"Staying on top of the curve: A cascade model of term structure dynamics"
Publication
Written on 20 Apr 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“.
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
