Michael Wolf : Citation Profile


Are you Michael Wolf?

Universität Zürich

17

H index

23

i10 index

1640

Citations

RESEARCH PRODUCTION:

24

Articles

58

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (1997 - 2019). See details.
   Cites by year: 74
   Journals where Michael Wolf has often published
   Relations with other researchers
   Recent citing documents: 385.    Total self citations: 42 (2.5 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwo206
   Updated: 2019-10-06    RAS profile: 2017-03-28    
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Relations with other researchers


Works with:

Ledoit, Olivier (13)

Shaikh, Azeem (2)

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

Is cited by:

Heckman, James (32)

Meghir, Costas (28)

Doyle, Orla (24)

Pesaran, M (24)

Santos, Andre (20)

Chernozhukov, Victor (20)

Winker, Peter (18)

Staszewska-Bystrova, Anna (17)

LINTON, OLIVER (17)

McAleer, Michael (16)

Kondor, Imre (16)

Cites to:

Ledoit, Olivier (43)

Andrews, Donald (17)

Pischke, Jorn-Steffen (12)

Angrist, Joshua (12)

Heckman, James (9)

Savelyev, Peter (9)

Pinto, Rodrigo (9)

Shaikh, Azeem (9)

Engle, Robert (8)

Flachaire, Emmanuel (8)

Stock, James (7)

Main data


Where Michael Wolf has published?


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

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 (2019 and 2018)


YearTitle of citing document
2017Picking Funds with Confidence. (2017). Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S ; Wermers, Russ. In: CREATES Research Papers. RePEc:aah:create:2017-13.

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2017Bootstrap-Based Inference for Cube Root Consistent Estimators. (2017). Jansson, Michael ; Cattaneo, Matias ; Nagasawa, Kenichi. In: CREATES Research Papers. RePEc:aah:create:2017-18.

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2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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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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2017Vocational Training for Disadvantaged Youth in Colombia: A Long-Term Follow-Up. (2017). Medina, Carlos ; Meghir, Costas ; Guarin, Arlen ; Attanasio, Orazio. In: American Economic Journal: Applied Economics. RePEc:aea:aejapp:v:9:y:2017:i:2:p:131-43.

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2018Factor affecting the palm oil boom in Indonesia: a time series analysis. (2018). Bentivoglio, D ; Finco, A ; Bucci, G. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277129.

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2018Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Grabowski, Daniel. In: Lodz Economics Working Papers. RePEc:ann:wpaper:1/2018.

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2018Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Lodz Economics Working Papers. RePEc:ann:wpaper:4/2018.

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2018Uniform 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.

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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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2018The Sorted Effects Method: Discovering Heterogeneous Effects Beyond Their Averages. (2018). Fernandez-Val, Ivan ; Chernozhukov, Victor ; Luo, YE. In: Papers. RePEc:arx:papers:1512.05635.

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2019Confidence Intervals for Projections of Partially Identified Parameters. (2017). Stoye, Jörg ; Molinari, Francesca ; Kaido, Hiroaki. In: Papers. RePEc:arx:papers:1601.00934.

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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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2017Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk. (2017). Chernozhukov, Victor ; Chen, Mingli ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1607.00286.

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2018Best Subset Binary Prediction. (2018). Lee, Sokbae (Simon) ; Chen, Le-Yu. In: Papers. RePEc:arx:papers:1610.02738.

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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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2019Bootstrap-Based Inference for Cube Root Consistent Estimators. (2017). Jansson, Michael ; Cattaneo, Matias ; Nagasawa, Kenichi. In: Papers. RePEc:arx:papers:1704.08066.

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2017High-Frequency Jump Analysis of the Bitcoin Market. (2017). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien . In: Papers. RePEc:arx:papers:1704.08175.

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2019Machine Learning Tests for Effects on Multiple Outcomes. (2017). Ludwig, Jens ; Spiess, Jann ; Mullainathan, Sendhil. In: Papers. RePEc:arx:papers:1707.01473.

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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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2018Inference for Impulse Responses under Model Uncertainty. (2018). Smeekes, Stephan ; Lieb, Lenard. In: Papers. RePEc:arx:papers:1709.09583.

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2019A Random Attention Model. (2018). Cattaneo, Matias ; Suleymanov, Elchin ; Masatlioglu, Yusufcan. In: Papers. RePEc:arx:papers:1712.03448.

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

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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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2019Simultaneous Mean-Variance Regression. (2019). Stouli, Sami ; Spady, Richard. In: Papers. RePEc:arx:papers:1804.01631.

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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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2018Moment Inequalities in the Context of Simulated and Predicted Variables. (2018). Kaido, Hiroaki ; Rysman, Marc ; Li, Jiaxuan. In: Papers. RePEc:arx:papers:1804.03674.

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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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2018High-Dimensional Econometrics and Regularized GMM. (2018). Chernozhukov, Victor ; Kato, Kengo ; Hansen, Christian ; Chetverikov, Denis ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1806.01888.

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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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2018Bootstrap Methods in Econometrics. (2018). Horowitz, Joel L. In: Papers. RePEc:arx:papers:1809.04016.

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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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2019Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indices. (2018). Sermpinis, Georgios ; Psaradellis, Ioannis ; Stasinakis, Charalampos ; Hassanniakalager, Arman . In: Papers. RePEc:arx:papers:1811.06766.

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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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2019Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination. (2019). Koshiyama, Adriano ; Treleaven, Philip ; Firoozye, Nick. In: Papers. RePEc:arx:papers:1901.01751.

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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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2019Have Econometric Analyses of Happiness Data Been Futile? A Simple Truth About Happiness Scales. (2019). Powdthavee, Nattavudh ; Srisuma, Sorawoot ; Oparina, Ekaterina ; Chen, Le-Yu. In: Papers. RePEc:arx:papers:1902.07696.

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2019Estimation of Cross-Sectional Dependence in Large Panels. (2019). Zhang, BO ; Yang, Yanrong ; Pan, Guangming ; Gao, Jiti. In: Papers. RePEc:arx:papers:1904.06843.

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

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

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

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2019Uncertainty 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.

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2019Efficient 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.

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

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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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2017Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects. (2017). Gungor, Sermin ; Luger, Richard . In: Staff Working Papers. RePEc:bca:bocawp:17-10.

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2019TEENAGE RISKY BEHAVIOR AND PARENTAL SUPERVISION: THE UNINTENDED CONSEQUENCES OF MULTIPLE SHIFTS SCHOOL SYSTEMS. (2019). Rossi, Martín ; Reynoso, Ana. In: Economic Inquiry. RePEc:bla:ecinqu:v:57:y:2019:i:2:p:774-791.

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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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2017Simultaneous inference for multilevel linear mixed models—with an application to a large-scale school meal study. (2017). Ritz, Christian ; Damsgaard, Camilla Trab ; Laursen, Rikke Pilmann. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:2:p:295-311.

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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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2017Quantile Regression on Quantile Ranges – A Threshold Approach. (2017). Kuan, Chung-Ming ; Xiao, Zhijie ; Michalopoulos, Christos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:99-119.

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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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2017Simple Tests for Selection: Learning More from Instrumental Variables. (2017). Smith, Jeffrey ; Black, Dan ; Taylor, Evan J ; Lalonde, Robert ; Joo, Joonhwi . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6392.

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2018Hidden Persuaders: Do Small Gifts Lubricate Business Negotiations?. (2018). Thöni, Christian ; Maréchal, Michel ; Thoni, Christian ; Marechal, Michel Andre. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7070.

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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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2018Early Stimulation and Nutrition: The Impacts of a Scalable Intervention. (2018). Meghir, Costas ; Rubio-Codina, Marta ; Pineda, Diana ; Bernal, Raquel ; Baker-Henningham, Helen ; Attanasio, Orazio. In: DOCUMENTOS CEDE. RePEc:col:000089:016618.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896.

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2017Facts, Alternative Facts, and Fact Checking in Times of Post-Truth Politics. (2017). Zhuravskaya, Ekaterina ; Henry, Emeric ; Guriev, Sergei ; Barrera, Oscar . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12220.

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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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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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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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2017Estimating the Production Function for Human Capital: Results from a Randomized Control Trial in Colombia. (2017). Meghir, Costas ; Rubio-Codina, Marta ; Fitzsimons, Emla ; Cattan, Sarah ; Attanasio, Orazio. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1987r.

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2018Estimating the Production Function for Human Capital: Results from a Randomized Control Trial in Colombia. (2018). Meghir, Costas ; Rubio-Codina, Marta ; Fitzsimons, Emla ; Cattan, Sarah ; Attanasio, Orazio. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1987r2.

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2018Estimating the Production Function for Human Capital: Results from a Randomized Control Trial in Colombia. (2018). Rubio-Codina, Marta ; Meghir, Costas ; Fitzsimons, Emla ; Cattan, Sarah ; Attanasio, Orazio. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1987r3.

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2018Early Stimulation and Nutrition: The Impacts of a Scalable Intervention. (2018). Meghir, Costas ; Rubio-Codina, Marta ; Pineda, Diana ; Bernal, Raquel ; Baker-Henningham, Helen ; Attanasio, Orazio P. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2145.

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2019Education Quality and Teaching Practices. (2019). Meghir, Costas ; Reynoso, Ana ; Bassi, Marina. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2181.

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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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2019Self-Control: Determinants, Life Outcomes and Intergenerational Implications. (2019). Schildberg-Horisch, Hannah ; Kamhofer, Daniel A ; Dahmann, Sarah C ; Cobb-Clark, Deborah A. In: SOEPpapers on Multidisciplinary Panel Data Research. RePEc:diw:diwsop:diw_sp1047.

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2018Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1762.

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2017Semiparametric Estimation of the Random Utility Model with Rank-Ordered Choice Data. (2017). Yoo, Hong Il ; Yan, Jin. In: Working Papers. RePEc:dur:durham:2017_02.

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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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2017Numerical implementation of the QuEST function. (2017). Ledoit, Olivier ; Wolf, Michael. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:115:y:2017:i:c:p:199-223.

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2019Simultaneous statistical inference in dynamic factor models: Chi-square approximation and model-based bootstrap. (2019). Dickhaus, Thorsten ; Sirotko-Sibirskaya, Natalia . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:129:y:2019:i:c:p:30-46.

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2019Partially observed functional data: The case of systematically missing parts. (2019). Liebl, Dominik ; Rameseder, Stefan. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:104-115.

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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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2018Does improved storage technology promote modern input use and food security? Evidence from a randomized trial in Uganda. (2018). Omotilewa, Oluwatoba J ; Shively, Gerald E ; Ainembabazi, John Herbert ; Ricker-Gilbert, Jacob. In: Journal of Development Economics. RePEc:eee:deveco:v:135:y:2018:i:c:p:176-198.

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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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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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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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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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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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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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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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