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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
30752004
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
20232003
Subsampling
DN Politis, JP Romano, M Wolf
Springer Verlag, 1999
1786*1999
Honey, I shrunk the sample covariance matrix
O Ledoit, M Wolf
Journal of Portfolio Management 30 (4), 110-119, 2004
16242004
Robust performance hypothesis testing with the Sharpe ratio
O Ledoit, M Wolf
Journal of Empirical Finance 15 (5), 850-859, 2008
11062008
Stepwise multiple testing as formalized data snooping
JP Romano, M Wolf
Econometrica 73 (4), 1237-1282, 2005
10462005
Exact and approximate stepdown methods for multiple hypothesis testing
JP Romano, M Wolf
Journal of the American Statistical Association 100 (469), 94-108, 2005
6152005
Nonlinear shrinkage estimation of large-dimensional covariance matrices
O Ledoit, M Wolf
Annals of Statistics 40 (2), 1024-1060, 2012
5382012
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
4612002
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
3592003
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
3492017
Efficient computation of adjusted p-values for resampling-based stepdown multiple testing
JP Romano, M Wolf
Statistics & Probability Letters 113, 38-40, 2016
3072016
Large dynamic covariance matrices
RF Engle, O Ledoit, M Wolf
Journal of Business & Economic Statistics 37 (2), 363-375, 2019
2802019
The Romano–Wolf multiple-hypothesis correction in Stata
D Clarke, JP Romano, M Wolf
The Stata Journal 20 (4), 812-843, 2020
2282020
Control of generalized error rates in multiple testing
JP Romano, M Wolf
The Annals of Statistics 35 (4), 1378-1408, 2007
2042007
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
1992015
Formalized data snooping based on generalized error rates
JP Romano, AM Shaikh, M Wolf
Econometric Theory 24 (2), 404-447, 2008
1942008
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
165*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
1622008
Analytical nonlinear shrinkage estimation of large-dimensional covariance matrices
O Ledoit, M Wolf
Annals of Statistics 48 (5), 3043-3065, 2020
1522020
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