Olivier Ledoit : Citation Profile

Universität Zürich

14

H index

16

i10 index

2411

Citations

RESEARCH PRODUCTION:

10

Articles

37

Papers

RESEARCH ACTIVITY:

   28 years (1996 - 2024). See details.
   Cites by year: 86
   Journals where Olivier Ledoit has often published
   Relations with other researchers
   Recent citing documents: 262.    Total self citations: 24 (0.99 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple718
   Updated: 2026-03-28    RAS profile: 2023-03-10    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Wolf, Michael (6)

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

Is cited by:

Santos, Andre (31)

Pesaran, Mohammad (25)

LINTON, OLIVER (24)

De Nard, Gianluca (24)

Bollerslev, Tim (21)

Zhou, Wei-Xing (20)

Fan, Jianqing (20)

Caporin, Massimiliano (19)

GUPTA, RANGAN (18)

Kondor, Imre (16)

Conlon, Thomas (14)

Cites to:

Wolf, Michael (59)

Engle, Robert (26)

Uppal, Raman (11)

Titman, Sheridan (9)

Jagannathan, Ravi (9)

Memmel, Christoph (6)

Connor, Gregory (6)

Andrews, Donald (6)

Korajczyk, Robert (6)

French, Kenneth (6)

Bollerslev, Tim (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 (2025 and 2024)

YearTitle of citing document
2025Shrink with Purpose: Optimal Covariance Matrix Estimation for Portfolio Selection. (2025). Lassance, Nathan ; Vrins, Frdric ; Vanderveken, Rodolphe. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2025002.

Full description at Econpapers || Download paper

2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

Full description at Econpapers || Download paper

2024Keep it Tighter -- A Story on Analytical Mean Embeddings. (2024). Szab, Zolt'An ; Chamakh, Linda. In: Papers. RePEc:arx:papers:2110.09516.

Full description at Econpapers || Download paper

2025Mean-Covariance Robust Risk Measurement. (2023). Nguyen, Viet Anh ; Abadeh, Soroosh Shafieezadeh ; Kuhn, Daniel ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2112.09959.

Full description at Econpapers || Download paper

2024Flexible global forecast combinations. (2024). Vasnev, Andrey ; Qian, Yilin ; Thompson, Ryan. In: Papers. RePEc:arx:papers:2207.07318.

Full description at Econpapers || Download paper

2024Optimal Bubble Riding: A Mean Field Game with Varying Entry Times. (2024). Wang, Shichun ; Tangpi, Ludovic. In: Papers. RePEc:arx:papers:2209.04001.

Full description at Econpapers || Download paper

2024Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning. (2024). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318.

Full description at Econpapers || Download paper

2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2024). Lu, Yutong ; Cucuringu, Mihai ; Reinert, Gesine. In: Papers. RePEc:arx:papers:2302.09382.

Full description at Econpapers || Download paper

2025Ledoit-Wolf linear shrinkage with unknown mean. (2025). Oriol, Benoit ; Miot, Alexandre. In: Papers. RePEc:arx:papers:2304.07045.

Full description at Econpapers || Download paper

2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

Full description at Econpapers || Download paper

2024New approximate stochastic dominance approaches for Enhanced Indexation models. (2024). Puerto, Justo ; Cesarone, Francesco. In: Papers. RePEc:arx:papers:2401.12669.

Full description at Econpapers || Download paper

2025Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints. (2024). Caner, Mehmet ; Li, Yingying ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2402.17523.

Full description at Econpapers || Download paper

2024Randomized Control in Performance Analysis and Empirical Asset Pricing. (2024). Fisikopoulos, Vissarion ; Tsigaridas, Elias ; Bachelard, Cyril ; Chalkis, Apostolos. In: Papers. RePEc:arx:papers:2403.00009.

Full description at Econpapers || Download paper

2024Portfolio management using graph centralities: Review and comparison. (2024). Noferini, Vanni ; Vrontos, Spyridon ; Arslan, Bahar. In: Papers. RePEc:arx:papers:2404.00187.

Full description at Econpapers || Download paper

2024Portfolio Optimization with Robust Covariance and Conditional Value-at-Risk Constraints. (2024). Zhou, Qiqin. In: Papers. RePEc:arx:papers:2406.00610.

Full description at Econpapers || Download paper

2026Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

Full description at Econpapers || Download paper

2024Cluster GARCH. (2024). Hansen, Peter ; Archakov, Ilya ; Tong, Chen. In: Papers. RePEc:arx:papers:2406.06860.

Full description at Econpapers || Download paper

2024Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series. (2024). Kostanjvcar, Zvonko ; Beguvsi, Stjepan ; Vzigni, Lucija. In: Papers. RePEc:arx:papers:2407.03781.

Full description at Econpapers || Download paper

2024Risk Analysis of Passive Portfolios. (2024). Das, Sourish. In: Papers. RePEc:arx:papers:2407.08332.

Full description at Econpapers || Download paper

2024Covariance Matrix Analysis for Optimal Portfolio Selection. (2024). Shen, Lim Hao. In: Papers. RePEc:arx:papers:2407.08748.

Full description at Econpapers || Download paper

2024The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2407.09536.

Full description at Econpapers || Download paper

2024Regularizing stock return covariance matrices via multiple testing of correlations. (2024). Luger, Richard. In: Papers. RePEc:arx:papers:2407.09696.

Full description at Econpapers || Download paper

2024Temporal Representation Learning for Stock Similarities and Its Applications in Investment Management. (2024). Hwang, Yoontae ; Lee, Yongjae ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2407.13751.

Full description at Econpapers || Download paper

2024Endogenous Crashes as Phase Transitions. (2024). Nayar, Revant ; Islam, Minhajul. In: Papers. RePEc:arx:papers:2408.06433.

Full description at Econpapers || Download paper

2025Fundamental properties of linear factor models. (2025). Schneider, Paul ; Filipovic, Damir. In: Papers. RePEc:arx:papers:2409.02521.

Full description at Econpapers || Download paper

2024Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets. (2024). Yang, Yanrong ; Wu, Ruike ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2410.01826.

Full description at Econpapers || Download paper

2024Fast Deep Hedging with Second-Order Optimization. (2024). Wood, Ben ; Gonon, Lukas ; Akkari, Amira ; Mueller, Konrad. In: Papers. RePEc:arx:papers:2410.22568.

Full description at Econpapers || Download paper

2024Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios. (2024). Cotton, Peter. In: Papers. RePEc:arx:papers:2411.05807.

Full description at Econpapers || Download paper

2024Diversification quotient based on expectiles. (2024). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2411.14646.

Full description at Econpapers || Download paper

2025Beyond Monte Carlo: Harnessing Diffusion Models to Simulate Financial Market Dynamics. (2025). Lesniewski, Andrew ; Trigila, Giulio. In: Papers. RePEc:arx:papers:2412.00036.

Full description at Econpapers || Download paper

2024M6 Investment Challenge: The Role of Luck and Strategic Considerations. (2024). Stanvek, Filip. In: Papers. RePEc:arx:papers:2412.04490.

Full description at Econpapers || Download paper

2025Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study. (2024). Yu, Xun ; Jia, Yanwei ; Huang, Yilie. In: Papers. RePEc:arx:papers:2412.16175.

Full description at Econpapers || Download paper

2025Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization. (2025). Lee, Yongjae ; Zohren, Stefan ; Kong, Yaxuan ; Hwang, Yoontae. In: Papers. RePEc:arx:papers:2502.00828.

Full description at Econpapers || Download paper

2025Generalized Factor Neural Network Model for High-dimensional Regression. (2025). Shestopaloff, Alexander Y ; Cucuringu, Mihai ; Guo, Zichuan. In: Papers. RePEc:arx:papers:2502.11310.

Full description at Econpapers || Download paper

2025Tensor dynamic conditional correlation model: A new way to pursuit Holy Grail of investing. (2025). Zhu, KE ; Yu, Cheng. In: Papers. RePEc:arx:papers:2502.13461.

Full description at Econpapers || Download paper

2025A Supervised Screening and Regularized Factor-Based Method for Time Series Forecasting. (2025). Gao, Zhaoxing ; Tu, Sihan. In: Papers. RePEc:arx:papers:2502.15275.

Full description at Econpapers || Download paper

2025Chronologically Consistent Large Language Models. (2025). Wu, Jimmy ; Manela, Asaf ; Lv, Linying ; He, Songrun. In: Papers. RePEc:arx:papers:2502.21206.

Full description at Econpapers || Download paper

2026Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure. (2025). Zhang, Ruixun ; Xu, Yumin ; Chen, Minshuo. In: Papers. RePEc:arx:papers:2504.06566.

Full description at Econpapers || Download paper

2025Semiparametric Dynamic Copula Models for Portfolio Optimization. (2025). Ghosh, Sujit K ; Pareek, Savita. In: Papers. RePEc:arx:papers:2504.12266.

Full description at Econpapers || Download paper

2026Beating the Correlation Breakdown: Robust Inference, Flexible Scenarios, and Stress Testing for Financial Portfolios. (2025). Opdyke, JD. In: Papers. RePEc:arx:papers:2504.15268.

Full description at Econpapers || Download paper

2025The Exploratory Multi-Asset Mean-Variance Portfolio Selection using Reinforcement Learning. (2025). Wu, Yuhan ; Li, YU ; Zhang, Shuhua. In: Papers. RePEc:arx:papers:2505.07537.

Full description at Econpapers || Download paper

2025Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796.

Full description at Econpapers || Download paper

2025Covariance Matrix Estimation for Positively Correlated Assets. (2025). Liu, Weilong. In: Papers. RePEc:arx:papers:2507.01545.

Full description at Econpapers || Download paper

2025End-to-End Large Portfolio Optimization for Variance Minimization with Neural Networks through Covariance Cleaning. (2025). Mantegna, Rosario ; Manolakis, Efstratios ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2507.01918.

Full description at Econpapers || Download paper

2025A General Class of Model-Free Dense Precision Matrix Estimators. (2025). Agostino, Mehmet Caner. In: Papers. RePEc:arx:papers:2507.04663.

Full description at Econpapers || Download paper

2025Time-Varying Factor-Augmented Models for Volatility Forecasting. (2025). Chen, Elynn ; Mo, Junyi ; Li, Jiayu ; Zhang, Duo. In: Papers. RePEc:arx:papers:2508.01880.

Full description at Econpapers || Download paper

2025Estimating Covariance for Global Minimum Variance Portfolio: A Decision-Focused Learning Approach. (2025). Lee, Yongjae ; Tae, Inwoo ; Kim, Juchan. In: Papers. RePEc:arx:papers:2508.10776.

Full description at Econpapers || Download paper

2025Variable selection for minimum-variance portfolios. (2025). Moura, Guilherme V ; Torrent, Hudson S. In: Papers. RePEc:arx:papers:2508.14986.

Full description at Econpapers || Download paper

2025Dynamic Factor Models with Forward-Looking Views. (2025). Abdelhakmi, Anas. In: Papers. RePEc:arx:papers:2509.11528.

Full description at Econpapers || Download paper

2025Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics. (2025). Casto, Gabriele. In: Papers. RePEc:arx:papers:2509.23533.

Full description at Econpapers || Download paper

2025A Practitioners Guide to AI+ML in Portfolio Investing. (2025). Qingliang, Mehmet Caner. In: Papers. RePEc:arx:papers:2509.25456.

Full description at Econpapers || Download paper

2025Multi-Agent Regime-Conditioned Diffusion (MARCD) for CVaR-Constrained Portfolio Decisions. (2025). Alzahrani, Ali Atiah. In: Papers. RePEc:arx:papers:2510.10807.

Full description at Econpapers || Download paper

2025Identifying and Quantifying Financial Bubbles with the Hyped Log-Periodic Power Law Model. (2025). Geman, Helyette ; Cao, Zheng ; Yan, Yuheng ; Shao, Xingran. In: Papers. RePEc:arx:papers:2510.10878.

Full description at Econpapers || Download paper

2025RegimeFolio: A Regime Aware ML System for Sectoral Portfolio Optimization in Dynamic Markets. (2025). Zhang, Yiyao ; Goel, Diksha ; Szabo, Claudia ; Ahmad, Hussain. In: Papers. RePEc:arx:papers:2510.14986.

Full description at Econpapers || Download paper

2025Selection Confidence Sets for Equally Weighted Portfolios. (2025). Ferrari, Davide ; Fulci, Alessandro ; Paterlini, Sandra. In: Papers. RePEc:arx:papers:2510.14988.

Full description at Econpapers || Download paper

2025Denoising Complex Covariance Matrices with Hybrid ResNet and Random Matrix Theory: Cryptocurrency Portfolio Applications. (2025). Garcia-Medina, Andres. In: Papers. RePEc:arx:papers:2510.19130.

Full description at Econpapers || Download paper

2025Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction. (2025). Cho, So-Yoon ; Ban, Kayoung ; Kim, Jin-Young ; Koo, Hyeng Keun. In: Papers. RePEc:arx:papers:2511.07014.

Full description at Econpapers || Download paper

2025Basis Immunity: Isotropy as a Regularizer for Uncertainty. (2025). Segonne, Florent. In: Papers. RePEc:arx:papers:2511.13334.

Full description at Econpapers || Download paper

2025Portfolio Optimization via Transfer Learning. (2025). Wang, Kexin ; Zhang, Xiaomeng. In: Papers. RePEc:arx:papers:2511.21221.

Full description at Econpapers || Download paper

2025Bayesian Distributionally Robust Merton Problem with Nonlinear Wasserstein Projections. (2025). Liu, Yang ; Blanchet, Jose ; Cheng, Jiayi. In: Papers. RePEc:arx:papers:2512.01408.

Full description at Econpapers || Download paper

2025Squeezed Covariance Matrix Estimation: Analytic Eigenvalue Control. (2025). Smyth, William ; Khalaf, Layla Abu. In: Papers. RePEc:arx:papers:2512.23021.

Full description at Econpapers || Download paper

2026Class of topological portfolios: Are they better than classical portfolios?. (2026). Kanniainen, Juho ; Goel, Anubha ; Sharma, Amita. In: Papers. RePEc:arx:papers:2601.03974.

Full description at Econpapers || Download paper

2026DeePM: Regime-Robust Deep Learning for Systematic Macro Portfolio Management. (2026). Roberts, Stephen J ; Zohren, Stefan ; Wood, Kieran. In: Papers. RePEc:arx:papers:2601.05975.

Full description at Econpapers || Download paper

2026Systemic Risk in DeFi: A Network-Based Fragility Analysis of TVL Dynamics. (2026). Wang, Zining ; Zhang, Shiyu ; Cartlidge, John ; Zheng, Jin. In: Papers. RePEc:arx:papers:2601.08540.

Full description at Econpapers || Download paper

2026Spectral Dynamics and Regularization for High-Dimensional Copulas. (2026). Gubbels, Koos B ; Lucas, Andre. In: Papers. RePEc:arx:papers:2601.13281.

Full description at Econpapers || Download paper

2026Beyond Carr Madan: A Projection Approach to Risk-Neutral Moment Estimation. (2026). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2601.14852.

Full description at Econpapers || Download paper

2025Risk€“Return Efficiency in Emerging Dual Financial Markets: A Comparative Study of Markowitz Mean€“Variance and Sharpe Single-Index Portfolio Models in Malaysia. (2025). Hadi, Muhammad Abd ; Hussain, Nordianah Jusoh ; Talib, Adi Hakim ; Ahmad, Nurul Ainun ; Zaki, Bushra Mohd ; Nik, Nik Rozila. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:9:y:2025:issue-9:p:2934-2948.

Full description at Econpapers || Download paper

2024A Multifactor Perspective on Volatility‐Managed Portfolios. (2024). Uppal, Raman ; Martnutrera, Alberto ; Demiguel, Victor. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:3859-3891.

Full description at Econpapers || Download paper

2024Reference dependence and endogenous anchors. (2024). Meirelesrodrigues, Andrea ; Guasoni, Paolo. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:925-976.

Full description at Econpapers || Download paper

2024Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?. (2024). LINTON, OLIVER ; Su, W ; Liu, W ; Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2427.

Full description at Econpapers || Download paper

2025Estimation of Large Dynamic Precision Matrices with a Latent Semiparametric Structure. (2025). Linton, O B ; Chen, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2536.

Full description at Econpapers || Download paper

2024Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?. (2024). LINTON, OLIVER ; Su, W ; Liu, W ; Ge, S. In: Janeway Institute Working Papers. RePEc:cam:camjip:2416.

Full description at Econpapers || Download paper

2025Estimation of Large Dynamic Precision Matrices with a Latent Semiparametric Structure. (2025). Linton, O B ; Chen, J. In: Janeway Institute Working Papers. RePEc:cam:camjip:2514.

Full description at Econpapers || Download paper

2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

Full description at Econpapers || Download paper

2025Cost mitigation of factor investing in emerging equity markets. (2025). Stankov, Kay ; Schiereck, Dirk ; Flgel, Volker. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:156140.

Full description at Econpapers || Download paper

2025Dynamic influence networks self-organize towards non-normal socio-economic instabilities. (2025). Wu, KE ; Sornette, Didier ; Wang, Yicheng ; Lera, Sandro Claudio. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:201:y:2025:i:p3:s0960077925012640.

Full description at Econpapers || Download paper

2025High-dimensional copula-based Wasserstein dependence. (2025). Gijbels, Irne ; de Keyser, Steven. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:204:y:2025:i:c:s0167947324001804.

Full description at Econpapers || Download paper

2025Robust generalized canonical correlation analysis based on scatter matrices. (2025). Fasano, Victoria M ; Kudraszow, Nadia L ; Ferrario, Julieta ; Vahnovan, Alejandra V. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:206:y:2025:i:c:s0167947325000027.

Full description at Econpapers || Download paper

2025Efficient computation of sparse and robust maximum association estimators. (2025). Filzmoser, Peter ; Pfeiffer, Pia ; Alfons, Andreas. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:207:y:2025:i:c:s016794732500009x.

Full description at Econpapers || Download paper

2026Discovering causal structures in corrupted data: frugality in anchored Gaussian DAG models. (2026). Park, Gunwoong ; Hwang, Seyong ; Chung, Junhyoung ; Shin, Joonho. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:213:y:2026:i:c:s0167947325001434.

Full description at Econpapers || Download paper

2024Dynamic CVaR portfolio construction with attention-powered generative factor learning. (2024). Yan, Xing ; Wu, QI ; Sun, Chuting. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188924000137.

Full description at Econpapers || Download paper

2024Robust portfolio selection with smart return prediction. (2024). Tu, Xueyong ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000750.

Full description at Econpapers || Download paper

2024Benefits of diversification in EU capital markets: Evidence from stock portfolios. (2024). Gossé, Jean-Baptiste ; Gosse, Jean-Baptiste ; Jehle, Camille. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000816.

Full description at Econpapers || Download paper

2025The performance of ESG portfolios: Evidence from the Chinese market under COVID-19. (2025). Cheng, Ho Cheung ; Wang, Shaolin ; Yick, Ho Yin. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s0264999324003158.

Full description at Econpapers || Download paper

2025Improving minimum-variance portfolio through shrinkage of large covariance matrices. (2025). Shu, Lianjie ; Shi, Fangquan ; Huang, Wenpo ; He, Fangyi. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003389.

Full description at Econpapers || Download paper

2024Dynamic robust portfolio selection under market distress. (2024). Olmo, Jose ; Jiang, Yifu ; Atwi, Majed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602.

Full description at Econpapers || Download paper

2024Application of the LPPL model in the identification and measurement of structural bubbles in the Chinese stock market. (2024). Ji, Hongyun ; Zhang, Han. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001833.

Full description at Econpapers || Download paper

2024Yield curve trading strategies exploiting sentiment data. (2024). Serwart, Jan ; Audrino, Francesco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001517.

Full description at Econpapers || Download paper

2025Stock market volatility and multi-scale positive and negative bubbles. (2025). Nel, Jacobus ; Gupta, Rangan ; Pierdzioch, Christian ; Nielsen, Joshua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002250.

Full description at Econpapers || Download paper

2025Creditable bonds’ multifunctional roles during the COVID-19 pandemic. (2025). CHONG, Terence Tai Leung ; Yang, Junhong ; Wang, Qiyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002730.

Full description at Econpapers || Download paper

2024Detecting market bubbles: A generalized LPPLS neural network model. (2024). Li, Chenchen ; Ma, Juntao. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524004877.

Full description at Econpapers || Download paper

2025Quantifying speculative-bubble effects in major European soccer leagues. (2025). Binner, Jane M ; Fry, John. In: Economics Letters. RePEc:eee:ecolet:v:248:y:2025:i:c:s016517652500045x.

Full description at Econpapers || Download paper

2025Outperforming equal weighting. (2025). Walker, Patrick S ; Cirulli, Antonello. In: Economics Letters. RePEc:eee:ecolet:v:255:y:2025:i:c:s0165176525003891.

Full description at Econpapers || Download paper

2025Minimum variance investing under sustainability constraints. (2025). Marohn, Marcel ; Auer, Benjamin R. In: Economics Letters. RePEc:eee:ecolet:v:256:y:2025:i:c:s0165176525003982.

Full description at Econpapers || Download paper

2025Iterative Complement-clustering PCA: Uncovering latent industry structures in stock returns. (2025). Yang, Yanrong ; Chang, LE ; Bi, Daning. In: Economics Letters. RePEc:eee:ecolet:v:256:y:2025:i:c:s0165176525004483.

Full description at Econpapers || Download paper

2024Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. (2024). Cai, Zhanrui ; Yang, Songshan ; Wen, Jiawei ; Li, Changcheng. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622000902.

Full description at Econpapers || Download paper

2024Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Yang, Yanrong ; Zhong, Wei ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646.

Full description at Econpapers || Download paper

2024Robustifying Markowitz. (2024). Klochkov, Yegor ; Hardle, Wolfgang Karl ; Zhivotovskiy, Nikita ; Petukhina, Alla. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000180.

Full description at Econpapers || Download paper

2025Regularizing stock return covariance matrices via multiple testing of correlations. (2025). Luger, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400099x.

Full description at Econpapers || Download paper

2025A large confirmatory dynamic factor model for stock market returns in different time zones. (2025). Wu, Jianbin ; Tang, Haihan ; Linton, Oliver B. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000259.

Full description at Econpapers || Download paper

2025Deep learning based residuals in non-linear factor models: Precision matrix estimation of returns with low signal-to-noise ratio. (2025). Caner, Mehmet ; Daniele, Maurizio. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s030440762500137x.

Full description at Econpapers || Download paper

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

Works by Olivier Ledoit:

YearTitleTypeCited
2015Honey, I Shrunk the Sample Covariance Matrix In: Working Papers.
[Full Text][Citation analysis]		paper16
2003Honey, I shrunk the sample covariance matrix.(2003) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
1996 Robust Structure without Predictability: The Compass Rose Pattern of the Stock Market. In: Journal of Finance.
[Full Text][Citation analysis]		article25
1998Crashes at Critical Points In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper210
2000CRASHES AS CRITICAL POINTS.(2000) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 210		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]		paper23
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]		paper142
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: 142		article
2001Flexible multivariate GARCH modeling with an application to international stock markets.(2001) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 142		paper
2000A well conditioned estimator for large dimensional covariance matrices In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper524
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: 524		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]		paper578
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: 578		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: 578		paper
2017Numerical implementation of the QuEST function In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article12
2017Numerical implementation of the QuEST function.(2017) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2008Robust performance hypothesis testing with the Sharpe ratio In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article439
2008Robust Performance Hypothesis Testing with the Sharpe Ratio.(2008) In: IEW - Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 439		paper
2015Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article52
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: 52		paper
2019Large Dynamic Covariance Matrices In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article130
2017Large dynamic covariance matrices.(2017) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 130		paper
2000Gain, Loss, and Asset Pricing In: Journal of Political Economy.
[Full Text][Citation analysis]		article147
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]		paper45
2018Robust performance hypothesis testing with smooth functions of population moments In: ECON - Working Papers.
[Full Text][Citation analysis]		paper5
2020The power of (non-)linear shrinking: a review and guide to covariance matrix estimation In: ECON - Working Papers.
[Full Text][Citation analysis]		paper14
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]		paper8
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]		paper16
2024Markowitz portfolios under transaction costs In: ECON - Working Papers.
[Full Text][Citation analysis]		paper1
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

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated March, 14 2025. Contact: CitEc Team