Michael Wolf

发表

A well-conditioned estimator for large-dimensional covariance matrices

Olivier Ledoit, Michael Wolf, Michael Wolf, 2004 .

Centre De Referència En Economia Analítica Barcelona Economics Working Paper Series Working Paper Nº 17 Stewise Multiple Testing as Formalized Data Snooping Stepwise Multiple Testing as Formalized Data Snooping

Michael Wolf, Joseph P. Romano, Michael Wolf, 2022 .

Hypothesis Testing in Econometrics

Azeem M. Shaikh, Michael Wolf, Joseph P. Romano, 2009 .

Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

Olivier Ledoit, Michael Wolf, Michael Wolf, 2003 .

Honey, I Shrunk the Sample Covariance Matrix

Olivier Ledoit, Michael Wolf, Michael Wolf, 2003 .

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

Olivier Ledoit, Michael Wolf, Michael Wolf, 2020, Journal of Financial Econometrics.

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

Olivier Ledoit, Michael Wolf, Gianluca De Nard, 2018, Journal of Financial Econometrics.

Large Dynamic Covariance Matrices

Robert F. Engle, Michael Wolf, Olivier Ledoit, 2017 .

National Centre of Competence in Research Financial Valuation and Risk Management Working Paper No . 833 Spectrum Estimation : A Unified Framework for Covariance Matrix Estimation and PCA in Large Dimensions

Olivier Ledoit, Michael Wolf, Michael Wolf, 2013 .

FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES

Azeem M. Shaikh, Joseph P. Romano, Michael Wolf, 2007, Econometric Theory.

Subsampling for heteroskedastic time series

Michael Wolf, Joseph P. Romano, Dimitris N. Politis, 1997 .

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

Olivier Ledoit, Michael Wolf, Michael Wolf, 2017 .

Robust Performance Hypothesis Testing with the Sharpe Ratio

Olivier Ledoit, Michael Wolf, Michael Wolf, 2007 .

Balanced Control of Generalized Error Rates

Michael Wolf, Joseph P. Romano, Michael Wolf, 2008 .

Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing

Joseph P. Romano, Michael Wolf, Michael Wolf, 2003 .

EXPLICIT NONPARAMETRIC CONFIDENCE INTERVALS FOR THE VARIANCE WITH GUARANTEED COVERAGE

Michael Wolf, Joseph P. Romano, Michael Wolf, 2002 .

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

Olivier Ledoit, Michael Wolf, Michael Wolf, 2020, J. Multivar. Anal..

Alternative Tests for Monotonicity in Expected Asset Returns

Joseph P. Romano, Michael Wolf, 2011 .

Control of generalized error rates in multiple testing

Michael Wolf, Joseph P. Romano, Michael Wolf, 2007, 0710.2258.

Improved nonparametric confidence intervals in time series regressions

Michael Wolf, Joseph P. Romano, Joseph P. Romano, 2002 .

Subsampling inference for the mean in the heavy-tailed case

Joseph P. Romano, Michael Wolf, Joseph P. Romano, 1999 .

Financial Valuation and Risk Management Working Paper No . 664 Robust Performance Hypothesis Testing with the Variance Olivier Ledoit

Michael Wolf, Olivier Ledoit, Olivier Ledoit, 2010 .

On the asymptotic theory of subsampling

Joseph P. Romano, D. Politis, Michael Wolf, 1999 .

Centre De Referència En Economia Analítica Barcelona Economics Working Paper Series Working Paper Nº 92 Honey, I Shrunk the Sample Covariance Matrix Honey, I Shrunk the Sample Covariance Matrix

Michael Wolf, Oliver Ledoit, Olivier Ledoit, 2022 .

Control of the false discovery rate under dependence using the bootstrap and subsampling

Joseph P. Romano, Joseph P. Romano, Michael Wolf, 2008 .

Bootstrap Joint Prediction Regions

Michael Wolf, Dan Wunderli, Michael Wolf, 2013 .

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

Pedro Santa-Clara, Michael Wolf, Olivier Ledoit, 1999, Review of Economics and Statistics.

A more general central limit theorem for m-dependent random variables with unbounded m

Joseph P. Romano, Michael Wolf, Michael Wolf, 2000 .

Replicability and Pitfalls in the Interpretation of Resampled Data: A Correction and a Randomization Test for Anwar and Fang

Michael Wolf, George Sheldon, Alex Gray, 2014 .

Resurrecting Weighted Least Squares

Joseph P. Romano, Michael Wolf, Michael Wolf, 2016 .

Weighted Least Squares and Adaptive Least Squares: Further Empirical Evidence

Michael Wolf, Martin Sterchi, Michael Wolf, 2017, Robustness in Econometrics.

Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Olivier Ledoit, Michael Wolf, Michael Wolf, 2011, 1207.5322.

Subsampling, symmetrization, and robust interpolation

Michael Wolf, Joseph P. Romano, Michael Wolf, 2000 .

The Romano–Wolf multiple-hypothesis correction in Stata

Michael Wolf, Joseph P. Romano, Damian Clarke, 2020, The Stata Journal: Promoting communications on statistics and Stata.

Quadratic Shrinkage for Large Covariance Matrices

Olivier Ledoit, Michael Wolf, Michael Wolf, 2020, SSRN Electronic Journal.

Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size

Olivier Ledoit, Michael Wolf, Michael Wolf, 2002 .

Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem

Michael Wolf, Michael Wolf, Michael Wolf, 2000 .

Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data

R. Engle, Olivier Ledoit, Michael Wolf, 2020, SSRN Electronic Journal.

OP-JFIN180017 645..686

Olivier Ledoit, Michael Wolf, Zhao Zhao, 2019 .

A Practical Two-Step Method for Testing Moment Inequalities

Joseph P. Romano, Michael Wolf, A. Shaikh, 2014 .

Choice of the Block Size

Joseph P. Romano, D. Politis, Michael Wolf, 1999 .

Testing for Monotonicity in Expected Asset Returns

Joseph P. Romano, Michael Wolf, 2013 .

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

Michael Wolf, Joseph P. Romano, Michael Wolf, 2017, Predictive Econometrics and Big Data.

Weak convergence of dependent empirical measures with application to subsampling in function spaces

Michael Wolf, Joseph P. Romano, Dimitris N. Politis, 1999 .

Analytical Nonlinear Shrinkage of Large-Dimensional Covariance Matrices

Olivier Ledoit, Michael Wolf, Michael Wolf, 2017, The Annals of Statistics.

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

Joseph P. Romano, Michael Wolf, Michael Wolf, 2016 .

Title Inference for the Mean in the Heavy-tailed Case Permalink

Joseph P. Romano, Michael Wolf, 1997 .

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

Olivier Ledoit, Michael Wolf, Zhao Zhao, 2018 .

Robust Performance Hypothesis Testing with Smooth Functions of Population Moments

Michael Wolf, Olivier Ledoit, Olivier Ledoit, 2018 .

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

Olivier Ledoit, Michael Wolf, Michael Wolf, 2017, Bernoulli.

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

Olivier Ledoit, Michael Wolf, Zhao Zhao, 2018, Journal of Financial Econometrics.

Beyond sorting: a more powerful test for cross-sectional anomalies

Olivier Ledoit, Michael Wolf, Zhao Zhao, 2016 .