Laurent-Emmanuel Calvet (born 28 February 1969) is a French economist. He taught at

Harvard University Harvard University is a private Ivy League research university in Cambridge, Massachusetts. Founded in 1636 as Harvard College and named for its first benefactor, the Puritan clergyman John Harvard, it is the oldest institution of higher le ...

, at

HEC Paris HEC Paris (french: École des hautes études commerciales de Paris) is a business school, and one of the most prestigious and selective grandes écoles, located in Jouy-en-Josas, France. HEC offers Master in Management, MSc International Fi ...

, and is now Professor of Finance at

EDHEC Business School EDHEC Business School (french: Ecole des Hautes Etudes Commerciales du Nord) is a French grandes écoles business school with campus locations in: Lille, France; Nice, France; Paris, France; London, UK; and Singapore. EDHEC offers its flagship Mas ...

Early years

Calvet was born on 28 February 1969. He attended

Lycée Janson de Sailly In France, secondary education is in two stages: * ''Collèges'' () cater for the first four years of secondary education from the ages of 11 to 15. * ''Lycées'' () provide a three-year course of further secondary education for children between ...

and

Lycée Louis-le-Grand The Lycée Louis-le-Grand (), also referred to simply as Louis-le-Grand or by its acronym LLG, is a public Lycée (French secondary school, also known as sixth form college) located on rue Saint-Jacques in central Paris. It was founded in the ...

in Paris. He obtained engineering degrees from

École Polytechnique École may refer to: * an elementary school in the French educational stages normally followed by secondary education establishments (collège and lycée) * École (river), a tributary of the Seine flowing in région Île-de-France * École, Savoi ...

in 1991 and

École des ponts ParisTech École may refer to: * an elementary school in the French educational stages normally followed by secondary education establishments (collège and lycée) * École (river), a tributary of the Seine flowing in région Île-de-France * École, Savoi ...

in 1994. He went on to complete his

M.A. A Master of Arts ( la, Magister Artium or ''Artium Magister''; abbreviated MA, M.A., AM, or A.M.) is the holder of a master's degree awarded by universities in many countries. The degree is usually contrasted with that of Master of Science. Tho ...

M.Phil. The Master of Philosophy (MPhil; Latin ' or ') is a postgraduate degree. In the United States, an MPhil typically includes a taught portion and a significant research portion, during which a thesis project is conducted under supervision. An MPhil ...

and

Ph.D. A Doctor of Philosophy (PhD, Ph.D., or DPhil; Latin: or ') is the most common degree at the highest academic level awarded following a course of study. PhDs are awarded for programs across the whole breadth of academic fields. Because it is a ...

(1998) in economics from

Yale University Yale University is a private research university in New Haven, Connecticut. Established in 1701 as the Collegiate School, it is the third-oldest institution of higher education in the United States and among the most prestigious in the wo ...

Academic career

Calvet served as an assistant professor and then as the John Loeb associate professor of the Social Sciences at

from 1998 to 2004. He taught finance at

from 2004 to 2016. Calvet was also a professor and chair in finance at

Imperial College London Imperial College London (legally Imperial College of Science, Technology and Medicine) is a public research university in London, United Kingdom. Its history began with Prince Albert, consort of Queen Victoria, who developed his vision for a cu ...

from 2007 to 2008. Specialist in

asset pricing In financial economics, asset pricing refers to a formal treatment and development of two main Price, pricing principles, outlined below, together with the resultant models. There have been many models developed for different situations, but cor ...

, household finance, and volatility modelling, Laurent Calvet joined the

faculty in 2016 as a professor of finance. In 2006, Calvet received the “Best Finance Researcher under the Age of 40” award from

Le Monde ''Le Monde'' (; ) is a French daily afternoon newspaper. It is the main publication of Le Monde Group and reported an average circulation of 323,039 copies per issue in 2009, about 40,000 of which were sold abroad. It has had its own website si ...

and the Europlace Institute of Finance.

Contributions

Calvet is known for his research in

financial economics Financial economics, also known as finance, is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on ''both sides'' of a trade".William F. Sharpe"Financial ...

, household finance, and

econometrics Econometrics is the application of Statistics, statistical methods to economic data in order to give Empirical evidence, empirical content to economic relationships.M. Hashem Pesaran (1987). "Econometrics," ''The New Palgrave: A Dictionary of ...

. He pioneered with Adlai Fisher the

Markov switching multifractal In financial econometrics (the application of Statistics, statistical methods to economic data), the Markov-switching multifractal (MSM) is a model of asset returns developed by Laurent-Emmanuel Calvet, Laurent E. Calvet and Adlai J. Fisher that in ...

model of financial volatility, which is used by academics and financial practitioners to forecast volatility, compute value-at-risk, and price derivatives. This approach is summarized in the book “Multifractal Volatility: Theory, Forecasting and Pricing” (2008). In a 2007 publication, Laurent E. Calvet,

John Y. Campbell John Young Campbell (born May 17, 1958) is a British-American economist. He is the Morton L. and Carole S. Olshan Professor of Economics at the Department of Economics at Harvard University since 1994. Biography Early years Campbell was born in ...

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 In finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions about adding assets to a well-diversified portfolio. The model takes into accou ...

. Subsequent work confirms that household follow other important precepts of financial theory, such as portfolio rebalancing and habit formation. Calvet has also contributed to statistical filtering theory. He developed with Veronika Czellar and Elvezio Ronchetti robust filtering techniques that can withstand model misspecifications and outliers. The robust filter naturally solves the degeneracy problem that plagues the

particle filter Particle filters, or sequential Monte Carlo methods, are a set of Monte Carlo algorithms used to solve filtering problems arising in signal processing and Bayesian statistical inference. The filtering problem consists of estimating the inte ...

of Gordon, Salmond, and Smith and its many extensions.

References

External links

Research homepage

CV
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Laurent-Emmanuel Calvet at HEC Pars

Laurent E. Calvet on Google Scholar
{{DEFAULTSORT:Calvet, Laurent E. 1969 births Living people Financial economists French economists Harvard University faculty Yale Graduate School of Arts and Sciences alumni Place of birth missing (living people)

Early years

Academic career

Contributions

See also

References

External links