Olivier Ledoit : Citation Profile


Are you Olivier Ledoit?

Universität Zürich

10

H index

11

i10 index

1218

Citations

RESEARCH PRODUCTION:

10

Articles

35

Papers

RESEARCH ACTIVITY:

   24 years (1996 - 2020). See details.
   Cites by year: 50
   Journals where Olivier Ledoit has often published
   Relations with other researchers
   Recent citing documents: 128.    Total self citations: 21 (1.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple718
   Updated: 2021-02-20    RAS profile: 2019-07-18    
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Relations with other researchers


Works with:

Wolf, Michael (10)

Engle, Robert (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Olivier Ledoit.

Is cited by:

Pesaran, M (24)

Santos, Andre (20)

Bollerslev, Tim (17)

Caporin, Massimiliano (17)

Kondor, Imre (16)

McAleer, Michael (16)

Fan, Jianqing (15)

Bailey, Natalia (14)

Ruiz, Esther (12)

Hafner, Christian (11)

Wong, Wing-Keung (11)

Cites to:

Wolf, Michael (50)

Engle, Robert (15)

Titman, Sheridan (8)

Uppal, Raman (7)

Andrews, Donald (6)

Bollerslev, Tim (6)

Connor, Gregory (6)

Korajczyk, Robert (6)

Fan, Jianqing (5)

Fama, Eugene (4)

Markowitz, Harry (4)

Main data


Where Olivier Ledoit has published?


Journals with more than one article published# docs
Journal of Multivariate Analysis2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA4
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2

Recent works citing Olivier Ledoit (2021 and 2020)


YearTitle of citing document
2020Review of Matrix Theory with Applications in Education and Decision Sciences. (2020). Wong, Wing-Keung ; Hau, Nguyen Huu ; Tuong, Hoa Anh ; Tinh, Tran Trung. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:1:p:28-69.

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2020An approach to the use of cryptocurrencies in Romania using data mining technique. (2020). Nica, Ionu ; Chiri, Nora. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvii:y:2020:i:1(622):p:5-20.

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2020Review of Matrix Theory with Applications in Education and Decision Sciences. (2020). Wong, Wing-Keung ; Tuong, Hoa Anh ; Tinh, Tran Trung ; Hau, Nguyen Huu. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:1:p:28-69.

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2020The LassoPSVM approach for sufficient dimension reduction using principal projections. (2020). Artemiou, Andreas ; Pircalabelu, Eugen. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2020008.

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2020Dynamic portfolio selection with sector-specific regularization. (2020). Hafner, Christian ; Wang, Linqi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020032.

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2020Robust portfolio selection using sparse estimation of comoment tensors. (2020). Vrins, Frédéric ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020003.

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2020Optimal and robust combination of forecasts via constrained optimization and shrinkage. (2020). Vrins, Frédéric ; Gambetti, Paolo ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020006.

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2020Asymptotic distribution of the Markowitz portfolio. (2018). Pav, Steven E.. In: Papers. RePEc:arx:papers:1312.0557.

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2020Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

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2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

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2020PCA for Implied Volatility Surfaces. (2020). Papanicolaou, George ; Healy, Brian ; Avellaneda, Marco. In: Papers. RePEc:arx:papers:2002.00085.

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2020Sharpe Ratio in High Dimensions: Cases of Maximum Out of Sample, Constrained Maximum, and Optimal Portfolio Choice. (2020). Vasconcelos, Gabriel ; Medeiros, Marcelo ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2002.01800.

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2020TPLVM: Portfolio Construction by Students $t$-process Latent Variable Model. (2020). Nakagawa, Kei ; Uchiyama, Yusuke. In: Papers. RePEc:arx:papers:2002.06243.

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2020Cross-sectional Stock Price Prediction using Deep Learning for Actual Investment Management. (2020). Nakagawa, Kei ; Abe, Masaya. In: Papers. RePEc:arx:papers:2002.06975.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020A Framework for Online Investment Algorithms. (2020). Gebbie, Tim ; van Zyl, Terence ; Paskaramoorthy, Andrew. In: Papers. RePEc:arx:papers:2003.13360.

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2020Company classification using machine learning. (2020). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Papers. RePEc:arx:papers:2004.01496.

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2020Bootstraps Regularize Singular Correlation Matrices. (2020). Bongiorno, Christian. In: Papers. RePEc:arx:papers:2004.03165.

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2020Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2020Mean-Variance Portfolio Management with Functional Optimization. (2020). He, Zhaoyi ; Tsang, Ka Wai. In: Papers. RePEc:arx:papers:2005.12774.

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2020Deeply Equal-Weighted Subset Portfolios. (2020). Il, Sang. In: Papers. RePEc:arx:papers:2006.14402.

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2020Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2009.09770.

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2021Consumer Theory with Non-Parametric Taste Uncertainty and Individual Heterogeneity. (2020). Gouri, Christian ; Dobronyi, Christopher. In: Papers. RePEc:arx:papers:2010.13937.

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2020Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2020Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

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2020A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2020Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757.

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2021The 2020 Global Stock Market Crash: Endogenous or Exogenous?. (2021). Zhu, Wei ; Shu, Min ; Song, Ruiqiang. In: Papers. RePEc:arx:papers:2101.00327.

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2021The COVID Crash of the 2020 U.S. Stock Market. (2021). Zhu, Wei ; Song, Ruiqiang ; Shu, Min. In: Papers. RePEc:arx:papers:2101.03625.

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2021Graphical Models for Financial Time Series and Portfolio Selection. (2021). Jakhar, Aman ; Liu, HE ; Zhan, NI ; Sun, Yijia. In: Papers. RePEc:arx:papers:2101.09214.

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2020Idiosyncratic momentum and the cross‐section of stock returns: Further evidence. (2020). Lin, QI. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:579-627.

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2020Inferring trade directions in fast markets. (2020). Jurkatis, Simon . In: Bank of England working papers. RePEc:boe:boeewp:0896.

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2020A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection. (2020). Li, S ; Connor, G ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20103.

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2020Estimation of the Kronecker Covariance Model by Quadratic Form. (2020). Tang, H ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2050.

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2020Household Finance. (2020). Gomes, Francisco J ; Haliassos, Michael ; Ramadorai, Tarun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14502.

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2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983.

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2020The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios. (2020). Craig, Ben ; Paterlini, Sandra ; Giuzio, Margherita. In: Working Paper Series. RePEc:ecb:ecbwps:20202384.

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2021Split Bregman iteration for multi-period mean variance portfolio optimization. (2021). de Simone, Valentina ; Corsaro, Stefania ; Marino, Zelda. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:392:y:2021:i:c:s0096300320306688.

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2020Efficient computation for differential network analysis with applications to quadratic discriminant analysis. (2020). Mai, Qing ; Pan, Yuqing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s0167947319302397.

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2020Large-scale minimum variance portfolio allocation using double regularization. (2020). Liao, Yin ; Bian, Zhicun ; Zhang, Xueyong ; Shi, Jing ; Oneill, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s016518892030107x.

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2020Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S.. (2020). , Jingyu ; Zhu, Yanjian ; Jiang, Yuexiang ; Wang, Jiazhen ; Yu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:428-444.

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2020Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix. (2020). Tse, Yiu-Kuen ; Dong, Yingjie. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s016517652030286x.

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2020Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2020). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:356-380.

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2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

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2020Estimation of a multiplicative correlation structure in the large dimensional case. (2020). Hafner, Christian ; Linton, Oliver B ; Tang, Haihan. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:431-470.

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2021Quantitative portfolio selection: Using density forecasting to find consistent portfolios. (2021). Beasley, John ; Meade, N ; Adcock, C J. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:3:p:1053-1067.

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2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

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2020Equity premium prediction and the state of the economy. (2020). Tsiakas, Ilias ; Zhang, Haibin ; Li, Jiahan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:75-95.

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2020Artificial Intelligence Alter Egos: Who might benefit from robo-investing?. (2020). De Winne, Rudy ; Raymond, Steve ; Ghysels, Eric ; DEWINNE, Rudy ; Dhondt, Catherine. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:278-299.

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2020Commodities price cycles and their interdependence with equity markets. (2020). Alagidede, Imhotep Paul ; Boako, Gideon ; Uddin, Gazi Salah ; Sjo, BO. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302243.

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2020The profitability of technical trading rules in the Bitcoin market. (2020). Gerritsen, Dirk ; Bouri, Elie ; Roubaud, David ; Ramezanifar, Ehsan. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303770.

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2020The participation puzzle with reference-dependent expected utility preferences. (2020). Neilson, William ; Liu, Liqun ; Wang, Jianli. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:278-287.

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2020Sparse portfolio selection via the sorted â„“1-Norm. (2020). Paterlini, Sandra ; Bogdan, Magorzata ; Lee, Sangkyun ; Kremer, Philipp J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302614.

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2020Factor based commodity investing. (2020). Tessaromatis, Nikolaos ; Sakkas, Athanasios. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300741.

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2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection. (2020). Ruiz, Esther ; Moura, Guilherme V. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301485.

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2020Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data. (2020). Graler, Benedikt ; Scherer, Matthias ; Huttner, Amelie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301631.

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2020Fear of hazards in commodity futures markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301680.

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2020A nonparametric approach to portfolio shrinkage. (2020). Han, Chulwoo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302156.

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2020Shrinking the cross-section. (2020). Nagel, Stefan ; Kozak, Serhiy ; Santosh, Shrihari. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:271-292.

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2020Global currency hedging with common risk factors. (2020). Riddiough, Steven J ; Opie, Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:780-805.

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2021Attractive and non-attractive currencies. (2021). Marsh, Ian W ; James, Jessica ; Dupuy, Philippe. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302096.

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2021The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time. (2021). Jacobsen, Ben ; Zhang, Cherry Y. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302242.

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2021Interconnectedness in the global financial market. (2021). Raddant, Matthias ; Kenett, Dror Y. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302369.

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2020A large covariance matrix estimator under intermediate spikiness regimes. (2020). Farne, Matteo ; Montanari, Angela. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:176:y:2020:i:c:s0047259x19301216.

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2020Regularized estimation of precision matrix for high-dimensional multivariate longitudinal data. (2020). Fang, Qian ; Weiping, Zhang ; Yu, Chen. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:176:y:2020:i:c:s0047259x19302830.

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2020Testing and estimating change-points in the covariance matrix of a high-dimensional time series. (2020). Steland, Ansgar. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:177:y:2020:i:c:s0047259x18305104.

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2020Updating of the Gaussian graphical model through targeted penalized estimation. (2020). van De, Mark A ; Stam, Koen A ; van Wieringen, Wessel N. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x19303252.

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2020Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution. (2020). Kubokawa, Tatsuya ; Yuasa, Ryota. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x1930569x.

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2021Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions. (2021). Fourdrinier, Dominique ; Haddouche, Anis M ; Mezoued, Fatiha . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:181:y:2021:i:c:s0047259x2030261x.

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2020Tracking and outperforming large stock-market indices. (2020). Strub, O ; Gnagi, M. In: Omega. RePEc:eee:jomega:v:90:y:2020:i:c:s0305048318302640.

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2020Business sentiment and the cross-section of global equity returns. (2020). Szyszka, Adam ; Zaremba, Adam ; Zawadka, Dariusz ; Long, Huaigang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x20301554.

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2020The potential effect of taxes on the equity home bias in New Zealand PIEs. (2020). Marsden, Alastair ; Lee, John B ; McDowell, Shaun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x19304974.

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2020Real-time prediction of Bitcoin bubble crashes. (2020). Zhu, Wei ; Shu, Min. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:548:y:2020:i:c:s0378437120302077.

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2020Can government stabilize the housing market? The evidence from South Korea. (2020). Ahn, Kwangwon ; Song, Yena ; Jang, Hanwool. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:550:y:2020:i:c:s037843711932271x.

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2020Detection of Chinese stock market bubbles with LPPLS confidence indicator. (2020). Zhu, Wei ; Shu, Min. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:557:y:2020:i:c:s0378437120304611.

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2021Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective. (2021). Esparcia, Carlos ; Lopez, Raquel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:32-54.

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2020On the investment credentials of Bitcoin: A cross-currency perspective. (2020). Bedi, Prateek ; Nashier, Tripti. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919301722.

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2020The impact of co-jumps in the oil sector. (2020). Mauad, Roberto ; Laurini, Márcio ; Lucena, Fernando Antonio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301758.

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2020A Stein’s approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric. (2020). Vincent, Franois ; Besson, Olivier ; Gendre, Xavier. In: Statistics & Probability Letters. RePEc:eee:stapro:v:167:y:2020:i:c:s0167715220301966.

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2020High-dimensional covariance matrix estimation. (2020). Lam, Clifford. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:101667.

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2020Regularized Maximum Diversification Investment Strategy. (2020). Kone, Ngolo. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2020:i:1:p:1-:d:469971.

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2020Risk Return Trade-Off in Relaxed Risk Parity Portfolio Optimization. (2020). Kwon, Roy ; Gambeta, Vaughn. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:10:p:237-:d:423642.

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2020Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters. (2020). Storti, Giuseppe ; la Rocca, Michele ; Coretto, Pietro. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:64-:d:338390.

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2020Mean-Variance Optimization Is a Good Choice, But for Other Reasons than You Might Think. (2020). Rigamonti, Andrea. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:29-:d:332644.

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2020Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis. (2020). Facchinetti, Silvia ; Bramante, Riccardo ; Arbia, Giuseppe. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:95-:d:410286.

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2020Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods. (2020). Just, Magorzata ; Uczak, Aleksandra. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:6:p:2571-:d:336499.

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2020Fear of Hazards in Commodity Futures Markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Post-Print. RePEc:hal:journl:hal-02931680.

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2020Bootstraps Regularize Singular Correlation Matrices. (2020). Bongiorno, Christian. In: Working Papers. RePEc:hal:wpaper:hal-02536278.

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2020Omega and Sharpe ratio. (2020). Guez, Beatrice ; Benhamou, Eric ; Paris, Nicolas. In: Working Papers. RePEc:hal:wpaper:hal-02886481.

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2020Exchange Rate Predictability, Risk Premiums, and Predictive System. (2020). Park, Cheolbeom ; Bak, Yuhyeon. In: Discussion Paper Series. RePEc:iek:wpaper:2006.

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2020Reference Dependence and Market Participation. (2020). Meireles-Rodrigues, Andrea ; Guasoni, Paolo. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:1:p:129-156.

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2020Surplus-Invariant Risk Measures. (2020). Munari, Cosimo ; Gao, Niushan. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:4:p:1342-1370.

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2020Portfolio Efficiency with High-Dimensional Data as Conditioning Information. (2020). Vigo Pereira, Caio. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202015.

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2020An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2020). Mazur, Stepan ; Gulliksson, Mrten. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09943-6.

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2020Liquidity Constraints for Portfolio Selection Based on Financial Volume. (2020). Filomena, Tiago Pascoal ; Fernandes, Eduardo Bered. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09957-0.

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2020Monetary Policy, Natural Resources, and Federal Redistribution. (2020). Raveh, Ohad. In: Environmental & Resource Economics. RePEc:kap:enreec:v:75:y:2020:i:3:d:10.1007_s10640-020-00400-9.

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2020Diversification and portfolio theory: a review. (2020). Koumou, Gilles Boevi. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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2020Factor exposures and diversification: Are sustainably screened portfolios any different?. (2020). Utz, Sebastian ; Gougler, Arnaud. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00354-4.

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2020The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think. (2020). Joenvaara, Juha ; Barth, Daniel ; Wermers, Russ ; Kauppila, Mikko. In: Working Papers. RePEc:ofr:wpaper:20-01.

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2020Should investors join the index revolution? Evidence from around the world. (2020). Wong, Kit Pong ; Matthias, . In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:3:d:10.1057_s41260-020-00162-5.

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2020Inferring exemplar discriminability in brain representations. (2020). Kriegeskorte, Nikolaus ; Alink, Arjen ; Walther, Alexander ; Nili, Hamed. In: PLOS ONE. RePEc:plo:pone00:0232551.

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More than 100 citations found, this list is not complete...

Works by Olivier Ledoit:


YearTitleTypeCited
2003Honey, I Shrunk the Sample Covariance Matrix In: Working Papers.
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paper10
2003Honey, I shrunk the sample covariance matrix.(2003) In: Economics Working Papers.
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This paper has another version. Agregated cites: 10
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1996 Robust Structure without Predictability: The Compass Rose Pattern of the Stock Market. In: Journal of Finance.
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article10
1998Crashes at Critical Points In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper41
2000CRASHES AS CRITICAL POINTS.(2000) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 41
article
1999Approximate Arbitrage In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper3
2002Relative Pricing of Options with Stochastic Volatility In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper18
1999Flexible Multivariate GARCH Modeling With an Application to International Stock Markets In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper107
2003Flexible Multivariate GARCH Modeling with an Application to International Stock Markets.(2003) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 107
article
2001Flexible multivariate GARCH modeling with an application to international stock markets.(2001) In: Economics Working Papers.
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This paper has another version. Agregated cites: 107
paper
2000A well conditioned estimator for large dimensional covariance matrices In: DES - Working Papers. Statistics and Econometrics. WS.
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paper290
2004A well-conditioned estimator for large-dimensional covariance matrices.(2004) In: Journal of Multivariate Analysis.
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This paper has another version. Agregated cites: 290
article
2000Improved estimation of the covariance matrix of stock returns with an application to portfolio selection In: DES - Working Papers. Statistics and Econometrics. WS.
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paper370
2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection.(2003) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 370
article
2001Improved estimation of the covariance matrix of stock returns with an application to portofolio selection.(2001) In: Economics Working Papers.
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This paper has another version. Agregated cites: 370
paper
2017Numerical implementation of the QuEST function In: Computational Statistics & Data Analysis.
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article4
2017Numerical implementation of the QuEST function.(2017) In: ECON - Working Papers.
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This paper has another version. Agregated cites: 4
paper
2008Robust performance hypothesis testing with the Sharpe ratio In: Journal of Empirical Finance.
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article232
2008Robust Performance Hypothesis Testing with the Sharpe Ratio.(2008) In: IEW - Working Papers.
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This paper has another version. Agregated cites: 232
paper
2015Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions In: Journal of Multivariate Analysis.
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article23
2013Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions.(2013) In: ECON - Working Papers.
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This paper has another version. Agregated cites: 23
paper
2019Large Dynamic Covariance Matrices In: Journal of Business & Economic Statistics.
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article37
2017Large dynamic covariance matrices.(2017) In: ECON - Working Papers.
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This paper has another version. Agregated cites: 37
paper
2000Gain, Loss, and Asset Pricing In: Journal of Political Economy.
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article54
2001Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size In: Economics Working Papers.
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paper2
1999Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes In: Finance.
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paper0
2011The coexistence of commodity money and fiat money In: ECON - Working Papers.
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paper0
2011Choice Democracy In: ECON - Working Papers.
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2011The redistributive effects of monetary policy In: ECON - Working Papers.
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paper9
2013A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction In: ECON - Working Papers.
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paper0
2014Optimal estimation of a large-dimensional covariance matrix under Stein’s loss In: ECON - Working Papers.
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paper1
2014Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks In: ECON - Working Papers.
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paper2
2017Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies In: ECON - Working Papers.
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2018Analytical nonlinear shrinkage of large-dimensional covariance matrices In: ECON - Working Papers.
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paper1
2018Factor models for portfolio selection in large dimensions: the good, the better and the ugly In: ECON - Working Papers.
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paper0
2018Robust performance hypothesis testing with smooth functions of population moments In: ECON - Working Papers.
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paper0
2020The power of (non-)linear shrinking: a review and guide to covariance matrix estimation In: ECON - Working Papers.
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2020Shrinkage estimation of large covariance matrices: keep it simple, statistician? In: ECON - Working Papers.
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2020Risk reduction and efficiency increase in large portfolios: leverage and shrinkage In: ECON - Working Papers.
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paper2
2020Quadratic shrinkage for large covariance matrices In: ECON - Working Papers.
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paper0
2020Large dynamic covariance matrices: enhancements based on intraday data In: ECON - Working Papers.
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paper0
2009Eigenvectors of some large sample covariance matrices ensembles In: IEW - Working Papers.
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paper0
2010Central limit theorems when data are dependent: addressing the pedagogical gaps In: IEW - Working Papers.
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paper0
2011Nonlinear shrinkage estimation of large-dimensional covariance matrices In: IEW - Working Papers.
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paper2
2010Robust performance hypothesis testing with the variance In: IEW - Working Papers.
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paper0

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