Michael Wolf : Citation Profile

Are you Michael Wolf?

Universität Zürich

23

H index

28

i10 index

3425

Citations

RESEARCH PRODUCTION:

25

Articles

64

Papers

1

Chapters

RESEARCH ACTIVITY:

   26 years (1997 - 2023). See details.
   Cites by year: 131
   Journals where Michael Wolf has often published
   Relations with other researchers
   Recent citing documents: 247.    Total self citations: 49 (1.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwo206
   Updated: 2024-01-16    RAS profile: 2023-03-10    
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Relations with other researchers

Works with:

Ledoit, Olivier (6)

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

Is cited by:

Hermes, Henning (55)

Heckman, James (53)

Meghir, Costas (40)

Chernozhukov, Victor (36)

Shaikh, Azeem (31)

List, John (31)

LINTON, OLIVER (29)

Doyle, Orla (28)

Pesaran, Mohammad (27)

Costa Dias, Monica (25)

Krekel, Christian (23)

Cites to:

Ledoit, Olivier (63)

Engle, Robert (26)

Andrews, Donald (17)

Pischke, Jorn-Steffen (12)

Uppal, Raman (12)

Angrist, Joshua (12)

Savelyev, Peter (10)

Flachaire, Emmanuel (10)

Pinto, Rodrigo (10)

French, Kenneth (10)

Heckman, James (10)

Main data

Where Michael Wolf has published?

Journals with more than one article published# docs
Journal of Econometrics3
Journal of Empirical Finance2
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research2
Statistics & Probability Letters2
Journal of Multivariate Analysis2
Econometrica2

Working Papers Series with more than one paper published# docs
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística10
Working Papers / Barcelona School of Economics2

Recent works citing Michael Wolf (2024 and 2023)

YearTitle of citing document
2023Health Effects of Increasing Income for the Elderly: Evidence from a Chilean Pension Program. (2023). Navarrete, Pablo ; Miglino, Enrico. In: American Economic Journal: Economic Policy. RePEc:aea:aejpol:v:15:y:2023:i:1:p:370-93.

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2023Turning worries into cognitive performance: Results from an online experiment during Covid. (2023). Raiber, Eva ; Saenz, Daniela Horta ; Demont, Timothee. In: AMSE Working Papers. RePEc:aim:wpaimx:2302.

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2023Institutional Stock-Bond Portfolios Rebalancing and Financial Stability. (2023). Hasse, Jean-Baptiste ; Siagh, Souhila ; Lecourt, Christelle. In: AMSE Working Papers. RePEc:aim:wpaimx:2322.

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2023Sensitivity to measurement errors of the distance to the efficient frontier. (2023). Vanhems, Anne ; Szafarz, Ariane ; Simar, Leopold ; Briere, Marie. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023017.

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2023Debunking Fake News on Social Media: Short-Term and Longer-Term Effects of Fact Checking and Media Literacy Interventions. (2023). Munster, Johannes ; Mindl, Felix ; Kerkhof, Anna ; Berger, Lara. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:262.

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2023THE IMPACT OF HIGH TEMPERATURES ON PERFORMANCE IN WORK-RELATED ACTIVITIES. (2023). Picchio, Matteo ; van Ours, Jan C. In: Working Papers. RePEc:anc:wpaper:484.

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2023Community Matters: Heterogeneous Impacts of a Sanitation Intervention. (2023). Lührmann, Melanie ; Rud, Juan Pablo ; Oteiza, Francisco ; Luhrmann, Melanie ; Augsburg, Britta ; Abramovsky, Laura. In: Working Papers. RePEc:aoz:wpaper:210.

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2023Confidence set for group membership. (2018). Okui, Ryo ; Dzemski, Andreas. In: Papers. RePEc:arx:papers:1801.00332.

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2023Normal Approximation in Large Network Models. (2019). Leung, Michael ; Moon, Hyungsik Roger. In: Papers. RePEc:arx:papers:1904.11060.

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2023Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning. (2020). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2005.08703.

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2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2023Large 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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2023Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809.

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2023DoubleML -- An Object-Oriented Implementation of Double Machine Learning in R. (2021). Spindler, Martin ; Kurz, Malte S ; Chernozhukov, Victor ; Bach, Philipp. In: Papers. RePEc:arx:papers:2103.09603.

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2023Valid Heteroskedasticity Robust Testing. (2021). Potscher, Benedikt M ; Preinerstorfer, David. In: Papers. RePEc:arx:papers:2104.12597.

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2023(When) should you adjust inferences for multiple hypothesis testing?. (2021). Wüthrich, Kaspar ; Niehaus, Paul ; Wuthrich, Kaspar ; Viviano, Davide. In: Papers. RePEc:arx:papers:2104.13367.

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2023On Recoding Ordered Treatments as Binary Indicators. (2021). Shem-Tov, Yotam ; Rose, Evan K. In: Papers. RePEc:arx:papers:2111.12258.

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2023Mean-Covariance Robust Risk Measurement. (2021). Filipovi, Damir ; Abadeh, Soroosh Shafieezadeh ; Nguyen, Viet Anh ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:2112.09959.

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2023Canonical Portfolios: Optimal Asset and Signal Combination. (2022). Tan, Vincent ; Zohren, Stefan ; Firoozye, Nick. In: Papers. RePEc:arx:papers:2202.10817.

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2023Semiparametric Estimation of Dynamic Binary Choice Panel Data Models. (2022). Ouyang, FU. In: Papers. RePEc:arx:papers:2202.12062.

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2023Measuring Diagnostic Test Performance Using Imperfect Reference Tests: A Partial Identification Approach. (2022). Obradovi, Filip. In: Papers. RePEc:arx:papers:2204.00180.

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2023Global combinations of expert forecasts. (2022). Vasnev, Andrey L ; Thompson, Ryan ; Qian, Yilin. In: Papers. RePEc:arx:papers:2207.07318.

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2023Robust Tests of Model Incompleteness in the Presence of Nuisance Parameters. (2022). Kaido, Hiroaki ; Chen, Shuowen. In: Papers. RePEc:arx:papers:2208.11281.

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2023Combining Forecasts under Structural Breaks Using Graphical LASSO. (2022). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2209.01697.

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2023Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623.

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2024Effective and scalable programs to facilitate labor market transitions for women in technology. (2022). Palikot, Emil ; Athey, Susan. In: Papers. RePEc:arx:papers:2211.09968.

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2023When it counts -- Econometric identification of the basic factor model based on GLT structures. (2023). Lopes, Hedibert Freitas ; Hosszejni, Darjus ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:2301.06354.

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2024A GRU-Based Dynamic Generative Factor Model for CVaR Portfolio Optimization. (2023). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318.

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2023Revisiting Panel Data Discrete Choice Models with Lagged Dependent Variables. (2023). Yang, Thomas Tao ; Ouyang, FU ; Dobronyi, Christopher R. In: Papers. RePEc:arx:papers:2301.09379.

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2023Risk Budgeting Portfolios from Simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Bernardo Freitas. In: Papers. RePEc:arx:papers:2302.01196.

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2023Sparse High-Dimensional Vector Autoregressive Bootstrap. (2023). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2302.01233.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2023Distributional Vector Autoregression: Eliciting Macro and Financial Dependence. (2023). Oka, Tatsushi ; Zhu, Dan ; Wang, Yunyun. In: Papers. RePEc:arx:papers:2303.04994.

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2023Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151.

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2023Ledoit-Wolf linear shrinkage with unknown mean. (2023). Miot, Alexandre ; Oriol, Benoit. In: Papers. RePEc:arx:papers:2304.07045.

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2023Generalized Automatic Least Squares: Efficiency Gains from Misspecified Heteroscedasticity Models. (2023). Gafarov, Bulat. In: Papers. RePEc:arx:papers:2304.07331.

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2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

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2023Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Portfolio Optimization Rules beyond the Mean-Variance Approach. (2023). Markov, Vladimir. In: Papers. RePEc:arx:papers:2305.08530.

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2023Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298.

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2023A Comparative Analysis of Portfolio Optimization Using Mean-Variance, Hierarchical Risk Parity, and Reinforcement Learning Approaches on the Indian Stock Market. (2023). Maji, Soubhik ; Sarkar, Manas Kumar ; Kumar, Kushagra ; Majee, Atish Kumar ; Pathak, Anshuman ; Jaiswal, Aditya ; Sen, Jaydip. In: Papers. RePEc:arx:papers:2305.17523.

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2023Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881.

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2023A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484.

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2023Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169.

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2023Random matrix theory and nested clustered portfolios on Mexican markets. (2023). Rodrigu, Benito ; Garc, Andr'Es. In: Papers. RePEc:arx:papers:2306.05667.

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2023Marginal Effects for Probit and Tobit with Endogeneity. (2023). Zeleneev, Andrei ; Kalnina, Ilze ; Evdokimov, Kirill S. In: Papers. RePEc:arx:papers:2306.14862.

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2023Hedging Forecast Combinations With an Application to the Random Forest. (2023). Wolf, Michael ; Kozbur, Damian ; Beck, Elliot. In: Papers. RePEc:arx:papers:2308.15384.

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2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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2023Diffusion Variational Autoencoder for Tackling Stochasticity in Multi-Step Regression Stock Price Prediction. (2023). Chua, Tat-Seng ; Ng, Ritchie ; Ma, Yunshan. In: Papers. RePEc:arx:papers:2309.00073.

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2024Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926.

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2023Unified Inference for Dynamic Quantile Predictive Regression. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2309.14160.

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2023Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS. (2023). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2309.17219.

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2023Topological Portfolio Selection and Optimization. (2023). Aste, Tomaso ; Briola, Antonio ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2310.14881.

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2023Testing for equivalence of pre-trends in Difference-in-Differences estimation. (2023). Schumann, Martin ; Dette, Holger. In: Papers. RePEc:arx:papers:2310.15796.

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2023Portfolio Construction using Black-Litterman Model and Factors. (2023). Zhao, Fanyu. In: Papers. RePEc:arx:papers:2311.04475.

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2023Optimal portfolio allocation with uncertain covariance matrix. (2023). Markov, Vladimir. In: Papers. RePEc:arx:papers:2311.07478.

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2023Generative Machine Learning for Multivariate Equity Returns. (2023). Gopal, Achintya ; Tepelyan, Ruslan. In: Papers. RePEc:arx:papers:2311.14735.

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2023Discrimination on the Child Care Market: A Nationwide Field Experiment. (2023). Wiederhold, Simon ; Peter, Frauke ; Mierisch, Fabian ; Lergetporer, Philipp ; Hermes, Henning. In: Working Papers. RePEc:bav:wpaper:225_hermesetal.

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2023Does bundling credit with index insurance boost agricultural technology adoption? Evidence from Ghana. (2023). Gallenstein, Richard A ; Mishra, Khushbu ; Mulangu, Francis ; Toledo, Patricia ; Miranda, Mario J ; Sam, Abdoul G. In: Agricultural Economics. RePEc:bla:agecon:v:54:y:2023:i:6:p:778-792.

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2023Optimal multiple testing and design in clinical trials. (2023). Rosset, Saharon ; Krieger, Abba ; Heller, Ruth. In: Biometrics. RePEc:bla:biomet:v:79:y:2023:i:3:p:1908-1919.

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2023Support for bigger government: The principle?implementation gap and COVID?19. (2023). Wade, Patrick ; Reents, Alex ; Zarghamee, Homa ; Ifcher, John ; Goff, Sandra H. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:41:y:2023:i:2:p:243-261.

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2023The physical and mental health returns of Head Start 25 years after participation: Evidence from income eligibility cutoffs. (2023). Lacey, Lindsey. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:4:p:870-890.

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2023Simultaneous inference for linear mixed model parameters with an application to small area estimation. (2023). Sperlich, Stefan ; Lombardia, Maria Jose ; Reluga, Katarzyna. In: International Statistical Review. RePEc:bla:istatr:v:91:y:2023:i:2:p:193-217.

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2023Integrating Factor Models. (2023). Voigt, Stefan ; Metzker, Lior ; Cheng, SI ; Avramov, Doron. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1593-1646.

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2023Model Comparison with Transaction Costs. (2023). Velikov, Mihail ; Novymarx, Robert ; Detzel, Andrew. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1743-1775.

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2023Discrimination on the Child Care Market: A Nationwide Field Experiment. (2023). Wiederhold, Simon ; Peter, Frauke ; Mierisch, Fabian ; Lergetporer, Philipp ; Hermes, Henning. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10368.

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2023Free to Fail? Paternalistic Preferences in the United States. (2023). Tungodden, Bertil ; Skivenes, Marit ; Hermes, Henning ; Cappelen, Alexander W ; Bartling, Bjorn. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10441.

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2023Using GPT-4 for Financial Advice. (2023). Streich, David J ; Hornuf, Lars ; Fieberg, Christian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10529.

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2023Debunking “Fake News” on Social Media: Short-Term and Longer-Term Effects of Fact Checking and Media Literacy Interventions. (2023). Munster, Johannes ; Mindl, Felix ; Kerkhof, Anna ; Berger, Lara Marie. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10576.

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2023Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. (2023). Kon, N'Golo ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-03.

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2023The Effect of Education Policy on Crime: An Intergenerational Perspective. (2023). Schnabel, Marieke ; Palme, Marten ; Meghir, Costas. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2356.

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2023Measuring insecurity-related experiences and preferences in a fragile State. A list experiment in Mali.. (2023). Mesple-Somps, Sandrine ; Mercier, Marion ; Lavallee, Emmanuelle ; Calvo, Thomas ; Bertelli, Olivia. In: Working Papers. RePEc:dia:wpaper:dt202301.

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2023Hierarchical learning, forecasting coherent spatio-temporal individual and aggregated building loads. (2023). Zeiler, Wim ; Moller, Jan Kloppenborg ; Madsen, Henrik ; Leprince, Julien. In: Applied Energy. RePEc:eee:appene:v:348:y:2023:i:c:s0306261923008747.

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2023Grandmothers and the gender gap in the Mexican labor market. (2023). Talamas Marcos, Miguel. In: Journal of Development Economics. RePEc:eee:deveco:v:162:y:2023:i:c:s0304387822001559.

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2023Labeled loans and human capital investments. (2023). Malde, Bansi ; Smets, Susanna ; Giunti, Sara ; Caeyers, Bet ; Augsburg, Britta. In: Journal of Development Economics. RePEc:eee:deveco:v:162:y:2023:i:c:s0304387823000081.

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2023Pumps, prosperity and household power: Experimental evidence on irrigation pumps and smallholder farmers in Kenya. (2023). Dyer, Julian ; Shapiro, Jeremy. In: Journal of Development Economics. RePEc:eee:deveco:v:163:y:2023:i:c:s0304387822001766.

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2023Motivating volunteer health workers in an African capital city. (2023). Vicente, Pedro ; Fracchia, Mattia ; Molina-Millan, Teresa. In: Journal of Development Economics. RePEc:eee:deveco:v:163:y:2023:i:c:s0304387823000512.

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2023Can technology improve the classroom experience in primary education? An African experiment on a worldwide program. (2023). Vicente, Pedro ; Molina-Millan, Teresa ; Cardim, Joana. In: Journal of Development Economics. RePEc:eee:deveco:v:164:y:2023:i:c:s0304387823001001.

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2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023The educational impacts of cash transfers in Tanzania. (2023). Kosec, Katrina ; Gale, Charles ; Evans, David K. In: Economics of Education Review. RePEc:eee:ecoedu:v:92:y:2023:i:c:s0272775722001054.

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2023Finish it and it is free: An evaluation of college graduation subsidies. (2023). Webb, Matthew ; Mikola, Derek. In: Economics of Education Review. RePEc:eee:ecoedu:v:93:y:2023:i:c:s027277572300002x.

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2023Heterogeneous effects of comprehensive vs. single-track academic schools: Evidence from admission lotteries. (2023). de Wolf, Inge ; Ruijs, Nienke ; Oosterbeek, Hessel. In: Economics of Education Review. RePEc:eee:ecoedu:v:93:y:2023:i:c:s0272775723000109.

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2023Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets. (2023). Yeomans, Julian Scott ; Luukka, Pasi ; Ahmed, Sheraz ; Patari, Eero. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000074.

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2023Asymmetric volatility impulse response functions. (2023). Herwartz, Helmut ; Hafner, Christian M. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004426.

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2023Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data. (2023). Xia, Yin ; Xu, Yan ; Yang, Dan ; Chen, Xin ; Shen, Haipeng ; Wang, Dong. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:544-564.

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2023A test for Kronecker Product Structure covariance matrix. (2023). Mavroeidis, Sophocles ; Kleibergen, Frank ; Guggenberger, Patrik. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:88-112.

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2023Isotonic regression discontinuity designs. (2023). Kumar, Rohit ; Babii, Andrii. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:371-393.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Binary response models for heterogeneous panel data with interactive fixed effects. (2023). GAO, Jiti ; Yan, Yayi ; Peng, Bin ; Liu, Fei. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1654-1679.

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2023Wald, QLR, and score tests when parameters are subject to linear inequality constraints. (2023). Shi, Xuetao ; Fan, Yanqin. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2005-2026.

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2023Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models. (2023). Medeiros, Marcelo ; Caner, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:393-417.

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2023Dynamic discrete choice models with incomplete data: Sharp identification. (2023). Sasaki, Yuya ; Hu, Yingyao ; Xin, YI ; Takahashi, Yuya. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001550.

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2023Instrument-free inference under confined regressor endogeneity and mild regularity. (2023). Kiviet, Jan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:1-22.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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Works by Michael Wolf:

YearTitleTypeCited
2010Hypothesis Testing in Econometrics In: Annual Review of Economics.
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2009Hypothesis testing in econometrics.(2009) In: IEW - Working Papers.
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2005Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing In: Journal of the American Statistical Association.
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2003Exact and approximate stepdown methods for multiple hypothesis testing.(2003) In: Economics Working Papers.
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2000Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem. In: Journal of Business & Economic Statistics.
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2003Stepwise Multiple Testing as Formalized Data Snooping In: Working Papers.
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2005Stepwise Multiple Testing as Formalized Data Snooping.(2005) In: Econometrica.
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2003Stepwise multiple testing as formalized data snooping.(2003) In: Economics Working Papers.
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2003Honey, I Shrunk the Sample Covariance Matrix In: Working Papers.
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2003Honey, I shrunk the sample covariance matrix.(2003) In: Economics Working Papers.
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2007Avoiding ‘data snooping’ in multilevel and mixed effects models In: Journal of the Royal Statistical Society Series A.
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2005Avoiding Data Snooping in Multilevel and Mixed Effects Models.(2005) In: IEW - Working Papers.
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2004Inference for Autocorrelations in the Possible Presence of a Unit Root In: Journal of Time Series Analysis.
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2011Consonance and the Closure Method in Multiple Testing In: The International Journal of Biostatistics.
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2009Consonance and the closure method in multiple testing.(2009) In: IEW - Working Papers.
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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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2003Flexible Multivariate GARCH Modeling with an Application to International Stock Markets.(2003) In: The Review of Economics and Statistics.
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2001Flexible multivariate GARCH modeling with an application to international stock markets.(2001) In: Economics Working Papers.
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2000A well conditioned estimator for large dimensional covariance matrices In: DES - Working Papers. Statistics and Econometrics. WS.
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2004A well-conditioned estimator for large-dimensional covariance matrices.(2004) In: Journal of Multivariate Analysis.
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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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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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2001Improved estimation of the covariance matrix of stock returns with an application to portofolio selection.(2001) In: Economics Working Papers.
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2000Subsampling inference in cube root asymptotics with an application to manskis maximum score estimator In: DES - Working Papers. Statistics and Econometrics. WS.
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2001Subsampling inference in cube root asymptotics with an application to Manskis maximum score estimator.(2001) In: Economics Letters.
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1998Subsampling confidence intervals for the autoregressive root In: DES - Working Papers. Statistics and Econometrics. WS.
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1998Finite sample nonparametric inference and large sample efficiency In: DES - Working Papers. Statistics and Econometrics. WS.
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1999On the asymptotic theory of subsampling In: DES - Working Papers. Statistics and Econometrics. WS.
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1999Subsampling, symmetrization, and robust interpolation In: DES - Working Papers. Statistics and Econometrics. WS.
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1999Subsampling intervals in autoregressive models with linear time trend In: DES - Working Papers. Statistics and Econometrics. WS.
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2001Subsampling Intervals in Autoregressive Models with Linear Time Trend..(2001) In: Econometrica.
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2001Improved nonparametric confidence intervals in time series regressions In: DES - Working Papers. Statistics and Econometrics. WS.
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2002Improved nonparametric confidence intervals in time series regressions.(2002) In: Economics Working Papers.
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2006Improved Nonparametric Confidence Intervals in Time Series Regressions.(2006) In: IEW - Working Papers.
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2001Explicit nonparametric confidence intervals for the variance with guaranteed coverage In: DES - Working Papers. Statistics and Econometrics. WS.
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2008FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES In: Econometric Theory.
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2005Formalized Data Snooping Based on Generalized Error Rates.(2005) In: IEW - Working Papers.
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2005Subsampling inference in threshold autoregressive models In: Journal of Econometrics.
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2001Subsampling inference in threshold autoregressive models.(2001) In: Economics Working Papers.
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2017Resurrecting weighted least squares In: Journal of Econometrics.
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2014Resurrecting weighted least squares.(2014) In: ECON - Working Papers.
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1997Subsampling for heteroskedastic time series In: Journal of Econometrics.
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2008Robust performance hypothesis testing with the Sharpe ratio In: Journal of Empirical Finance.
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2008Robust Performance Hypothesis Testing with the Sharpe Ratio.(2008) In: IEW - Working Papers.
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2015Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions In: Journal of Multivariate Analysis.
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2013Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions.(2013) In: ECON - Working Papers.
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2016Efficient computation of adjusted p-values for resampling-based stepdown multiple testing In: Statistics & Probability Letters.
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2016Efficient computation of adjusted p-values for resampling-based stepdown multiple testing.(2016) In: ECON - Working Papers.
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2000A more general central limit theorem for m-dependent random variables with unbounded m In: Statistics & Probability Letters.
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2009Optimal testing of multiple hypotheses with common effect direction In: Biometrika.
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2008Optimal testing of multiple hypotheses with common effect direction.(2008) In: IEW - Working Papers.
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2010multiple testing In: The New Palgrave Dictionary of Economics.
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2008Control of the false discovery rate under dependence using the bootstrap and subsampling In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2008Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling.(2008) In: IEW - Working Papers.
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2008Rejoinder on: Control of the false discovery rate under dependence using the bootstrap and subsampling In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2020The Romano–Wolf multiple-hypothesis correction in Stata In: Stata Journal.
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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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2002Subsampling the mean of heavy-tailed dependent observations In: Economics Working Papers.
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2014A Practical Two?Step Method for Testing Moment Inequalities In: Econometrica.
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2014A practical two-step method for testing moment inequalities.(2014) In: ECON - Working Papers.
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2013Testing for monotonicity in expected asset returns In: ECON - Working Papers.
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2013Bootstrap joint prediction regions In: ECON - Working Papers.
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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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2014Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks In: ECON - Working Papers.
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2014The (possible) effect of plain packaging on the smoking prevalence of minors in Australia: a trend analysis In: ECON - Working Papers.
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2014The (possible) effect of plain packaging on smoking prevalence in Australia: a trend analysis In: ECON - Working Papers.
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2017Numerical implementation of the QuEST function In: ECON - Working Papers.
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2017Large dynamic covariance matrices In: ECON - Working Papers.
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2017Improving weighted least squares inference In: ECON - Working Papers.
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2017Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies In: ECON - Working Papers.
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2017Balanced bootstrap joint confidence bands for structural impulse response functions In: ECON - Working Papers.
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2017Multiple testing of one-sided hypotheses: combining Bonferroni and the bootstrap In: ECON - Working Papers.
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2018Analytical nonlinear shrinkage of large-dimensional covariance matrices In: ECON - Working Papers.
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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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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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2020Quadratic shrinkage for large covariance matrices In: ECON - Working Papers.
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2021Large dynamic covariance matrices: enhancements based on intraday data In: ECON - Working Papers.
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2022Markowitz portfolios under transaction costs In: ECON - Working Papers.
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2023A novel estimator of earths curvature (allowing for inference as well) In: ECON - Working Papers.
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2006Resampling vs. Shrinkage for Benchmarked Managers In: IEW - Working Papers.
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2008Balanced Control of Generalized Error Rates In: IEW - Working Papers.
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2009Fund-of-funds construction by statistical multiple testing methods In: IEW - Working Papers.
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2011Nonlinear shrinkage estimation of large-dimensional covariance matrices In: IEW - Working Papers.
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2010Robust performance hypothesis testing with the variance In: IEW - Working Papers.
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