Michael Wolf

University of Zurich - Department of Economics

Wilfriedstrasse 6

Zurich, 8032

Switzerland

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Scholarly Papers (45)

1.
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Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, The University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,571 (1,960)

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non-standard errors, multi-analyst approach, liquidity

2.

Honey, I Shrunk the Sample Covariance Matrix

UPF Economics and Business Working Paper No. 691
Number of pages: 21 Posted: 18 Sep 2003
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 3,050 (5,644)
Citation 126

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Covariance matrix, Markovitz optimization, shrinkage, tracking error

3.

Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks

University of Zurich, Department of Economics, Working Paper No. 137
Number of pages: 70 Posted: 24 Jan 2014 Last Revised: 09 Feb 2017
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 1,136 (26,463)
Citation 24

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Large-dimensional asymptotics, Markowitz portfolio selection, nonlinear shrinkage

4.

Analytical Nonlinear Shrinkage of Large-Dimensional Covariance Matrices

University of Zurich, Department of Economics, Working Paper No. 264, Revised version
Number of pages: 56 Posted: 04 Oct 2017 Last Revised: 12 Nov 2018
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 788 (44,228)
Citation 17

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Kernel estimation, Hilbert transform, large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance

5.

Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly

Journal of Financial Econometrics (2020, forthcoming) and University of Zurich, Department of Economics, Working Paper No. 290, Revised version
Number of pages: 28 Posted: 12 Jun 2018 Last Revised: 14 Oct 2020
Gianluca De Nard, Olivier Ledoit and Michael Wolf
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 708 (51,007)
Citation 14

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Dynamic conditional correlations, factor models, multivariate GARCH, Markowitz portfolio selection, nonlinear shrinkage

6.

Robust Performance Hypothesis Testing with the Sharpe Ratio

ZEW - Center for European Economic Research Paper No. 320
Number of pages: 15 Posted: 14 May 2007
Michael Wolf
University of Zurich - Department of Economics
Downloads 696 (52,189)
Citation 1

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Bootstrap, HAC inference, Sharpe ratio

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

UPF, Economics and Business Working Paper No. 578
Number of pages: 33 Posted: 15 Oct 2002
Olivier Ledoit, Pedro Santa-Clara and Michael Wolf
University of Zurich - Department of Economics, Nova School of Business and Economics and University of Zurich - Department of Economics
Downloads 655 (55,742)
Citation 31

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Diagonal-Vech model multivariate GARCH, unrestricted estimation

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

Review of Economics and Statistics, Forthcoming
Posted: 19 Oct 2002
Olivier Ledoit, Pedro Santa-Clara and Michael Wolf
University of Zurich - Department of Economics, Nova School of Business and Economics and University of Zurich - Department of Economics

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Diagonal-Vech model multivariate GARCH, unrestricted estimation

8.

Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies

University of Zurich, Department of Economics, Working Paper No. 238, Revised version
Number of pages: 52 Posted: 08 Dec 2016 Last Revised: 27 May 2018
Olivier Ledoit, Michael Wolf and Zhao Zhao
University of Zurich - Department of Economics, University of Zurich - Department of Economics and Huazhong University of Science and Technology - Department of Economics
Downloads 639 (58,276)
Citation 4

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Cross-section of returns, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage

9.

Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data

University of Zurich, Department of Economics, Working Paper No. 356, Revised version
Number of pages: 41 Posted: 25 Sep 2020 Last Revised: 04 Feb 2022
University of Zurich - Department of Banking and Finance, New York University (NYU) - Department of Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 580 (65,909)
Citation 14

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Dynamic conditional correlations, intraday data, Markowitz portfolio selection, multivariate GARCH, nonlinear shrinkage

10.

Large Dynamic Covariance Matrices

University of Zurich, Department of Economics, Working Paper No. 231, Revised version
Number of pages: 43 Posted: 28 Jul 2016 Last Revised: 20 Apr 2017
Robert F. Engle, Olivier Ledoit and Michael Wolf
New York University (NYU) - Department of Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 567 (67,838)
Citation 17

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Composite likelihood, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage

11.

Stepwise Multiple Testing as Formalized Data Snooping

UPF Working Paper No. 712
Number of pages: 36 Posted: 11 Jul 2004
Michael Wolf and Joseph P. Romano
University of Zurich - Department of Economics and Stanford University - Department of Statistics
Downloads 505 (78,319)
Citation 112

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Bootstrap, data snooping, familywise error, multiple testing, step-down method

12.

Resampling vs. Shrinkage for Benchmarked Managers

Number of pages: 14 Posted: 08 Sep 2004
Michael Wolf
University of Zurich - Department of Economics
Downloads 468 (85,891)
Citation 5

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Covariance matrix, Markowitz optimization, Shrinkage, Resampling, Tracking error

13.

The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation

University of Zurich, Department of Economics, Working Paper No. 323, Revised version
Number of pages: 42 Posted: 01 Jun 2019 Last Revised: 04 Feb 2020
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 459 (87,886)
Citation 2

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Dynamic conditional correlations, factor models, large-dimensional asymptotics, Markowitz portfolio selection, rotation equivariance

14.

Fund-of-Funds Construction by Statistical Multiple Testing Methods

Institute for Empirical Research in Economics University of Zurich Working Paper No. 445
Number of pages: 24 Posted: 25 Sep 2009
Michael Wolf and Dan Wunderli
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 373 (111,525)
Citation 3

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bootstrap, familywise error rate, fund-of-funds, performance evaluation

15.

Optimal Estimation of a Large-Dimensional Covariance Matrix Under Stein's Loss

University of Zurich, Department of Economics, Working Paper No. 122, Revised version
Number of pages: 64 Posted: 15 May 2013 Last Revised: 23 Mar 2017
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 300 (141,155)
Citation 12

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Large-dimensional asymptotics, nonlinear shrinkage estimation, random matrix theory, rotation equivariance, Stein's loss

16.

Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Institute for Empirical Research in Economics University of Zurich Working Paper No. 515
Number of pages: 49 Posted: 20 Oct 2010 Last Revised: 09 Jan 2013
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 300 (141,155)
Citation 35

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Large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance

17.

The (Possible) Effect of Plain Packaging on Smoking Prevalence in Australia: A Trend Analysis

University of Zurich, Department of Economics, Working Paper No. 165
Number of pages: 17 Posted: 01 Jul 2014 Last Revised: 02 Jul 2014
Ashok Kaul and Michael Wolf
Saarland University and University of Zurich - Department of Economics
Downloads 281 (150,967)
Citation 5

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Plain packaging, smoking prevalence, treatment effect, trend analysis

18.

Spectrum Estimation: A Unified Framework for Covariance Matrix Estimation and PCA in Large Dimensions

Number of pages: 41 Posted: 10 Jan 2013 Last Revised: 30 Jul 2013
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 264 (160,785)
Citation 16

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large-dimensional asymptotics, covariance matrix eigenvalues, nonlinear shrinkage, principal component analysis

19.
Downloads 214 (196,707)

Hypothesis Testing in Econometrics

Institute for Empirical Research in Economics University of Zurich Working Paper No. 444
Number of pages: 40 Posted: 25 Sep 2009
Joseph P. Romano, Azeem Shaikh and Michael Wolf
Stanford University - Department of Statistics, Stanford University - Department of Economics and University of Zurich - Department of Economics
Downloads 214 (196,445)
Citation 20

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asymptotics, multiple testing, optimality, resampling

Hypothesis Testing in Econometrics

Annual Review of Economics, Vol. 2, pp. 75-104, 2010
Posted: 18 Oct 2010
Joseph P. Romano, Azeem Shaikh and Michael Wolf
Stanford University - Department of Statistics, University of Chicago and University of Zurich - Department of Economics

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20.

Quadratic Shrinkage for Large Covariance Matrices

University of Zurich, Departmenf of Economics, Working Paper No. 335, Revised version
Number of pages: 74 Posted: 25 Nov 2019 Last Revised: 04 Dec 2020
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 197 (212,213)
Citation 5

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Inverse shrinkage, Hilbert transform, large-dimensional asymptotics, signal amplitude, Stein shrinkage

21.

Resurrecting Weighted Least Squares

University of Zurich, Department of Economics, Working Paper No. 172, Revised version
Number of pages: 49 Posted: 05 Sep 2014 Last Revised: 27 Oct 2016
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 179 (230,757)
Citation 6

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Conditional heteroskedasticity, HC standard errors, weighted least squares

22.

Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing

UPF Economics and Business Working Paper No. 727
Number of pages: 28 Posted: 12 Jul 2004
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 161 (252,419)
Citation 45

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Bootstrap, familywise error rate, multiple testing, permutation test, randomization test, stepdown procedure, subsampling

23.

Shrinkage Estimation of Large Covariance Matrices: Keep it Simple, Statistician?

University of Zurich, Department of Economics, Working Paper No. 327, Revised Version
Number of pages: 54 Posted: 17 Jul 2019 Last Revised: 28 Jun 2021
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 159 (255,068)
Citation 1

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Large-dimensional asymptotics, random matrix theory, rotation equivariance

24.

Improving Weighted Least Squares Inference

University of Zurich, Department of Economics, Working Paper No. 232, Revised version
Number of pages: 44 Posted: 12 Aug 2016 Last Revised: 21 Nov 2017
Cyrus DiCiccio, Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics, Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 133 (293,619)

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Bootstrap, conditional heteroskedasticity, HC standard errors

25.

The (Possible) Effect of Plain Packaging on the Smoking Prevalence of Minors in Australia: A Trend Analysis

University of Zurich, Department of Economics, Working Paper No. 149
Number of pages: 18 Posted: 26 Mar 2014 Last Revised: 05 Jun 2014
Ashok Kaul and Michael Wolf
Saarland University and University of Zurich - Department of Economics
Downloads 131 (297,082)

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Plain packaging, smoking prevalence, treatment effect, trend analysis

26.

Improved Nonparametric Confidence Intervals in Time Series Regressions

UPF Economics and Business Working Paper No. 635
Number of pages: 26 Posted: 17 Jun 2003
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 127 (304,123)
Citation 6

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Bootstrap, confidence intervals, studentization, time series regressions, prewhitening

27.

Testing for Monotonicity in Expected Asset Returns

Number of pages: 37 Posted: 07 Jun 2011 Last Revised: 24 Jan 2013
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 126 (305,882)
Citation 7

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Bootstrap, CAPM, Monotonicity tests, Non-monotonic relations

28.

A New Portfolio Formation Approach to Mispricing of Marketing Performance Indicators with an Application to Customer Satisfaction

Number of pages: 27 Posted: 12 Jun 2012 Last Revised: 10 Dec 2013
David R. Bell, Olivier Ledoit and Michael Wolf
University of Pennsylvania - Marketing Department, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 124 (309,460)
Citation 1

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Customer satisfaction, financial performance, long-short portfolio, mispricing

29.

Control of the False Discovery Rate Under Dependence Using the Bootstrap and Subsampling

University of Zurich Working Paper No. 337
Number of pages: 33 Posted: 29 Oct 2007 Last Revised: 17 Dec 2008
Joseph P. Romano, Azeem Shaikh and Michael Wolf
Stanford University - Department of Statistics, Stanford University - Department of Economics and University of Zurich - Department of Economics
Downloads 119 (318,901)
Citation 14

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Bootstrap, Subsampling, False Discovery Rate, Multiple Testing, Stepdown Procedure

30.

The Romano-Wolf Multiple Hypothesis Correction in Stata

IZA Discussion Paper No. 12845
Number of pages: 32 Posted: 06 Jan 2020
Damian Clarke, Joseph P. Romano and Michael Wolf
University of Oxford - Department of Economics, Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 116 (324,588)
Citation 7

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bootstrap, familywise error rate, multiple hypothesis testing, permutation methods, rwolf, step-down procedure

31.

Robust Performance Hypothesis Testing with the Variance

Institute for Empirical Research in Economics University of Zurich Working Paper No. 516
Number of pages: 11 Posted: 20 Oct 2010
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 112 (332,664)
Citation 13

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Bootstrap, HAC inference, Variance

32.
Downloads 99 (361,329)
Citation 8

Bootstrap Joint Prediction Regions

University of Zurich Department of Economics Working Paper No. 64
Number of pages: 40 Posted: 01 Mar 2012 Last Revised: 08 May 2013
Michael Wolf and Dan Wunderli
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 98 (366,488)
Citation 4

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Generalized error rates, path forecast, simultaneous prediction intervals

Bootstrap Joint Prediction Regions

Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 352-376, 2015
Number of pages: 25 Posted: 24 Apr 2015
Michael Wolf and Dan Wunderli
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 1 (914,453)
Citation 1

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Generalized error rates, path forecast, simultaneous prediction intervals

33.

Optimal Testing of Multiple Hypotheses with Common Effect Direction

University of Zurich, Institute for Empirical Research in Economics Working Paper No. 307
Number of pages: 20 Posted: 02 Nov 2006 Last Revised: 21 Oct 2008
Bittman Biostat, Inc., Stanford University - Department of Statistics, Takeda Pharmaceuticals and University of Zurich - Department of Economics
Downloads 96 (368,407)
Citation 2

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Closure Method, Consonance, Familywise Error Rate, Multiple Endpoints, Multiple Testing, O'Brien's method

34.

Efficient Computation of Adjusted P-Values for Resampling-Based Stepdown Multiple Testing

University of Zurich, Department of Economics, Working Paper No. 219
Number of pages: 7 Posted: 25 Feb 2016
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 76 (423,554)
Citation 35

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Adjusted p-values, multiple testing, resampling, stepdown procedure

35.

A Practical Two-Step Method for Testing Moment Inequalities

University of Zurich, Department of Economics, Working Paper No. 90
Number of pages: 33 Posted: 30 Aug 2012 Last Revised: 23 Apr 2014
Joseph P. Romano, Azeem Shaikh and Michael Wolf
Stanford University - Department of Statistics, University of Chicago and University of Zurich - Department of Economics
Downloads 44 (547,016)
Citation 21

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Bonferonni inequality, bootstrap, moment inequalities, partial identification, uniform validity

36.

Robust Performance Hypothesis Testing with Smooth Functions of Population Moments

University of Zurich, Department of Economics, Working Paper No. 305
Number of pages: 23 Posted: 15 Nov 2018
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 38 (577,245)
Citation 1

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Bootstrap, HAC Inference, Kurtosis, Sharpe Ratio, Sknewness, Variance

37.

Consonance and the Closure Method in Multiple Testing

University of Zurich Institute for Empirical Research in Economics Working Paper No. 446
Number of pages: 21 Posted: 25 Sep 2009
Joseph P. Romano, Azeem Shaikh and Michael Wolf
Stanford University - Department of Statistics, Stanford University - Department of Economics and University of Zurich - Department of Economics
Downloads 38 (577,245)

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Multiple Testing, Closure Method, Coherence, Consonance, Familywise Error Rate

38.

Balanced Control of Generalized Error Rates

University of Zurich Institute for Empirical Research in Economics Working Paper No. 379
Number of pages: 40 Posted: 26 Aug 2008
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 37 (582,609)
Citation 10

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Bootstrap, False Discovery Proportion, Generalized familywise error rate, Multiple Testing, Stepdown procedure

Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions

University of Zurich, Department of Economics, Working Paper No. 246, Revised version
Number of pages: 65 Posted: 23 Mar 2017 Last Revised: 31 Jan 2018
Stefan Bruder and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 26 (668,518)
Citation 8

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bootstrap, impulse response functions, joint confidence bands, vector autoregressive process

Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions

Journal of Time Series Analysis, Vol. 39, Issue 5, pp. 641-664, 2018
Number of pages: 24 Posted: 20 Aug 2018
Stefan Bruder and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 1 (914,453)

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Bootstrap, impulse response functions, joint confidence bands, vector autoregressive process

40.

Numerical Implementation of the QuEST Function

University of Zurich, Department of Economics, Working Paper No. 215, Revised version
Number of pages: 43 Posted: 25 Jul 2017 Last Revised: 01 Aug 2017
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 26 (649,801)
Citation 6

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Large-dimensional asymptotics, numerical optimization, random matrix theory, spectrum estimation

41.

Multiple Testing of One-Sided Hypotheses: Combining Bonferroni and the Bootstrap

University of Zurich, Department of Economics, Working Paper No. 254
Number of pages: 19 Posted: 02 Aug 2017
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 24 (663,904)
Citation 5

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Bonferroni, Multiple Hypothesis Testing, Stepwise Method

Subsampling the Mean of Heavy-Tailed Dependent Observations

Number of pages: 18 Posted: 24 Apr 2004
Piotr Kokoszka and Michael Wolf
Utah State University - Department of Mathematics & Statistics and University of Zurich - Department of Economics
Downloads 19 (724,873)

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Estimation of the mean, heavy tails, GARCH, subsampling

Subsampling the Mean of Heavy-Tailed Dependent Observations

UPF Economics and Business Working Paper No. 600
Posted: 04 Oct 2002
Piotr Kokoszka and Michael Wolf
Utah State University - Department of Mathematics & Statistics and University of Zurich - Department of Economics

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Heavy tails, linear time series, subsampling

43.

Improved Inference in Financial Factor Models

Number of pages: 28 Posted: 12 May 2022
Elliot Beck, Gianluca De Nard and Michael Wolf
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Economics
Downloads 18 (709,531)

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CAPM, conditional heteroskedasticity, factor models, HC standard errors.

44.

Inference for Autocorrelations in the Possible Presence of a Unit Root

Number of pages: 13 Posted: 29 Mar 2004
University of California, San Diego (UCSD) - Department of Mathematics, Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 12 (760,874)

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Autocorrelations, confidence band, confidence interval, integrated series

45.

Some Hypothesis Tests for the Covariance Matrix When the Dimension is Large Compared to the Sample Size

The Annals of Statistics, Vol. 30, No. 4, August 2002
Posted: 23 Aug 2002
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics

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Concentration asymptotics, equality test, sphericity test