Olivier Ledoit : Citation Profile


Are you Olivier Ledoit?

Universität Zürich

9

H index

9

i10 index

955

Citations

RESEARCH PRODUCTION:

10

Articles

33

Papers

RESEARCH ACTIVITY:

   23 years (1996 - 2019). See details.
   Cites by year: 41
   Journals where Olivier Ledoit has often published
   Relations with other researchers
   Recent citing documents: 216.    Total self citations: 19 (1.95 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple718
   Updated: 2019-10-15    RAS profile: 2019-07-18    
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Relations with other researchers


Works with:

Wolf, Michael (12)

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 (22)

Santos, Andre (21)

McAleer, Michael (16)

Caporin, Massimiliano (16)

Kondor, Imre (16)

Fan, Jianqing (14)

Bailey, Natalia (12)

Bollerslev, Tim (11)

Boudt, Kris (10)

Parolya, Nestor (9)

LINTON, OLIVER (9)

Cites to:

Wolf, Michael (54)

Engle, Robert (11)

Jagannathan, Ravi (9)

Titman, Sheridan (8)

Uppal, Raman (7)

Andrews, Donald (6)

Korajczyk, Robert (6)

Connor, Gregory (6)

Markowitz, Harry (5)

Fama, Eugene (5)

Fan, Jianqing (5)

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 (2019 and 2018)


YearTitle of citing document
2018Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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2017Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa. (2017). Saidi, Atanda Mustapha . In: Working Paper Series. RePEc:adb:adbwps:2390.

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2019Asymptotic distribution of the Markowitz portfolio. (2018). Pav, Steven E.. In: Papers. RePEc:arx:papers:1312.0557.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2018Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization. (2018). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1602.08297.

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2018Optimal shrinkage-based portfolio selection in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Yarema. In: Papers. RePEc:arx:papers:1611.01958.

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2017Random matrix approach to estimation of high-dimensional factor models. (2017). Yeo, Joongyeub ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1611.05571.

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2017Analytic solution to variance optimization with no short-selling. (2017). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1612.07067.

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2017Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1704.04524.

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2018Surplus-invariant risk measures. (2018). Gao, Niushan ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1707.04949.

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2017On the overestimation of the largest eigenvalue of a covariance matrix. (2017). Hayou, Soufiane . In: Papers. RePEc:arx:papers:1708.03551.

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2017Risk-Aware Multi-Armed Bandit Problem with Application to Portfolio Selection. (2017). Huo, Xiaoguang ; Fu, Feng. In: Papers. RePEc:arx:papers:1709.04415.

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2018Analytic approach to variance optimization under an $\ell_1$ constraint. (2018). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1709.08755.

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2018Generalized Information Ratio. (2018). He, Zhongzhi Lawrence . In: Papers. RePEc:arx:papers:1803.01381.

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2018Stock Price Prediction using Principle Components. (2018). Ghorbani, Mahsa. In: Papers. RePEc:arx:papers:1803.05075.

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2018Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfes Law and the LPPLS Model. (2018). Wheatley, Spencer ; Gantner, Robert N ; Reppen, Max ; Huber, Tobias ; Sornette, Didier. In: Papers. RePEc:arx:papers:1803.05663.

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2018Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning. (2018). Kinn, Daniel. In: Papers. RePEc:arx:papers:1804.01764.

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2018Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator. (2018). Nguyen, Viet Anh ; Esfahani, Peyman Mohajerin ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:1805.07194.

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2018Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423.

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2018Some Statistical Problems with High Dimensional Financial data. (2018). Chakrabarti, Arnab ; Sen, Rituparna. In: Papers. RePEc:arx:papers:1808.02953.

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2018Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. (2018). Pham, Huyen ; Zhou, Chao ; Wei, Xiaoli. In: Papers. RePEc:arx:papers:1809.01464.

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2019Forecasting Time Series with VARMA Recursions on Graphs. (2018). Isufi, Elvin ; Leus, Geert ; Perraudin, Nathanael ; Loukas, Andreas. In: Papers. RePEc:arx:papers:1810.08581.

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2018An updated review of (sub-)optimal diversification models. (2018). Bock, Johannes. In: Papers. RePEc:arx:papers:1811.08255.

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2018The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts. (2018). Kath, Christopher ; Ziel, Florian. In: Papers. RePEc:arx:papers:1811.08604.

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2019Robust Asset Allocation for Robo-Advisors. (2019). Roncalli, Thierry ; Lezmi, Edmond ; Bourgeron, Thibault. In: Papers. RePEc:arx:papers:1902.07449.

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2019Avoiding Backtesting Overfitting by Covariance-Penalties: an empirical investigation of the ordinary and total least squares cases. (2019). Firoozye, Nick ; Koshiyama, Adriano. In: Papers. RePEc:arx:papers:1905.05023.

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2019Artificial Intelligence Alter Egos: Who benefits from Robo-investing?. (2019). Raymond, Steve ; Ghysels, Eric ; de Winne, Rudy ; DEWINNE, Rudy ; D'Hondt, Catherine. In: Papers. RePEc:arx:papers:1907.03370.

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2019Critical Decisions for Asset Allocation via Penalized Quantile Regression. (2019). Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:1908.04697.

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

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2017Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices. (2017). Darabi, Roya ; Ghorashi, Felor . In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2017:p:44-48.

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2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1885.

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2018Information flow around stock market collapse. (2018). Bossomaier, Terry ; Duncan, Rod ; D'Alessandro, Steve ; Harre, Mike ; Steen, Adam ; Barnett, Lionel. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:45-58.

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2018The mixed vs the integrated approach to style investing: Much ado about nothing?. (2018). Leippold, Markus ; Rueegg, Roger. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:5:p:829-855.

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2017Estimation of the false discovery proportion with unknown dependence. (2017). Fan, Jianqing ; Han, XU. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:4:p:1143-1164.

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2017Maximum likelihood estimation for linear Gaussian covariance models. (2017). Zwiernik, Piotr ; Richards, Donald ; Uhler, Caroline . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:4:p:1269-1292.

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2018Testing for pathway (in)activation by using Gaussian graphical models. (2018). van Wieringen, Wessel N ; van De, Mark A ; de Menezes, Renee X. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:67:y:2018:i:5:p:1419-1436.

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2017PORTFOLIO OPTIMIZATION - APPLICATION OF SHARPE MODEL USING LAGRANGE. (2017). Vasile, Bratian. In: Revista Economica. RePEc:blg:reveco:v:69:y:2017:i:5:p:8-21.

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2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

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2018A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables. (2018). Chen, J ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1876.

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2017The Global Equity Premium Revisited: What Human Rights Imply for Assets’ Purchasing Power. (2017). Biakowski, Jdrzej ; Ronn, Ehud I. In: Working Papers in Economics. RePEc:cbt:econwp:17/19.

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2018Exponent of Cross-sectional Dependence for Residuals. (2018). Pesaran, M ; Kapetanios, George ; Bailey, Natalia. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7223.

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2017Creating Investment Scheme with State Space Modeling. (2017). Nakano, Masafumi ; Takahashi, Soichiro. In: CARF F-Series. RePEc:cfi:fseres:cf406.

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2017A Portfolio Perspective on the Multitude of Firm Characteristics. (2017). de Miguel, Victor ; Uppal, Raman ; Nogales, Francisco J ; Martin-Utrera, Alberto ; Demiguel, Victor. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12417.

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2018Making Parametric Portfolio Policies Work. (2018). Gehrig, Thomas ; Westerkamp, Arne ; Sogner, Leopold . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13193.

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2017Robust and sparse estimation of high-dimensional precision matrices via bivariate outlier detection. (2017). Nogales, Fco Javier ; Lafit, Ginette . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24534.

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2017Carry trade returns with Support Vector Machines. (2017). Colombo, Emilio ; Rossignoli, Roberto ; Forte, Gianfranco. In: DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo. RePEc:dis:wpaper:dis1705.

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2018Socially responsible investment portfolios: Does the optimization process matter?. (2018). Sutcliffe, Charles ; Platanakis, Emmanouil ; Oikonomou, Ioannis. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:4:p:379-401.

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2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

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2017Generalized estimating equations with stabilized working correlation structure. (2017). Paik, Myunghee Cho ; Choi, Young-Geun ; Park, Taesung ; Kwon, Yongchan ; Ziegler, Andreas. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:106:y:2017:i:c:p:1-11.

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2017High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood. (2017). , Philip ; Zhu, Yuanyuan ; Wang, Xiaohang . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:114:y:2017:i:c:p:12-25.

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2019Spectral clustering via sparse graph structure learning with application to proteomic signaling networks in cancer. (2019). Baladandayuthapani, Veerabhadran ; Akbani, Rehan ; Banerjee, Sayantan . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:132:y:2019:i:c:p:46-69.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Macroeconomic and financial effects of oil price shocks: Evidence for the euro area. (2017). MORANA, CLAUDIO. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:82-96.

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2018The importance of hedging currency risk: Evidence from CNY and CNH. (2018). Du, Jiangze ; Lai, Kin Keung ; Hsu, Yuan-Teng ; Wang, Jying-Nan. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:81-92.

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2019Screening rules and portfolio performance. (2019). Nieto, Belen ; Navarro, Lluis ; Leon, Angel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:642-662.

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2018Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets?. (2018). Fry, John. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:225-229.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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2019A multiple testing approach to the regularisation of large sample correlation matrices. (2019). Pesaran, M ; Bailey, Natalia ; Smith, Vanessa L. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:507-534.

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2019Alternative over-identifying restriction test in the GMM estimation of panel data models. (2019). Hayakawa, Kazuhiko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:71-95.

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2017Asset allocation with correlation: A composite trade-off. (2017). Conlon, Thomas ; cotter, john ; Salvador, Enrique ; Carroll, Rachael . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1164-1180.

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2018Naive versus optimal diversification: Tail risk and performance. (2018). Hwang, In Chang ; Xu, Simon ; In, Francis. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:1:p:372-388.

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2018Comparing large-sample maximum Sharpe ratios and incremental variable testing. (2018). Hanke, Michael ; Penev, Spiridon. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:571-579.

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2018Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence. (2018). Pätäri, Eero ; Yeomans, Julian S ; Luukka, Pasi ; Karell, Ville ; Patari, Eero. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:655-672.

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2018Estimation of the global minimum variance portfolio in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Schmid, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:371-390.

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2019Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767.

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2018“On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

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2018Bayesian tests of global factor models. (2018). Fletcher, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:279-289.

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2019Optimal granularity for portfolio choice. (2019). Weissensteiner, Alex ; Luivjanska, Katarina ; Branger, Nicole. In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:125-146.

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2018The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm. (2018). Cheng, Fangzheng ; Li, Shanling ; Fan, Dandan. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:341-355.

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2018The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts. (2018). Kath, Christopher ; Ziel, Florian. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:411-423.

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2018Credit and market risks measurement in carbon financing for Chinese banks. (2018). Zhang, XI ; Li, Jian. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:549-557.

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2018A comparison of static and dynamic portfolio policies. (2018). Taylor, Nick ; Wang, Jianshen. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:111-127.

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2019The role of bitcoin in well diversified portfolios: A comparative global study. (2019). Moro, Andrea ; Kajtazi, Anton. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:143-157.

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2019The global equity premium revisited: What human rights imply for assets purchasing power. (2019). Ronn, Ehud I ; Biakowski, Jdrzej. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:175-187.

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2017On the use of the Moore–Penrose generalized inverse in the portfolio optimization problem. (2017). Lee, Miyoung ; Kim, Daehwan. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:259-267.

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2018Some improved sparse and stable portfolio optimization problems. (2018). Dai, Zhifeng ; Wen, Fenghua. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:46-52.

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2017Equity premium prediction: The role of economic and statistical constraints. (2017). Tsiakas, Ilias ; Li, Jiahan. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:56-75.

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2018Investor implications of divesting from fossil fuels. (2018). Henriques, Irene ; Sadorsky, Perry. In: Global Finance Journal. RePEc:eee:glofin:v:38:y:2018:i:c:p:30-44.

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2017Mean-variance versus naïve diversification: The role of mispricing. (2017). Yan, Cheng ; Zhang, Huazhu . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:61-81.

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2017The Copula ADCC-GARCH model can help PIIGS to fly. (2017). del Mar, Maria ; Miralles-Quiros, Jose Luis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:1-12.

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2017Selecting exchange rate fundamentals by bootstrap. (2017). Ribeiro, Pinho. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:894-914.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2019Representation, estimation and forecasting of the multivariate index-augmented autoregressive model. (2019). Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:67-79.

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2019Testing out-of-sample portfolio performance. (2019). Pohlmeier, Winfried ; Kazak, Ekaterina. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:540-554.

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2019Predictive blends: Fundamental Indexing meets Markowitz. (2019). Alexeev, Vitali ; Tapon, Francis ; Pysarenko, Sergiy. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:28-42.

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2019Higher-order Omega: A performance index with a decision-theoretic foundation. (2019). Zhu, Wei ; Tzeng, Larry Y ; Huang, Rachel J ; Bi, Hongwei. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:43-57.

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2019The counterparty risk exposure of ETF investors. (2019). Perignon, Christophe ; Hurlin, Christophe ; Iseli, Gregoire ; Yeung, Stanley. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:215-230.

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2018The peer performance ratios of hedge funds. (2018). Ardia, David ; Boudt, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:351-368.

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2018Qualitative similarity and stock price comovement. (2018). Box, Travis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:49-69.

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2018Asset allocation strategies, data snooping, and the 1 / N rule. (2018). Hsu, Po-Hsuan ; Cao, Zhiguang ; Wu, Wensheng ; Han, Qiheng . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:257-269.

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2018Conditioning carry trades: Less risk, more return. (2018). Mulder, Arjen ; Tims, Ben . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:1-19.

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2018Higher-order asymptotic theory of shrinkage estimation for general statistical models. (2018). Shiraishi, Hiroshi ; Yamashita, Takashi ; Taniguchi, Masanobu. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:166:y:2018:i:c:p:198-211.

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2018Estimation of two high-dimensional covariance matrices and the spectrum of their ratio. (2018). Wen, Jun. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:168:y:2018:i:c:p:1-29.

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2019A class of optimal estimators for the covariance operator in reproducing kernel Hilbert spaces. (2019). Zhou, Yang ; Huang, Wei ; Chen, Di-Rong. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:166-178.

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2019Detection of block-exchangeable structure in large-scale correlation matrices. (2019). Perreault, Samuel ; Nelehova, Johanna G ; Duchesne, Thierry. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:400-422.

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2019Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage. (2019). Park, Junyong ; Roy, Anindya ; Lim, Johan ; Choi, Young-Geun . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:171:y:2019:i:c:p:234-249.

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2019Illiquidity in the Japan electric power exchange. (2019). Ikeda, Shin S. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:14:y:2019:i:c:p:16-39.

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2017Portfolio investment: Are commodities useful?. (2017). Garcia, Philip ; Yan, Lei. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:8:y:2017:i:c:p:43-55.

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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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1996 Robust Structure without Predictability: The Compass Rose Pattern of the Stock Market. In: Journal of Finance.
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article9
1998Crashes at Critical Points In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
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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paper17
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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paper96
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: 96
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: 96
paper
2000A well conditioned estimator for large dimensional covariance matrices In: DES - Working Papers. Statistics and Econometrics. WS.
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paper224
2004A well-conditioned estimator for large-dimensional covariance matrices.(2004) In: Journal of Multivariate Analysis.
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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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paper305
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: 305
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: 305
paper
2017Numerical implementation of the QuEST function In: Computational Statistics & Data Analysis.
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article1
2008Robust performance hypothesis testing with the Sharpe ratio In: Journal of Empirical Finance.
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article182
2008Robust Performance Hypothesis Testing with the Sharpe Ratio.(2008) In: IEW - Working Papers.
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paper
2015Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions In: Journal of Multivariate Analysis.
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article9
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: 9
paper
2019Large Dynamic Covariance Matrices In: Journal of Business & Economic Statistics.
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article2
2000Gain, Loss, and Asset Pricing In: Journal of Political Economy.
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article44
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
2000CRASHES AS CRITICAL POINTS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article25
2011The coexistence of commodity money and fiat money In: ECON - Working Papers.
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2011Choice Democracy In: ECON - Working Papers.
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2011The redistributive effects of monetary policy In: ECON - Working Papers.
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paper8
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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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
2017Numerical implementation of the QuEST function In: ECON - Working Papers.
[Full Text][Citation analysis]
paper2
2017Large dynamic covariance matrices In: ECON - Working Papers.
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paper11
2017Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies In: ECON - Working Papers.
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paper0
2018Analytical nonlinear shrinkage of large-dimensional covariance matrices In: ECON - Working Papers.
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paper0
2018Factor models for portfolio selection in large dimensions: the good, the better and the ugly In: ECON - Working Papers.
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2018Robust performance hypothesis testing with smooth functions of population moments In: ECON - Working Papers.
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paper0
2019The power of (non-)linear shrinking: a review and guide to covariance matrix estimation In: ECON - Working Papers.
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2019Shrinkage estimation of large covariance matrices: keep it simple, statistician? In: ECON - Working Papers.
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2019Risk reduction and efficiency increase in large portfolios: leverage and shrinkage In: ECON - Working Papers.
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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.
[Full Text][Citation analysis]
paper2
2010Robust performance hypothesis testing with the variance In: IEW - Working Papers.
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paper0

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