Details about Olivier Ledoit

Access statistics for papers by Olivier Ledoit.

Last updated 2019-07-18. Update your information in the RePEc Author Service.

Short-id: ple718

Working Papers

2022

1. Large dynamic covariance matrices: enhancements based on intraday data
   ECON - Working Papers, Department of Economics - University of Zurich View citations (1)
2. Markowitz portfolios under transaction costs
   ECON - Working Papers, Department of Economics - University of Zurich

2021

3. Shrinkage estimation of large covariance matrices: keep it simple, statistician?
   ECON - Working Papers, Department of Economics - University of Zurich

2020

4. Quadratic shrinkage for large covariance matrices
   ECON - Working Papers, Department of Economics - University of Zurich
5. Risk reduction and efficiency increase in large portfolios: leverage and shrinkage
   ECON - Working Papers, Department of Economics - University of Zurich View citations (4)
6. The power of (non-)linear shrinking: a review and guide to covariance matrix estimation
   ECON - Working Papers, Department of Economics - University of Zurich View citations (5)

2018

7. Analytical nonlinear shrinkage of large-dimensional covariance matrices
   ECON - Working Papers, Department of Economics - University of Zurich View citations (3)
8. Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies
   ECON - Working Papers, Department of Economics - University of Zurich View citations (1)
9. Factor models for portfolio selection in large dimensions: the good, the better and the ugly
   ECON - Working Papers, Department of Economics - University of Zurich View citations (5)
10. Robust performance hypothesis testing with smooth functions of population moments
    ECON - Working Papers, Department of Economics - University of Zurich View citations (1)

2017

11. Large dynamic covariance matrices
    ECON - Working Papers, Department of Economics - University of Zurich View citations (30)
    See also Journal Article in Journal of Business & Economic Statistics (2019)
12. Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
    ECON - Working Papers, Department of Economics - University of Zurich View citations (3)
13. Numerical implementation of the QuEST function
    ECON - Working Papers, Department of Economics - University of Zurich View citations (11)
    See also Journal Article in Computational Statistics & Data Analysis (2017)
14. Optimal estimation of a large-dimensional covariance matrix under Stein’s loss
    ECON - Working Papers, Department of Economics - University of Zurich View citations (2)

2013

15. A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction
    ECON - Working Papers, Department of Economics - University of Zurich
16. Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
    ECON - Working Papers, Department of Economics - University of Zurich View citations (2)
    See also Journal Article in Journal of Multivariate Analysis (2015)

2011

17. Choice Democracy
    ECON - Working Papers, Department of Economics - University of Zurich
18. Nonlinear shrinkage estimation of large-dimensional covariance matrices
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich View citations (2)
19. The coexistence of commodity money and fiat money
    ECON - Working Papers, Department of Economics - University of Zurich
20. The redistributive effects of monetary policy
    ECON - Working Papers, Department of Economics - University of Zurich View citations (11)

2010

21. Central limit theorems when data are dependent: addressing the pedagogical gaps
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich
22. Robust performance hypothesis testing with the variance
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich

2009

23. Eigenvectors of some large sample covariance matrices ensembles
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich

2008

24. Robust Performance Hypothesis Testing with the Sharpe Ratio
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich View citations (321)
    See also Journal Article in Journal of Empirical Finance (2008)

2003

25. Honey, I Shrunk the Sample Covariance Matrix
    Working Papers, Barcelona School of Economics View citations (11)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2003) View citations (10)

2002

26. Relative Pricing of Options with Stochastic Volatility
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (21)

2001

27. Flexible multivariate GARCH modeling with an application to international stock markets
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (5)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1999) View citations (3)
    See also Journal Article in The Review of Economics and Statistics (2003)
28. Improved estimation of the covariance matrix of stock returns with an application to portofolio selection
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (3)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2000)
    See also Journal Article in Journal of Empirical Finance (2003)
29. Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (3)

2000

30. A well conditioned estimator for large dimensional covariance matrices
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (4)
    See also Journal Article in Journal of Multivariate Analysis (2004)

1999

31. Approximate Arbitrage
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (3)
32. Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes
    Finance, University Library of Munich, Germany

1998

33. Crashes at Critical Points
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (2)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2000)

Journal Articles

2019

1. Large Dynamic Covariance Matrices
   Journal of Business & Economic Statistics, 2019, 37, (2), 363-375 View citations (54)
   See also Working Paper (2017)

2017

2. Numerical implementation of the QuEST function
   Computational Statistics & Data Analysis, 2017, 115, (C), 199-223 View citations (10)
   See also Working Paper (2017)

2015

3. Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions
   Journal of Multivariate Analysis, 2015, 139, (C), 360-384 View citations (43)
   See also Working Paper (2013)

2008

4. Robust performance hypothesis testing with the Sharpe ratio
   Journal of Empirical Finance, 2008, 15, (5), 850-859 View citations (320)
   See also Working Paper (2008)

2004

5. A well-conditioned estimator for large-dimensional covariance matrices
   Journal of Multivariate Analysis, 2004, 88, (2), 365-411 View citations (372)
   See also Working Paper (2000)

2003

6. Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
   The Review of Economics and Statistics, 2003, 85, (3), 735-747 View citations (135)
   See also Working Paper (2001)
7. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
   Journal of Empirical Finance, 2003, 10, (5), 603-621 View citations (473)
   See also Working Paper (2001)

2000

8. CRASHES AS CRITICAL POINTS
   International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (02), 219-255 View citations (119)
   See also Working Paper (1998)
9. Gain, Loss, and Asset Pricing
   Journal of Political Economy, 2000, 108, (1), 144-172 View citations (130)

1996

10. Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market
    Journal of Finance, 1996, 51, (2), 751-62 View citations (16)