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Shrinkage estimation of large...
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26
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1
Robust performance hypothesis testing with the Sharpe ratio
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of empirical finance
15
(
2008
)
5
,
pp. 850-859
Persistent link: https://www.econbiz.de/10003776371
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2
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of empirical finance
10
(
2003
)
5
,
pp. 603-621
Persistent link: https://www.econbiz.de/10001806971
Saved in:
3
Flexible multivariate GARCH modeling with an application to international stock markets
Ledoit, Olivier
;
Santa-Clara, Pedro
;
Wolf, Michael
- In:
The review of economics and statistics
85
(
2003
)
3
,
pp. 735-747
Persistent link: https://www.econbiz.de/10001791792
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4
Factor models for portfolio selection in large dimensions : the good, the better and the ugly
De Nard, Gianluca
;
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of financial econometrics
19
(
2021
)
2
,
pp. 236-257
Persistent link: https://www.econbiz.de/10012620051
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5
The power of (non-)linear shrinking : a review and guide to covariance matrix estimation
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 187-218
Persistent link: https://www.econbiz.de/10012878194
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6
Nonlinear shrinkage of the covariance matrix for portfolio selection : Markowitz meets Goldilocks
Ledoit, Olivier
;
Wolf, Michael
- In:
The review of financial studies
30
(
2017
)
12
,
pp. 4349-4388
Persistent link: https://www.econbiz.de/10011924578
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7
Large dynamic covariance matrices
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
2
,
pp. 363-375
Persistent link: https://www.econbiz.de/10012178181
Saved in:
8
Efficient sorting : a more powerful test for cross-sectional anomalies
Ledoit, Olivier
;
Wolf, Michael
;
Zhao, Zhao
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 645-686
Persistent link: https://www.econbiz.de/10012152240
Saved in:
9
Large dynamic covariance matrices : enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013461761
Saved in:
10
Stock returns and dividend yields revisited : a new way to look at an old problem
Wolf, Michael
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
1
,
pp. 18-30
Persistent link: https://www.econbiz.de/10001441585
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