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Michael Wolf
Michael Wolf
Verified email at econ.uzh.ch - Homepage
Title
Cited by
Cited by
Year
A well-conditioned estimator for large-dimensional covariance matrices
O Ledoit, M Wolf
Journal of Multivariate Analysis 88 (2), 365-411, 2004
25982004
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
O Ledoit, M Wolf
Journal of Empirical Finance 10 (5), 603-621, 2003
17722003
Subsampling
DN Politis, JP Romano, M Wolf
Springer Verlag, 1999
16351999
Honey, I shrunk the sample covariance matrix
O Ledoit, M Wolf
Journal of Portfolio Management 30 (4), 110-119, 2004
13252004
Robust performance hypothesis testing with the Sharpe ratio
O Ledoit, M Wolf
Journal of Empirical Finance 15 (5), 850-859, 2008
8922008
Stepwise multiple testing as formalized data snooping
JP Romano, M Wolf
Econometrica 73 (4), 1237-1282, 2005
8592005
Exact and approximate stepdown methods for multiple hypothesis testing
JP Romano, M Wolf
Journal of the American Statistical Association 100 (469), 94-108, 2005
4742005
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
O Ledoit, M Wolf
Annals of Statistics 30 (4), 1081-1102, 2002
4322002
Nonlinear shrinkage estimation of large-dimensional covariance matrices
O Ledoit, M Wolf
Annals of Statistics 40 (2), 1024-1060, 2012
4302012
Flexible multivariate GARCH modeling with an application to international stock markets
O Ledoit, P Santa-Clara, M Wolf
Review of Economics and Statistics 85 (3), 735-747, 2003
3422003
Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
O Ledoit, M Wolf
Review of Financial Studies 30 (12), 4349-4388, 2017
2232017
Efficient computation of adjusted p-values for resampling-based stepdown multiple testing
JP Romano, M Wolf
Statistics & Probability Letters 113, 38-40, 2016
1952016
Large dynamic covariance matrices
RF Engle, O Ledoit, M Wolf
Journal of Business & Economic Statistics 37 (2), 363-375, 2019
1862019
Control of generalized error rates in multiple testing
JP Romano, M Wolf
The Annals of Statistics 35 (4), 1378-1408, 2007
1812007
Formalized data snooping based on generalized error rates
JP Romano, AM Shaikh, M Wolf
Econometric Theory 24 (2), 404-447, 2008
1742008
Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
O Ledoit, M Wolf
Journal of Multivariate Analysis 139, 360-384, 2015
1662015
Rejoinder on: Control of the false discovery rate under dependence using the bootstrap and subsampling
JP Romano, AM Shaikh, M Wolf
Test 17 (3), 461-471, 2008
152*2008
Control of the false discovery rate under dependence using the bootstrap and subsampling
JP Romano, AM Shaikh, M Wolf
Test 17 (3), 417-442, 2008
1492008
Subsampling for heteroskedastic time series
DN Politis, JP Romano, M Wolf
Journal of Econometrics 81 (2), 281-317, 1997
1371997
Hypothesis testing in econometrics
J Romano, A Shaikh, M Wolf
Annual Review of Economics 38, 75-104, 2010
1312010
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Articles 1–20