Michael Wolf : Citation Profile


Are you Michael Wolf?

Universität Zürich

20

H index

25

i10 index

2124

Citations

RESEARCH PRODUCTION:

25

Articles

60

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 92
   Journals where Michael Wolf has often published
   Relations with other researchers
   Recent citing documents: 242.    Total self citations: 44 (2.03 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwo206
   Updated: 2021-02-20    RAS profile: 2017-03-28    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Ledoit, Olivier (10)

Engle, Robert (2)

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

Is cited by:

Meghir, Costas (35)

Heckman, James (34)

Pesaran, M (26)

Doyle, Orla (25)

Chernozhukov, Victor (22)

Winker, Peter (20)

Santos, Andre (20)

List, John (20)

Staszewska-Bystrova, Anna (19)

Fan, Jianqing (17)

LINTON, OLIVER (17)

Cites to:

Ledoit, Olivier (50)

Andrews, Donald (17)

Engle, Robert (15)

Angrist, Joshua (12)

Pischke, Jorn-Steffen (12)

Flachaire, Emmanuel (10)

Shaikh, Azeem (9)

Savelyev, Peter (9)

Heckman, James (9)

Pinto, Rodrigo (9)

Stock, James (7)

Main data


Where Michael Wolf has published?


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

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 Graduate School of Economics2

Recent works citing Michael Wolf (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.

Full description at Econpapers || Download paper

2020Semiparametric Estimation of Dynamic Binary Choice Panel Data Models. (2020). Yang, Thomas Tao ; Ouyang, FU. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2020-671.

Full description at Econpapers || Download paper

2020Estimating the Production Function for Human Capital: Results from a Randomized Controlled Trial in Colombia. (2020). Cattan, Sarah ; Attanasio, Orazio ; Rubio-Codina, Marta ; Meghir, Costas ; Fitzsimons, Emla. In: American Economic Review. RePEc:aea:aecrev:v:110:y:2020:i:1:p:48-85.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Higher Order Risk Preferences: New Experimental Measures, Determinants and Field Behavior. (2020). Schneider, Sebastian ; Sutter, Matthias. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:026.

Full description at Econpapers || Download paper

2020Uniform Post Selection Inference for LAD Regression and Other Z-estimation problems. (2018). Chernozhukov, Victor ; Kato, Kengo ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1304.0282.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Bootstrap-Based Inference for Cube Root Asymptotics. (2019). Jansson, Michael ; Cattaneo, Matias ; Nagasawa, Kenichi. In: Papers. RePEc:arx:papers:1704.08066.

Full description at Econpapers || Download paper

2020Confidence set for group membership. (2018). Okui, Ryo ; Dzemski, Andreas. In: Papers. RePEc:arx:papers:1801.00332.

Full description at Econpapers || Download paper

2020Normal Approximation in Large Network Models. (2019). Leung, Michael ; Moon, Hyungsik Roger. In: Papers. RePEc:arx:papers:1904.11060.

Full description at Econpapers || Download paper

2020Detecting p-hacking. (2019). Wüthrich, Kaspar ; Wuthrich, Kaspar ; Kudrin, Nikolay ; Elliott, Graham . In: Papers. RePEc:arx:papers:1906.06711.

Full description at Econpapers || Download paper

2020A Simple Uniformly Valid Test for Inequalities. (2019). Shi, Xiaoxia ; Cox, Gregory. In: Papers. RePEc:arx:papers:1907.06317.

Full description at Econpapers || Download paper

2021Uncertainty in the Hot Hand Fallacy: Detecting Streaky Alternatives in Random Bernoulli Sequences. (2019). Romano, Joseph P ; Ritzwoller, David M. In: Papers. RePEc:arx:papers:1908.01406.

Full description at Econpapers || Download paper

2020Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve. (2019). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:1908.02552.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Theory of Weak Identification in Semiparametric Models. (2019). Kaji, Tetsuya. In: Papers. RePEc:arx:papers:1908.10478.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020The Impact of the Choice of Risk and Dispersion Measure on Procyclicality. (2020). Kratz, Marie ; Brautigam, Marcel. In: Papers. RePEc:arx:papers:2001.00529.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020QuantNet: Transferring Learning Across Systematic Trading Strategies. (2020). Treleaven, Philip ; Firoozye, Nick ; Blumberg, Stefano B ; Flennerhag, Sebastian ; Koshiyama, Adriano. In: Papers. RePEc:arx:papers:2004.03445.

Full description at Econpapers || Download paper

2020Microeconometrics with Partial Identification. (2020). Molinari, Francesca. In: Papers. RePEc:arx:papers:2004.11751.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?. (2020). Pötscher, Benedikt ; Preinerstorfer, David ; Potscher, Benedikt M. In: Papers. RePEc:arx:papers:2005.04089.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020False (and Missed) Discoveries in Financial Economics. (2020). Liu, Yan ; Harvey, Campbell R. In: Papers. RePEc:arx:papers:2006.04269.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Inference for Moment Inequalities: A Constrained Moment Selection Procedure. (2020). Walker, Christopher D ; Tabri, Rami V. In: Papers. RePEc:arx:papers:2008.09021.

Full description at Econpapers || Download paper

2020Cointegrating Polynomial Regressions with Power Law Trends: A New Angle on the Environmental Kuznets Curve. (2020). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:2009.02262.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

Full description at Econpapers || Download paper

2020Simple Misspecification Adaptive Inference for Interval Identified Parameters. (2020). Stoye, Jörg. In: Papers. RePEc:arx:papers:2010.10484.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Maternal cash for better child health? The impacts of India’s IGMSY/PMMVY maternity benefit scheme. (2020). Klonner, Stefan ; von Haaren, Paula. In: Working Papers. RePEc:awi:wpaper:0689.

Full description at Econpapers || Download paper

2020Inference for Ranks with Applications to Mobility across Neighborhoods and Academic Achievement across Countries. (2020). Wilhelm, Daniel ; Shaikh, Azeem ; Mogstad, Magne ; Romano, Joseph P. In: Working Papers. RePEc:bfi:wpaper:2020-16.

Full description at Econpapers || Download paper

2020Inference with Imperfect Randomization: The Case of the Perry Preschool Program. (2020). Pinto, Rodrigo ; Heckman, James. In: Working Papers. RePEc:bfi:wpaper:2020-97.

Full description at Econpapers || Download paper

2020Optimal Policy Perturbations. (2020). Mesters, Geert ; Barnichon, Regis. In: Working Papers. RePEc:bge:wpaper:1171.

Full description at Econpapers || Download paper

2021When Transparency Fails: Financial Incentives for Local Banking Agents in Indonesia. (2021). Witoelar, Firman ; Leon-Ciliotta, Gianmarco ; Deserranno, Erika. In: Working Papers. RePEc:bge:wpaper:1233.

Full description at Econpapers || Download paper

2020Knowledge of vitamin A deficiency and crop adoption: Evidence from a field experiment in Mozambique. (2020). Vicente, Pedro ; Caeiro, Rute M. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:2:p:175-190.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020False (and Missed) Discoveries in Financial Economics. (2020). Harvey, Campbell R ; Liu, Yan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2503-2553.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Minimum Wages and Health: A Reassessment. (2020). Nadler, Carl ; Allegretto, Sylvia. In: Institute for Research on Labor and Employment, Working Paper Series. RePEc:cdl:indrel:qt98f1p6h7.

Full description at Econpapers || Download paper

2020Linguistic Metrics for Patent Disclosure: Evidence from University versus Corporate Patents. (2020). Dulleck, Uwe ; Jaffe, Adam ; Kong, Nancy ; Vajjala, Sowmya ; Sun, Shupeng. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8571.

Full description at Econpapers || Download paper

2020Own Motivation, Peer Motivation, and Educational Success. (2020). Bietenbeck, Jan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8696.

Full description at Econpapers || Download paper

2020CSI in the tropics Experimental evidence of improved public service delivery through coordination. (2020). Fergusson, Leopoldo ; Ortega, Daniel ; Mejia, Daniel ; la Rota, Miguel ; Collazos, Daniela. In: Documentos CEDE. RePEc:col:000089:018206.

Full description at Econpapers || Download paper

2020CSI in the tropics: Experimental evidence of improved public service delivery through coordination. (2020). Fergusson, Leopoldo ; Ortega, Daniel ; Mejia, Daniel ; la Rota, Miguel ; Collazos, Daniela. In: Documentos de Trabajo LACEA. RePEc:col:000518:018215.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Inference for Ranks with Applications to Mobility across Neighborhoods and Academic Achievement across Countries. (2020). Wilhelm, Daniel ; Shaikh, Azeem ; Mogstad, Magne ; Romano, Joseph P. In: CReAM Discussion Paper Series. RePEc:crm:wpaper:2008.

Full description at Econpapers || Download paper

2020Changes in Assortative Matching and Inequality in Income: Evidence for the UK. (2020). Meghir, Costas ; Crossman, Sam ; Dias, Monica Costa ; Chiappori, Pierre-Andre. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2225.

Full description at Econpapers || Download paper

2020Changes in Assortative Matching: Theory and Evidence for the US. (2020). Meghir, Costas ; Dias, Monica Costa ; Chiappori, Pierre-Andre. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2226.

Full description at Econpapers || Download paper

2020Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US. (2020). Phillips, Peter ; Henry, Todd . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2259.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. (2002). Kilian, Lutz ; Goncalves, Silvia. In: Working Paper Series. RePEc:ecb:ecbwps:20020196.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Losing the future: Household wealth from urban housing demolition and childrens human capital in China. (2020). Xiao, Jingjian ; Li, Feng. In: China Economic Review. RePEc:eee:chieco:v:63:y:2020:i:c:s1043951x20301309.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Relief from usury: Impact of a self-help group lending program in rural India. (2021). Datta, Upamanyu ; Surendra, Vaishnavi ; Rao, Vijayendra ; Hoffmann, Vivian. In: Journal of Development Economics. RePEc:eee:deveco:v:148:y:2021:i:c:s0304387820301425.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Does ICT maturity catalyse economic development? Evidence from a panel data estimation approach in OECD countries. (2020). Rafiq, Shuddhasattwa ; Ali, Mohammad Afshar ; Taylor, Brad ; Alam, Khorshed. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:163-174.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Threshold effect of economic openness on bank risk-taking: Evidence from emerging markets. (2020). Mai, Hoai Thi ; Bui, Tung Duy. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:790-803.

Full description at Econpapers || Download paper

2020Financial education for female foreign domestic workers in Singapore. (2020). Shastry, Gauri Kartini ; Barua, Rashmi ; Yang, Dean. In: Economics of Education Review. RePEc:eee:ecoedu:v:78:y:2020:i:c:s0272775718304254.

Full description at Econpapers || Download paper

2020Flying More Efficiently: Joint Impacts of Fuel Prices, Capital Costs and Fleet Size on Airline Fleet Fuel Economy. (2020). Stern, David ; Csereklyei, Zsuzsanna. In: Ecological Economics. RePEc:eee:ecolec:v:175:y:2020:i:c:s0921800919308493.

Full description at Econpapers || Download paper

2020Does politicizing ‘gender’ influence the possibility of conducting academic research? Evidence from a randomized controlled trial. (2020). Kiss, Hubert Janos ; Horn, Daniel ; Lenard, Tunde. In: Economics Letters. RePEc:eee:ecolet:v:189:y:2020:i:c:s0165176520300458.

Full description at Econpapers || Download paper

2020Intrahousehold flypaper effects — Quasi-experimental evidence from a randomized school-feeding program in rural northwestern China. (2020). Zhao, Qiran ; Chen, Qihui ; Pei, Chunchen. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176520301087.

Full description at Econpapers || Download paper

2020School attendance during a pandemic. (2020). Goulas, Sofoklis ; Megalokonomou, Rigissa. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520301853.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020The uniform validity of impulse response inference in autoregressions. (2020). Kilian, Lutz ; Inoue, Atsushi. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:450-472.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020A geometric approach to inference in set-identified entry games. (2020). Kumar, Rohit ; Bontemps, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:373-389.

Full description at Econpapers || Download paper

2020Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects. (2020). Luger, Richard ; Gungor, Sermin. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:750-770.

Full description at Econpapers || Download paper

2020Specification test on mixed logit models. (2020). Hausman, Jerry ; Hahn, Jinyong ; Lustig, Josh. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:19-37.

Full description at Econpapers || Download paper

2020Constructing joint confidence bands for impulse response functions of VAR models – A review. (2020). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:69-83.

Full description at Econpapers || Download paper

2020Whistleblower protection: Theory and experimental evidence. (2020). Roider, Andreas ; Mechtenberg, Lydia ; Muehlheusser, Gerd. In: European Economic Review. RePEc:eee:eecrev:v:126:y:2020:i:c:s0014292120300799.

Full description at Econpapers || Download paper

2020Facilitating healthy dietary habits: An experiment with a low income population. (2020). Belot, Michele ; Spiteri, Jonathan ; James, Jonathan. In: European Economic Review. RePEc:eee:eecrev:v:129:y:2020:i:c:s0014292120301793.

Full description at Econpapers || Download paper

2020Growing in the womb: The effect of seismic activity on fetal growth. (2020). Romero, José ; Chirkova, Serafima ; Alvarez-Aranda, Rocio. In: Economics & Human Biology. RePEc:eee:ehbiol:v:36:y:2020:i:c:s1570677x19300619.

Full description at Econpapers || Download paper

2020The effect of retirement on biomedical and behavioral risk factors for cardiovascular and metabolic disease. (2020). Eibich, Peter ; Peters, Annette ; Maier, Werner ; Pedron, Sara ; Schwettmann, Lars ; Rathmann, Wolfgang ; Meisinger, Christine ; Linkohr, Birgit . In: Economics & Human Biology. RePEc:eee:ehbiol:v:38:y:2020:i:c:s1570677x19302837.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Works by Michael Wolf:


YearTitleTypeCited
2010Hypothesis Testing in Econometrics In: Annual Review of Economics.
[Full Text][Citation analysis]
article49
2009Hypothesis testing in econometrics.(2009) In: IEW - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
2005Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article137
2003Exact and approximate stepdown methods for multiple hypothesis testing.(2003) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 137
paper
2000Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem. In: Journal of Business & Economic Statistics.
[Citation analysis]
article29
2003Stepwise Multiple Testing as Formalized Data Snooping In: Working Papers.
[Full Text][Citation analysis]
paper290
2005Stepwise Multiple Testing as Formalized Data Snooping.(2005) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 290
article
2003Stepwise multiple testing as formalized data snooping.(2003) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 290
paper
2003Honey, I Shrunk the Sample Covariance Matrix In: Working Papers.
[Full Text][Citation analysis]
paper9
2003Honey, I shrunk the sample covariance matrix.(2003) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2007Avoiding ‘data snooping’ in multilevel and mixed effects models In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]
article4
2005Avoiding Data Snooping in Multilevel and Mixed Effects Models.(2005) In: IEW - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2004Inference for Autocorrelations in the Possible Presence of a Unit Root In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article5
2011Consonance and the Closure Method in Multiple Testing In: The International Journal of Biostatistics.
[Full Text][Citation analysis]
article5
2009Consonance and the closure method in multiple testing.(2009) In: IEW - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
1999Flexible Multivariate GARCH Modeling With an Application to International Stock Markets In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper107
2003Flexible Multivariate GARCH Modeling with an Application to International Stock Markets.(2003) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
paper293
2004A well-conditioned estimator for large-dimensional covariance matrices.(2004) In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 293
article
2000Improved estimation of the covariance matrix of stock returns with an application to portfolio selection In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper371
2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection.(2003) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 371
article
2001Improved estimation of the covariance matrix of stock returns with an application to portofolio selection.(2001) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 371
paper
2000Subsampling inference in cube root asymptotics with an application to manskis maximum score estimator In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper40
2001Subsampling inference in cube root asymptotics with an application to Manskis maximum score estimator.(2001) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40
article
1998Subsampling confidence intervals for the autoregressive root In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper3
1998Finite sample nonparametric inference and large sample efficiency In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper0
1999On the asymptotic theory of subsampling In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper17
1999Subsampling, symmetrization, and robust interpolation In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper1
1999Subsampling intervals in autoregressive models with linear time trend In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper40
2001Subsampling Intervals in Autoregressive Models with Linear Time Trend..(2001) In: Econometrica.
[Citation analysis]
This paper has another version. Agregated cites: 40
article
2001Improved nonparametric confidence intervals in time series regressions In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper5
2002Improved nonparametric confidence intervals in time series regressions.(2002) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2006Improved Nonparametric Confidence Intervals in Time Series Regressions.(2006) In: IEW - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2001Explicit nonparametric confidence intervals for the variance with guaranteed coverage In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]
paper1
2008FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES In: Econometric Theory.
[Full Text][Citation analysis]
article50
2005Formalized Data Snooping Based on Generalized Error Rates.(2005) In: IEW - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50
paper
2005Subsampling inference in threshold autoregressive models In: Journal of Econometrics.
[Full Text][Citation analysis]
article47
2001Subsampling inference in threshold autoregressive models.(2001) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
paper
2017Resurrecting weighted least squares In: Journal of Econometrics.
[Full Text][Citation analysis]
article18
2014Resurrecting weighted least squares.(2014) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
1997Subsampling for heteroskedastic time series In: Journal of Econometrics.
[Full Text][Citation analysis]
article48
2008Robust performance hypothesis testing with the Sharpe ratio In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article231
2008Robust Performance Hypothesis Testing with the Sharpe Ratio.(2008) In: IEW - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 231
paper
2015Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article25
2013Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions.(2013) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2016Efficient computation of adjusted p-values for resampling-based stepdown multiple testing In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article52
2016Efficient computation of adjusted p-values for resampling-based stepdown multiple testing.(2016) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
2000A more general central limit theorem for m-dependent random variables with unbounded m In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article17
2009Optimal testing of multiple hypotheses with common effect direction In: Biometrika.
[Full Text][Citation analysis]
article4
2008Optimal testing of multiple hypotheses with common effect direction.(2008) In: IEW - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2010multiple testing In: The New Palgrave Dictionary of Economics.
[Full Text][Citation analysis]
chapter4
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.
[Full Text][Citation analysis]
article28
2008Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling.(2008) In: IEW - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
paper
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.
[Full Text][Citation analysis]
article23
2020The Romano–Wolf multiple-hypothesis correction in Stata In: Stata Journal.
[Full Text][Citation analysis]
article13
2001Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size In: Economics Working Papers.
[Full Text][Citation analysis]
paper3
2002Subsampling the mean of heavy-tailed dependent observations In: Economics Working Papers.
[Full Text][Citation analysis]
paper0
2014A Practical Two‐Step Method for Testing Moment Inequalities In: Econometrica.
[Full Text][Citation analysis]
article53
2014A practical two-step method for testing moment inequalities.(2014) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53
paper
2013Testing for monotonicity in expected asset returns In: ECON - Working Papers.
[Full Text][Citation analysis]
paper2
2013Bootstrap joint prediction regions In: ECON - Working Papers.
[Full Text][Citation analysis]
paper33
2013A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction In: ECON - Working Papers.
[Full Text][Citation analysis]
paper0
2014Optimal estimation of a large-dimensional covariance matrix under Stein’s loss In: ECON - Working Papers.
[Full Text][Citation analysis]
paper1
2014Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks In: ECON - Working Papers.
[Full Text][Citation analysis]
paper2
2014The (possible) effect of plain packaging on the smoking prevalence of minors in Australia: a trend analysis In: ECON - Working Papers.
[Full Text][Citation analysis]
paper1
2014The (possible) effect of plain packaging on smoking prevalence in Australia: a trend analysis In: ECON - Working Papers.
[Full Text][Citation analysis]
paper1
2017Numerical implementation of the QuEST function In: ECON - Working Papers.
[Full Text][Citation analysis]
paper4
2017Large dynamic covariance matrices In: ECON - Working Papers.
[Full Text][Citation analysis]
paper39
2017Improving weighted least squares inference In: ECON - Working Papers.
[Full Text][Citation analysis]
paper0
2017Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies In: ECON - Working Papers.
[Full Text][Citation analysis]
paper0
2017Balanced bootstrap joint confidence bands for structural impulse response functions In: ECON - Working Papers.
[Full Text][Citation analysis]
paper12
2017Multiple testing of one-sided hypotheses: combining Bonferroni and the bootstrap In: ECON - Working Papers.
[Full Text][Citation analysis]
paper0
2018Analytical nonlinear shrinkage of large-dimensional covariance matrices In: ECON - Working Papers.
[Full Text][Citation analysis]
paper1
2018Factor models for portfolio selection in large dimensions: the good, the better and the ugly In: ECON - Working Papers.
[Full Text][Citation analysis]
paper0
2018Robust performance hypothesis testing with smooth functions of population moments In: ECON - Working Papers.
[Full Text][Citation analysis]
paper0
2020The power of (non-)linear shrinking: a review and guide to covariance matrix estimation In: ECON - Working Papers.
[Full Text][Citation analysis]
paper0
2020Shrinkage estimation of large covariance matrices: keep it simple, statistician? In: ECON - Working Papers.
[Full Text][Citation analysis]
paper0
2020Quadratic shrinkage for large covariance matrices In: ECON - Working Papers.
[Full Text][Citation analysis]
paper0
2020Large dynamic covariance matrices: enhancements based on intraday data In: ECON - Working Papers.
[Full Text][Citation analysis]
paper0
Control of Generalized Error Rates in Multiple Testing In: IEW - Working Papers.
[Full Text][Citation analysis]
paper0
2006Resampling vs. Shrinkage for Benchmarked Managers In: IEW - Working Papers.
[Full Text][Citation analysis]
paper2
2008Balanced Control of Generalized Error Rates In: IEW - Working Papers.
[Full Text][Citation analysis]
paper0
2009Fund-of-funds construction by statistical multiple testing methods In: IEW - Working Papers.
[Full Text][Citation analysis]
paper2
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.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team