3

A well-conditioned estimator for large-dimensional covariance matrices

Olivier Ledoit, Michael Wolf
Journal:
Journal of Multivariate Analysis
Year:
2004
Language:
english
File:
PDF, 495 KB
english, 2004
4

Honey, I Shrunk the Sample Covariance Matrix

Ledoit, Olivier, Wolf, Michael
Journal:
The Journal of Portfolio Management
Year:
2004
Language:
english
File:
PDF, 165 KB
english, 2004
5

Large Dynamic Covariance Matrices

Engle, Robert F., Ledoit, Olivier, Wolf, Michael
Journal:
Journal of Business and Economic Statistics
Year:
2017
Language:
english
File:
PDF, 717 KB
english, 2017
6

Robust Performances Hypothesis Testing With the Variance

Olivier Ledoit, Michael Wolf
Journal:
Wilmott
Year:
2011
Language:
english
File:
PDF, 511 KB
english, 2011
8

CRASHES AS CRITICAL POINTS

JOHANSEN, ANDERS, LEDOIT, OLIVIER, SORNETTE, DIDIER
Journal:
International Journal of Theoretical and Applied Finance
Year:
2000
Language:
english
File:
PDF, 814 KB
english, 2000
10

Nonlinear shrinkage estimation of large-dimensional covariance matrices

Ledoit, Olivier, Wolf, Michael
Journal:
The Annals of Statistics
Year:
2012
Language:
english
File:
PDF, 576 KB
english, 2012
12

The Redistributive Effects of Monetary Policy

Andrei, Daniel, Herskovic, Bernard, Ledoit, Olivier
Journal:
SSRN Electronic Journal
Year:
2017
Language:
english
File:
PDF, 478 KB
english, 2017
19

NONLINEAR SHRINKAGE ESTIMATION OF LARGE-DIMENSIONAL COVARIANCE MATRICES

Olivier Ledoit and Michael Wolf
Journal:
The Annals of Statistics
Year:
2012
Language:
english
File:
PDF, 2.98 MB
english, 2012
20

Optimal estimation of a large-dimensional covariance matrix under Stein’s loss

Ledoit, Olivier, Wolf, Michael
Journal:
Bernoulli
Year:
2018
Language:
english
File:
PDF, 760 KB
english, 2018
21

Direct Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Ledoit, Olivier, Wolf, Michael
Journal:
SSRN Electronic Journal
Year:
2017
Language:
english
File:
PDF, 508 KB
english, 2017
22

Eigenvectors of some large sample covariance matrix ensembles

Olivier Ledoit, Sandrine Péché
Journal:
Probability Theory and Related Fields
Year:
2011
Language:
english
File:
PDF, 490 KB
english, 2011
25

Numerical implementation of the QuEST function

Ledoit, Olivier, Wolf, Michael
Journal:
Computational Statistics & Data Analysis
Year:
2017
Language:
english
File:
PDF, 783 KB
english, 2017
26

Honey, I Shrunk the Sample Covariance Matrix

Ledoit, Olivier, Wolf, Michael NMI
Journal:
SSRN Electronic Journal
Year:
2003
Language:
english
File:
PDF, 164 KB
english, 2003
27

Numerical Implementation of the QuEST Function

Ledoit, Olivier, Wolf, Michael
Journal:
SSRN Electronic Journal
Year:
2017
Language:
english
File:
PDF, 430 KB
english, 2017
30

Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Ledoit, Olivier, Wolf, Michael
Journal:
SSRN Electronic Journal
Year:
2011
Language:
english
File:
PDF, 528 KB
english, 2011
31

Robust Performance Hypothesis Testing with the Variance

Ledoit, Olivier, Wolf, Michael
Journal:
SSRN Electronic Journal
Year:
2010
Language:
english
File:
PDF, 133 KB
english, 2010
32

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

Ledoit, Olivier, Wolf, Michael, Zhao, Zhao
Journal:
SSRN Electronic Journal
Year:
2016
Language:
english
File:
PDF, 256 KB
english, 2016
33

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

Ledoit, Olivier, Wolf, Michael
Journal:
SSRN Electronic Journal
Year:
2013
Language:
english
File:
PDF, 723 KB
english, 2013