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
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Working Papers
2022
- Large dynamic covariance matrices: enhancements based on intraday data
ECON - Working Papers, Department of Economics - University of Zurich View citations (1)
- Markowitz portfolios under transaction costs
ECON - Working Papers, Department of Economics - University of Zurich
2021
- Shrinkage estimation of large covariance matrices: keep it simple, statistician?
ECON - Working Papers, Department of Economics - University of Zurich
2020
- Quadratic shrinkage for large covariance matrices
ECON - Working Papers, Department of Economics - University of Zurich
- Risk reduction and efficiency increase in large portfolios: leverage and shrinkage
ECON - Working Papers, Department of Economics - University of Zurich View citations (4)
- 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
- Analytical nonlinear shrinkage of large-dimensional covariance matrices
ECON - Working Papers, Department of Economics - University of Zurich View citations (3)
- Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies
ECON - Working Papers, Department of Economics - University of Zurich View citations (1)
- 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)
- Robust performance hypothesis testing with smooth functions of population moments
ECON - Working Papers, Department of Economics - University of Zurich View citations (1)
2017
- 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)
- Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
ECON - Working Papers, Department of Economics - University of Zurich View citations (3)
- 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)
- 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
- 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
- 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
- Choice Democracy
ECON - Working Papers, Department of Economics - University of Zurich
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich View citations (2)
- The coexistence of commodity money and fiat money
ECON - Working Papers, Department of Economics - University of Zurich
- The redistributive effects of monetary policy
ECON - Working Papers, Department of Economics - University of Zurich View citations (11)
2010
- Central limit theorems when data are dependent: addressing the pedagogical gaps
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich
- Robust performance hypothesis testing with the variance
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich
2009
- Eigenvectors of some large sample covariance matrices ensembles
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich
2008
- 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
- 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
- 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
- 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)
- 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)
- 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
- 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
- Approximate Arbitrage
University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (3)
- Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes
Finance, University Library of Munich, Germany
1998
- 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
- Large Dynamic Covariance Matrices
Journal of Business & Economic Statistics, 2019, 37, (2), 363-375 View citations (54)
See also Working Paper (2017)
2017
- Numerical implementation of the QuEST function
Computational Statistics & Data Analysis, 2017, 115, (C), 199-223 View citations (10)
See also Working Paper (2017)
2015
- 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
- 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
- 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
- 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)
- 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
- 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)
- Gain, Loss, and Asset Pricing
Journal of Political Economy, 2000, 108, (1), 144-172 View citations (130)
1996
- Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market
Journal of Finance, 1996, 51, (2), 751-62 View citations (16)
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