Olivier Ledoit : Citation Profile

Are you Olivier Ledoit?

Universität Zürich

12

H index

13

i10 index

1999

Citations

RESEARCH PRODUCTION:

10

Articles

37

Papers

RESEARCH ACTIVITY:

   27 years (1996 - 2023). See details.
   Cites by year: 74
   Journals where Olivier Ledoit has often published
   Relations with other researchers
   Recent citing documents: 127.    Total self citations: 24 (1.19 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple718
   Updated: 2024-01-16    RAS profile: 2023-03-10    
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Relations with other researchers

Works with:

Wolf, Michael (6)

Engle, Robert (2)

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

Is cited by:

Pesaran, Mohammad (25)

Santos, Andre (22)

Bollerslev, Tim (21)

Zhou, Wei-Xing (20)

LINTON, OLIVER (20)

Caporin, Massimiliano (17)

Fan, Jianqing (17)

Kondor, Imre (16)

Bailey, Natalia (14)

Andersen, Torben (13)

Diebold, Francis (13)

Cites to:

Wolf, Michael (59)

Engle, Robert (26)

Uppal, Raman (11)

Jagannathan, Ravi (9)

Titman, Sheridan (9)

Korajczyk, Robert (6)

Andrews, Donald (6)

Bollerslev, Tim (6)

Connor, Gregory (6)

French, Kenneth (6)

Memmel, Christoph (6)

Main data

Where Olivier Ledoit has published?

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

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

Recent works citing Olivier Ledoit (2024 and 2023)

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

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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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2023Optimal Bubble Riding: A Mean Field Game with Varying Entry Times. (2022). Wang, Shichun ; Tangpi, Ludovic. In: Papers. RePEc:arx:papers:2209.04001.

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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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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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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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2023A parsimonious inverse Cox-Ingersoll-Ross process for financial price modeling. (2023). Sornette, Didier ; Lin, LI. In: Papers. RePEc:arx:papers:2302.11423.

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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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2023Why Topological Data Analysis Detects Financial Bubbles?. (2023). Nateghi, Vahid ; Manzi, Matteo ; Gidea, Marian ; Akingbade, Samuel W. In: Papers. RePEc:arx:papers:2304.06877.

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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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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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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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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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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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2023A General Framework for Portfolio Construction Based on Generative Models of Asset Returns. (2023). Chen, Kan ; Cheng, Tuoyuan. In: Papers. RePEc:arx:papers:2312.03294.

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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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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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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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2023Investor sentiment and multi-scale positive and negative stock market bubbles in a panel of G7 countries. (2023). Bouri, Elie ; Nielsen, Joshua ; Gupta, Rangan ; van Eyden, Renee. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000187.

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2023Monetary policy and bubbles in G7 economies using a panel VAR approach: Implications for sustainable development. (2023). GUPTA, RANGAN ; Caraiani, Petre ; Nielsen, Joshua ; Nel, Jacobus. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:133-155.

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2023Positive and negative price bubbles of Chinese agricultural commodity futures. (2023). Chang, Chiu-Lan ; Lin, Yizhou ; Fang, Ming. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:456-471.

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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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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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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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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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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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2023Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831.

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2023Pairs trading via unsupervised learning. (2023). Wei, Alenson Jun ; He, Zhaodong ; Han, Chulwoo. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:929-947.

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2023Cardinality-constrained distributionally robust portfolio optimization. (2023). Nakata, Kazuhide ; Takano, Yuichi ; Kobayashi, Ken. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1173-1182.

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2023Portfolio selection: A target-distribution approach. (2023). Vrins, Frédéric ; Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:302-314.

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2023Risk budgeting portfolios from simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Freitas B. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:3:p:1040-1056.

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2023A robust Glasso approach to portfolio selection in high dimensions. (2023). Gu, Xinhua ; Shu, Lianjie ; Ding, Wenliang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:22-37.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices. (2023). Zhao, Zhao ; de Nard, Gianluca. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:23-35.

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2023Uncertainty in the Black–Litterman model: Empirical estimation of the equilibrium. (2023). Hock, Thorsten ; Fuhrer, Adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:251-275.

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2023Time series momentum and reversal: Intraday information from realized semivariance. (2023). Wang, Shixuan ; Li, BO ; Lu, Shanglin ; Liu, Zhenya. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:54-77.

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2023When “time varying” volatility meets “transaction cost” in portfolio selection. (2023). Li, E ; Wen, T ; Liao, Y ; Gibberd, A ; Bu, D ; Qiao, W. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:220-237.

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2023Attention to oil prices and its impact on the oil, gold and stock markets and their covariance. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s014098832300141x.

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2023Betting against beta with intraday and overnight signals. (2023). Insana, Alessandra. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000583.

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2023Nonlinear asset pricing in Chinese stock market: A deep learning approach. (2023). Xie, Ying ; Wang, Yiming ; Long, Suwan ; Pan, Shuiyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001436.

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2023A finite-time singularity in the dynamics of the US equity market: Will the US equity market eventually collapse?. (2023). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003034.

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2023US monetary policy and BRICS stock market bubbles. (2023). GUPTA, RANGAN ; Nielsen, Joshua ; Nel, Jacobus. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006122.

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2023Risk-weighted cryptocurrency indices. (2023). Zhang, Zhengjun ; Feng, Wenjun. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006158.

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2023Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization. (2023). Challet, Damien ; Bongiorno, Christian. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005608.

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2023Volatility and correlation of Islamic and conventional indices during crises. (2023). Azad, A. S. M. Sohel, ; Samet, Anis ; Chazi, Abdelaziz. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322001028.

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2023Cross-temporal forecast reconciliation: Optimal combination method and heuristic alternatives. (2023). Girolimetto, Daniele ; di Fonzo, Tommaso. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:39-57.

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2023Intraday momentum in the VIX futures market. (2023). Yang, Jimmy J ; Weng, Pei-Shih ; Tsai, Wei-Che ; Huang, Hong-Gia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003260.

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2023Canonical portfolios: Optimal asset and signal combination. (2023). Firoozye, Nikan ; Zohren, Stefan ; Tan, Vincent. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001577.

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2023Currency exchange rate predictability: The new power of Bitcoin prices. (2023). Zhang, Zhengjun ; Feng, Wenjun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:132:y:2023:i:c:s0261560623000128.

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2023Which factor model? A systematic return covariation perspective. (2023). Tsvetanov, Daniel ; Symeonidis, Lazaros ; Bu, Ziwen ; Ahmed, Shamim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000669.

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2023Enriched standard conjugate priors and the right invariant prior for Wishart distributions. (2023). Komaki, Fumiyasu ; Oda, Hidemasa. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:193:y:2023:i:c:s0047259x22000963.

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2023Semiparametric estimation of the high-dimensional elliptical distribution. (2023). Okhrin, Ostap ; Liebscher, Eckhard. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x22001336.

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2023Envelope-based sparse reduced-rank regression for multivariate linear model. (2023). He, MU ; Balakrishnan, Narayanaswamy ; Guo, Wenxing. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x23000052.

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2023Uncovering block structures in large rectangular matrices. (2023). Chen, YU ; Zhang, Weiping ; Gong, Tingnan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:198:y:2023:i:c:s0047259x2300057x.

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2023A Bayesian perspective on commodity style integration. (2023). Zhao, Nan ; Fuertes, Ana-Maria. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000181.

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2023Worst-case analysis of Omega-VaR ratio optimization model. (2023). Mansini, Renata ; Sharma, Amita ; Sehgal, Ruchika. In: Omega. RePEc:eee:jomega:v:114:y:2023:i:c:s0305048322001372.

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2023The empirical performance of option implied volatility surface-driven optimal portfolios. (2023). Guidolin, Massimo ; Wang, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:618:y:2023:i:c:s0378437123000511.

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2023Time and frequency dynamic connectedness between cryptocurrencies and financial assets in China. (2023). Mo, Bin ; Li, Zhenghui ; Nie, HE. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:46-57.

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2023Bayesian estimation of constrained mean-covariance of normal distributions. (2023). Pourahmadi, Mohsen ; Kundu, Anupam. In: Statistics & Probability Letters. RePEc:eee:stapro:v:194:y:2023:i:c:s0167715222002589.

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2023Global Financial Market Integration: A Literature Survey. (2023). Haddad, Sama. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:12:p:495-:d:1288478.

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2023The Applications of Generalized Poisson Regression Models to Insurance Claim Data. (2023). Li, Shu ; Faroughi, Pouya ; Ren, Jiandong. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:12:p:213-:d:1296011.

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2023Randomized geometric tools for anomaly detection in stock markets. (2023). Tsigaridas, Elias ; Fisikopoulos, Vissarion ; Chalkis, Apostolos ; Bachelard, Cyril. In: Post-Print. RePEc:hal:journl:hal-04223511.

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2023Uncertainty in firm valuation and a cross-sectional misvaluation measure. (2023). Bottazzi, Giulio ; Marmi, Stefano ; Livieri, Giulia ; Cordoni, Francesco. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:1:d:10.1007_s10436-022-00423-w.

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2023Omega Compatibility: A Meta-analysis. (2023). Zhang, Xiang ; Maillet, Bertrand ; Caporin, Massimiliano ; Bernard, Carole. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10306-x.

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2023Using Quadratic Interpolated Beetle Antennae Search for Higher Dimensional Portfolio Selection Under Cardinality Constraints. (2023). Cao, Xinwei ; Khan, Ameer Tamoor ; Li, Shuai. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10303-0.

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2023Profitability of Ichimoku-Based Trading Rule in Vietnam Stock Market in the Context of the COVID-19 Outbreak. (2023). Do-Thi, Nga ; Che-Ngoc, HA ; Nguyen-Trang, Thao. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10319-6.

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2023Constrained portfolio strategies in a regime-switching economy. (2023). Campani, Carlos Heitor ; Lewin, Marcelo. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:1:d:10.1007_s11408-022-00414-x.

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2023Rebalancing with transaction costs: theory, simulations, and actual data. (2023). Rockinger, Michael ; Bernoussi, Rim. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:2:d:10.1007_s11408-022-00419-6.

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2023Cross-temporal Probabilistic Forecast Reconciliation. (2023). Hyndman, Rob J ; di Fonzo, Tommaso ; Athanasopoulos, George ; Girolimetto, Daniele. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-6.

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2023Explicit minimal representation of variance matrices, and its implication for dynamic volatility models. (2023). Abadir, Karim M. In: The Econometrics Journal. RePEc:oup:emjrnl:v:26:y:2023:i:1:p:88-104..

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

Works by Olivier Ledoit:

YearTitleTypeCited
2003Honey, I Shrunk the Sample Covariance Matrix In: Working Papers.
[Full Text][Citation analysis]		paper14
2003Honey, I shrunk the sample covariance matrix.(2003) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 14		paper
1996 Robust Structure without Predictability: The Compass Rose Pattern of the Stock Market. In: Journal of Finance.
[Full Text][Citation analysis]		article24
1998Crashes at Critical Points In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper189
2000CRASHES AS CRITICAL POINTS.(2000) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 189		article
1999Approximate Arbitrage In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper3
2002Relative Pricing of Options with Stochastic Volatility In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper22
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]		paper143
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 nother version. Agregated cites: 143		article
2001Flexible multivariate GARCH modeling with an application to international stock markets.(2001) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 143		paper
2000A well conditioned estimator for large dimensional covariance matrices In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper406
2004A well-conditioned estimator for large-dimensional covariance matrices.(2004) In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 406		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]		paper502
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 nother version. Agregated cites: 502		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 nother version. Agregated cites: 502		paper
2017Numerical implementation of the QuEST function In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article10
2017Numerical implementation of the QuEST function.(2017) In: ECON - Working Papers.
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This paper has nother version. Agregated cites: 10		paper
2008Robust performance hypothesis testing with the Sharpe ratio In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article366
2008Robust Performance Hypothesis Testing with the Sharpe Ratio.(2008) In: IEW - Working Papers.
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This paper has nother version. Agregated cites: 366		paper
2015Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article38
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 nother version. Agregated cites: 38		paper
2019Large Dynamic Covariance Matrices In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article95
2017Large dynamic covariance matrices.(2017) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 95		paper
2000Gain, Loss, and Asset Pricing In: Journal of Political Economy.
[Full Text][Citation analysis]		article135
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]		paper2
1999Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes In: Finance.
[Full Text][Citation analysis]		paper0
2011The coexistence of commodity money and fiat money In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0
2011Choice Democracy In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0
2011The redistributive effects of monetary policy In: ECON - Working Papers.
[Full Text][Citation analysis]		paper12
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
2017Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies In: ECON - Working Papers.
[Full Text][Citation analysis]		paper1
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]		paper6
2018Robust performance hypothesis testing with smooth functions of population moments In: ECON - Working Papers.
[Full Text][Citation analysis]		paper3
2020The power of (non-)linear shrinking: a review and guide to covariance matrix estimation In: ECON - Working Papers.
[Full Text][Citation analysis]		paper9
2020Shrinkage estimation of large covariance matrices: keep it simple, statistician? In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0
2020Risk reduction and efficiency increase in large portfolios: leverage and shrinkage In: ECON - Working Papers.
[Full Text][Citation analysis]		paper4
2020Quadratic shrinkage for large covariance matrices In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0
2021Large dynamic covariance matrices: enhancements based on intraday data In: ECON - Working Papers.
[Full Text][Citation analysis]		paper9
2022Markowitz portfolios under transaction costs In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0
2023A novel estimator of earths curvature (allowing for inference as well) In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0
2009Eigenvectors of some large sample covariance matrices ensembles In: IEW - Working Papers.
[Full Text][Citation analysis]		paper0
2010Central limit theorems when data are dependent: addressing the pedagogical gaps In: IEW - Working Papers.
[Full Text][Citation analysis]		paper0
2011Nonlinear shrinkage estimation of large-dimensional covariance matrices In: IEW - Working Papers.
[Full Text][Citation analysis]		paper2
2010Robust performance hypothesis testing with the variance In: IEW - Working Papers.
[Full Text][Citation analysis]		paper0

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