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Details about Michael Wolf

E-mail:
Homepage:http://www.econ.uzh.ch/faculty/wolf.html
Postal address:Department of Economics University of Zurich Zürichbergstrasse 14 CH-8032 Zurich
Workplace:Institut für Volkswirtschaftslehre (Department of Economics), Wirtschaftswissenschaftliche Fakutät (Faculty of Economics), Universität Zürich (University of Zurich), (more information at EDIRC)

Access statistics for papers by Michael Wolf.

Last updated 2017-03-28. Update your information in the RePEc Author Service.

Short-id: pwo206


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Working Papers

2020

  1. Shrinkage estimation of large covariance matrices: keep it simple, statistician?
    ECON - Working Papers, Department of Economics - University of Zurich Downloads
  2. The power of (non-)linear shrinking: a review and guide to covariance matrix estimation
    ECON - Working Papers, Department of Economics - University of Zurich Downloads

2019

  1. Quadratic shrinkage for large covariance matrices
    ECON - Working Papers, Department of Economics - University of Zurich Downloads

2018

  1. Analytical nonlinear shrinkage of large-dimensional covariance matrices
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (3)
  2. Balanced bootstrap joint confidence bands for structural impulse response functions
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (6)
  3. Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies
    ECON - Working Papers, Department of Economics - University of Zurich Downloads
  4. Factor models for portfolio selection in large dimensions: the good, the better and the ugly
    ECON - Working Papers, Department of Economics - University of Zurich Downloads
  5. Robust performance hypothesis testing with smooth functions of population moments
    ECON - Working Papers, Department of Economics - University of Zurich Downloads

2017

  1. Improving weighted least squares inference
    ECON - Working Papers, Department of Economics - University of Zurich Downloads
  2. Large dynamic covariance matrices
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (21)
  3. Multiple testing of one-sided hypotheses: combining Bonferroni and the bootstrap
    ECON - Working Papers, Department of Economics - University of Zurich Downloads
  4. Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (3)
  5. Numerical implementation of the QuEST function
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (4)
  6. Optimal estimation of a large-dimensional covariance matrix under Stein’s loss
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (2)

2016

  1. Efficient computation of adjusted p-values for resampling-based stepdown multiple testing
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (34)
    See also Journal Article in Statistics & Probability Letters (2016)
  2. Resurrecting weighted least squares
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2017)

2014

  1. A practical two-step method for testing moment inequalities
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (47)
    See also Journal Article in Econometrica (2014)
  2. The (possible) effect of plain packaging on smoking prevalence in Australia: a trend analysis
    ECON - Working Papers, Department of Economics - University of Zurich Downloads
  3. The (possible) effect of plain packaging on the smoking prevalence of minors in Australia: a trend analysis
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (1)

2013

  1. 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 Downloads
  2. Bootstrap joint prediction regions
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (24)
  3. Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (2)
    See also Journal Article in Journal of Multivariate Analysis (2015)
  4. Testing for monotonicity in expected asset returns
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (1)

2011

  1. Nonlinear shrinkage estimation of large-dimensional covariance matrices
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (2)

2010

  1. Robust performance hypothesis testing with the variance
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads

2009

  1. Consonance and the closure method in multiple testing
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads
    See also Journal Article in The International Journal of Biostatistics (2011)
  2. Fund-of-funds construction by statistical multiple testing methods
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (2)
  3. Hypothesis testing in econometrics
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (6)
    See also Journal Article in Annual Review of Economics (2010)

2008

  1. Balanced Control of Generalized Error Rates
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads
  2. Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (24)
    See also Journal Article in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (2008)
  3. Optimal testing of multiple hypotheses with common effect direction
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (1)
    See also Journal Article in Biometrika (2009)
  4. Robust Performance Hypothesis Testing with the Sharpe Ratio
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (199)
    See also Journal Article in Journal of Empirical Finance (2008)

2006

  1. Improved Nonparametric Confidence Intervals in Time Series Regressions
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (11)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2001) Downloads
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2002) Downloads
  2. Resampling vs. Shrinkage for Benchmarked Managers
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (2)

2005

  1. Avoiding Data Snooping in Multilevel and Mixed Effects Models
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads
    See also Journal Article in Journal of the Royal Statistical Society Series A (2007)
  2. Formalized Data Snooping Based on Generalized Error Rates
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (1)
    See also Journal Article in Econometric Theory (2008)

2003

  1. Exact and approximate stepdown methods for multiple hypothesis testing
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (1)
    See also Journal Article in Journal of the American Statistical Association (2005)
  2. Honey, I Shrunk the Sample Covariance Matrix
    Working Papers, Barcelona Graduate School of Economics Downloads View citations (8)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2003) Downloads View citations (7)
  3. Stepwise Multiple Testing as Formalized Data Snooping
    Working Papers, Barcelona Graduate School of Economics Downloads View citations (2)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2003) Downloads View citations (3)

    See also Journal Article in Econometrica (2005)

2002

  1. Subsampling the mean of heavy-tailed dependent observations
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads

2001

  1. Explicit nonparametric confidence intervals for the variance with guaranteed coverage
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  2. Flexible multivariate GARCH modeling with an application to international stock markets
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (1)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1999) Downloads View citations (3)

    See also Journal Article in The Review of Economics and Statistics (2003)
  3. 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 Downloads View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2000) Downloads

    See also Journal Article in Journal of Empirical Finance (2003)
  4. 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 Downloads View citations (3)
  5. Subsampling inference in threshold autoregressive models
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2005)

2000

  1. A well conditioned estimator for large dimensional covariance matrices
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (2)
    See also Journal Article in Journal of Multivariate Analysis (2004)
  2. Subsampling inference in cube root asymptotics with an application to manski's maximum score estimator
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article in Economics Letters (2001)

1999

  1. On the asymptotic theory of subsampling
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (17)
  2. Subsampling intervals in autoregressive models with linear time trend
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (6)
    See also Journal Article in Econometrica (2001)
  3. Subsampling, symmetrization, and robust interpolation
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)

1998

  1. Finite sample nonparametric inference and large sample efficiency
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Subsampling confidence intervals for the autoregressive root
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (4)

Undated

  1. Control of Generalized Error Rates in Multiple Testing
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads

Journal Articles

2017

  1. Resurrecting weighted least squares
    Journal of Econometrics, 2017, 197, (1), 1-19 Downloads View citations (11)
    See also Working Paper (2016)

2016

  1. Efficient computation of adjusted p-values for resampling-based stepdown multiple testing
    Statistics & Probability Letters, 2016, 113, (C), 38-40 Downloads View citations (34)
    See also Working Paper (2016)

2015

  1. Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions
    Journal of Multivariate Analysis, 2015, 139, (C), 360-384 Downloads View citations (21)
    See also Working Paper (2013)

2014

  1. A Practical Two‐Step Method for Testing Moment Inequalities
    Econometrica, 2014, 82, 1979-2002 Downloads View citations (13)
    See also Working Paper (2014)

2011

  1. Consonance and the Closure Method in Multiple Testing
    The International Journal of Biostatistics, 2011, 7, (1), 1-25 Downloads View citations (5)
    See also Working Paper (2009)

2010

  1. Hypothesis Testing in Econometrics
    Annual Review of Economics, 2010, 2, (1), 75-104 Downloads View citations (31)
    See also Working Paper (2009)

2009

  1. Optimal testing of multiple hypotheses with common effect direction
    Biometrika, 2009, 96, (2), 399-410 Downloads View citations (4)
    See also Working Paper (2008)

2008

  1. Control of the false discovery rate under dependence using the bootstrap and subsampling
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2008, 17, (3), 417-442 Downloads View citations (19)
    See also Working Paper (2008)
  2. FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES
    Econometric Theory, 2008, 24, (2), 404-447 Downloads View citations (51)
    See also Working Paper (2005)
  3. Rejoinder on: Control of the false discovery rate under dependence using the bootstrap and subsampling
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2008, 17, (3), 461-471 Downloads View citations (17)
  4. Robust performance hypothesis testing with the Sharpe ratio
    Journal of Empirical Finance, 2008, 15, (5), 850-859 Downloads View citations (183)
    See also Working Paper (2008)

2007

  1. Avoiding ‘data snooping’ in multilevel and mixed effects models
    Journal of the Royal Statistical Society Series A, 2007, 170, (4), 1035-1059 Downloads View citations (4)
    See also Working Paper (2005)

2005

  1. Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing
    Journal of the American Statistical Association, 2005, 100, 94-108 Downloads View citations (116)
    See also Working Paper (2003)
  2. Stepwise Multiple Testing as Formalized Data Snooping
    Econometrica, 2005, 73, (4), 1237-1282 Downloads View citations (241)
    See also Working Paper (2003)
  3. Subsampling inference in threshold autoregressive models
    Journal of Econometrics, 2005, 127, (2), 201-224 Downloads View citations (42)
    See also Working Paper (2001)

2004

  1. A well-conditioned estimator for large-dimensional covariance matrices
    Journal of Multivariate Analysis, 2004, 88, (2), 365-411 Downloads View citations (251)
    See also Working Paper (2000)
  2. Inference for Autocorrelations in the Possible Presence of a Unit Root
    Journal of Time Series Analysis, 2004, 25, (2), 251-263 Downloads View citations (5)

2003

  1. Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
    The Review of Economics and Statistics, 2003, 85, (3), 735-747 Downloads View citations (97)
    See also Working Paper (2001)
  2. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
    Journal of Empirical Finance, 2003, 10, (5), 603-621 Downloads View citations (327)
    See also Working Paper (2001)

2001

  1. Subsampling Intervals in Autoregressive Models with Linear Time Trend
    Econometrica, 2001, 69, (5), 1283-1314 View citations (30)
    See also Working Paper (1999)
  2. Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator
    Economics Letters, 2001, 73, (2), 241-250 Downloads View citations (39)
    See also Working Paper (2000)

2000

  1. A more general central limit theorem for m-dependent random variables with unbounded m
    Statistics & Probability Letters, 2000, 47, (2), 115-124 Downloads View citations (16)
  2. Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem
    Journal of Business & Economic Statistics, 2000, 18, (1), 18-30 View citations (26)

1997

  1. Subsampling for heteroskedastic time series
    Journal of Econometrics, 1997, 81, (2), 281-317 Downloads View citations (51)

Chapters

2010

  1. multiple testing
    Palgrave Macmillan Downloads View citations (9)
 
Page updated 2020-02-27