Written on 20 April 2018.
Laurent E. Calvet's article "Staying on top of the curve: A cascade model of term structure dynamics", co-authored with Adlai J. Fisher and Liuren Wu, published in the April issue of Journal of Financial and Quantitative Analysis, Vol. 53, Issue 2, April 2018, pp. 937-963
Abstract is available here.
Specialist in asset pricing, household finance, and volatility modelling, Laurent Calvet, Professor of Finance, EDHEC Business School is member of the core faculty of the PhD in Finance programme. He teaches a core course on Empirical Methods in Finance and advises PhD in Finance candidates of the programme.
Laurent Calvet pioneered, with Adlai Fisher, the Markov-Switching Multifractal model of financial volatility, which is increasingly used by financial practitioners and central banks to forecast volatility, compute value-at-risk, and price derivatives. This approach is summarised in their book “Multifractal Volatility: Theory, Forecasting and Pricing“.