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