Olivier Ledoit : Citation Profile

Are you Olivier Ledoit?

Universität Zürich

12

H index

12

i10 index

1957

Citations

RESEARCH PRODUCTION:

10

Articles

36

Papers

RESEARCH ACTIVITY:

   26 years (1996 - 2022). See details.
   Cites by year: 75
   Journals where Olivier Ledoit has often published
   Relations with other researchers
   Recent citing documents: 244.    Total self citations: 24 (1.21 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple718
   Updated: 2023-11-04    RAS profile: 2019-07-18    
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Relations with other researchers

Works with:

Wolf, Michael (8)

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)

Fan, Jianqing (17)

Kondor, Imre (16)

Caporin, Massimiliano (16)

Bailey, Natalia (14)

Parolya, Nestor (13)

Andersen, Torben (13)

Cites to:

Wolf, Michael (59)

Engle, Robert (26)

Uppal, Raman (11)

Jagannathan, Ravi (9)

Titman, Sheridan (9)

French, Kenneth (6)

Korajczyk, Robert (6)

Bollerslev, Tim (6)

Andrews, Donald (6)

Connor, Gregory (6)

Memmel, Christoph (6)

Main data

Where Olivier Ledoit has published?

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

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 (2023 and 2022)

YearTitle of citing document
2022Asymmetric volatility impulse response functions. (2022). Herwartz, Helmut ; Hafner, Christian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022037.

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2022Should we care about ECB inflation expectations?. (2022). Candelon, Bertrand ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022004.

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2022On the optimal combination of naive and mean-variance portfolio strategies. (2022). Vrins, Frederic ; Vanderveken, Rodolphe ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022006.

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2022Sharpe Ratio in High Dimensions: Cases of Maximum Out of Sample, Constrained Maximum, and Optimal Portfolio Choice. (2020). Vasconcelos, Gabriel ; Medeiros, Marcelo ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2002.01800.

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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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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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2022A Test for Kronecker Product Structure Covariance Matrix. (2020). Mavroeidis, Sophocles ; Kleibergen, Frank ; Guggenberger, Patrik. In: Papers. RePEc:arx:papers:2010.10961.

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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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2022Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2022Robust Portfolio Selection Problems: A Comprehensive Review. (2021). Ghasemi, Alireza ; Saif, Ahmed ; Ghahtarani, Alireza . In: Papers. RePEc:arx:papers:2103.13806.

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2022Diversified reward-risk parity in portfolio construction. (2021). Kim, Young Shin ; Choi, Jae Hyung. In: Papers. RePEc:arx:papers:2106.09055.

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2022Investing in a cryptocurrency price bubble: speculative Ponzi schemes and cyclic stochastic price pumps. (2021). Perepelitsa, Misha. In: Papers. RePEc:arx:papers:2111.11315.

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2022Data-driven integration of regularized mean-variance portfolios. (2021). Kwon, Roy H ; Butler, Andrew. In: Papers. RePEc:arx:papers:2112.07016.

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2022The Oracle estimator is suboptimal for global minimum variance portfolio optimisation. (2021). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2112.07521.

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2022Dynamic Portfolio Optimization with Inverse Covariance Clustering. (2022). Aste, Tomaso ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2112.15499.

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2022High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584.

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2022Option Volume Imbalance as a predictor for equity market returns. (2022). Howison, Sam ; Cucuringu, Mihai ; Michael, Nikolas. In: Papers. RePEc:arx:papers:2201.09319.

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2022Two is better than one: Regularized shrinkage of large minimum variance portfolio. (2022). Parolya, Nestor ; Thors, Erik ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2202.06666.

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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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2022Sparsification and Filtering for Spatial-temporal GNN in Multivariate Time-series. (2022). Wang, Yuanrong ; Aste, Tomaso. In: Papers. RePEc:arx:papers:2203.03991.

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2022Predicting the Bubble of Non-Fungible Tokens (NFTs): An Empirical Investigation. (2022). Mogi, Gento ; Shibano, Kyohei ; Ito, Kensuke. In: Papers. RePEc:arx:papers:2203.12587.

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2022A generalized precision matrix for t-Student distributions in portfolio optimization. (2022). Paterlini, Sandra ; Taufer, Emanuele ; Bax, Karoline. In: Papers. RePEc:arx:papers:2203.13740.

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2022LoCoV: low dimension covariance voting algorithm for portfolio optimization. (2022). Popescu, Ionel ; Duan, Juntao. In: Papers. RePEc:arx:papers:2204.00204.

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2022Portfolio Optimization Using a Consistent Vector-Based MSE Estimation Approach. (2022). Al-Saggaf, Ubaid ; Al-Naffouri, Tareq Y ; Moinuddin, Muhammad ; Ballal, Tarig ; Mahadi, Maaz. In: Papers. RePEc:arx:papers:2204.05611.

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2022Randomized geometric tools for anomaly detection in stock markets. (2022). Tsigaridas, Elias ; Fisikopoulos, Vissarion ; Chalkis, Apostolos ; Bachelard, Cyril. In: Papers. RePEc:arx:papers:2205.03852.

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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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2022Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:2208.02573.

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2022Do diverse and inclusive workplaces benefit investors? An Empirical Analysis on Europe and the United States. (2022). Bax, Karoline. In: Papers. RePEc:arx:papers:2208.10435.

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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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2022SEC Form 13F-HR: Statistical investigation of trading imbalances and profitability analysis. (2022). Cucuringu, Mihai ; Miori, Deborah. In: Papers. RePEc:arx:papers:2209.08825.

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2022Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288.

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2022Robustifying Markowitz. (2022). Zhivotovskiy, Nikita ; Petukhina, Alla ; Klochkov, Yegor ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2212.13996.

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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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2023A 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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2022The Performance of Hedge Fund Industry during the COVID-19 Crisis – Theoretical Characteristics and Empirical Aspects. (2022). Ganchev, Alexander . In: Economic Studies journal. RePEc:bas:econst:y:2022:i:1:p:18-37.

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2022Did cryptocurrencies exhibit log?periodic power law signature during the second wave of COVID?19?. (2022). Papathanasiou, Spyros ; Ghosh, Bikramaditya ; Pergeris, Georgios. In: Economic Notes. RePEc:bla:ecnote:v:51:y:2022:i:3:n:e12207.

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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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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2022Factorized estimation of high?dimensional nonparametric covariance models. (2022). Li, Jie ; Zhang, Jian. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:2:p:542-567.

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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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2022Fractal Dimension Option Hedging Strategy Implementation During Turbulent Market Conditions in Developing and Developed Countries. (2022). Dickason-Koekemoer, Zandri ; Ferreira-Schenk, Sune ; Basson, L J. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-02-9.

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2023Multi?period portfolio selection with investor views based on scenario tree. (2022). Wang, Shouyang ; Fang, Yong ; Bai, Lin ; Zhao, Daping. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:418:y:2022:i:c:s0096300321008961.

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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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2022A singular value decomposition based approach to handle ill-conditioning in optimization problems with applications to portfolio theory. (2022). Uberti, Pierpaolo ; Torrente, Maria-Laura ; Fassino, Claudia. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:165:y:2022:i:p1:s0960077922009250.

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2022Dimension reduction for block-missing data based on sparse sliced inverse regression. (2022). Zhang, QI ; Xiao, Zhen. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:167:y:2022:i:c:s0167947321001821.

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2022The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116.

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2022Copula shrinkage and portfolio allocation in ultra-high dimensions. (2022). Anatolyev, Stanislav ; Pyrlik, Vladimir. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922002123.

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2022Taxation and the distributional impact of inflation: The U.S. post-war experience. (2022). Wieschemeyer, Matthias ; Sussmuth, Bernd. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000591.

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2022Scopes of carbon emissions and their impact on green portfolios. (2022). Welgryn, Lou ; Tavin, Bertrand ; Coqueret, Guillaume ; Anquetin, Theophile. In: Economic Modelling. RePEc:eee:ecmode:v:115:y:2022:i:c:s0264999322001973.

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2022Exchange rate predictability, risk premiums, and predictive system. (2022). Park, Cheolbeom ; Bak, Yuhyeon. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002632.

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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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2022Asset selection based on high frequency Sharpe ratio. (2022). Chen, Min ; Lian, Yimin ; Wang, Christina Dan. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:168-188.

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2022Inference on covariance-mean regression. (2022). Tsai, Chih-Ling ; Li, Runze ; Lan, Wei ; Zou, Tao. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:318-338.

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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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2022Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization. (2022). Wong, Wing-Keung ; Bai, Zhi Dong ; Li, Hua ; McAleer, Michael. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:133-150.

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2022Portfolio optimization with behavioural preferences and investor memory. (2022). Mazibas, Murat. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:1:p:368-387.

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2022Reconciling mean-variance portfolio theory with non-Gaussian returns. (2022). Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:729-740.

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2022Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness. (2022). Yu, Min-Teh ; Sun, Edward W ; Chang, Chia-Chien ; Chen, Chang-Chih. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:2:p:727-742.

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2022Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it. (2022). Zhao, Yuan ; Lamb, John D ; Mynbayeva, Elmira. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:2:p:694-707.

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2022Keyword portfolio optimization in paid search advertising. (2022). Symitsi, Efthymia ; Markellos, Raphael N ; Mantrala, Murali K. In: European Journal of Operational Research. RePEc:eee:ejores:v:303:y:2022:i:2:p:767-778.

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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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2022Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market. (2022). Rubesam, Alexandre. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pb:s1566014122000085.

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2022Factor investing in Brazil: Diversifying across factor tilts and allocation strategies. (2022). Casalin, Fabrizio ; Rodrigues, Alexandre Alles. In: Emerging Markets Review. RePEc:eee:ememar:v:52:y:2022:i:c:s1566014122000231.

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2022A toolkit for exploiting contemporaneous stock correlations. (2022). Sun, Chuanping ; Hiraki, Kazuhiro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:99-124.

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2022Economic evaluation of asset pricing models under predictability. (2022). Hansen, Erwin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:50-66.

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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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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 another 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]		paper185
2000CRASHES AS CRITICAL POINTS.(2000) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 185		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 another version. Agregated cites: 143		article
2001Flexible multivariate GARCH modeling with an application to international stock markets.(2001) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 143		paper
2000A well conditioned estimator for large dimensional covariance matrices In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper397
2004A well-conditioned estimator for large-dimensional covariance matrices.(2004) In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 397		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]		paper493
2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection.(2003) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 493		article
2001Improved estimation of the covariance matrix of stock returns with an application to portofolio selection.(2001) In: Economics Working Papers.
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This paper has another version. Agregated cites: 493		paper
2017Numerical implementation of the QuEST function In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article9
2017Numerical implementation of the QuEST function.(2017) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2008Robust performance hypothesis testing with the Sharpe ratio In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article357
2008Robust Performance Hypothesis Testing with the Sharpe Ratio.(2008) In: IEW - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 357		paper
2015Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article37
2013Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions.(2013) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37		paper
2019Large Dynamic Covariance Matrices In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article90
2017Large dynamic covariance matrices.(2017) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 90		paper
2000Gain, Loss, and Asset Pricing In: Journal of Political Economy.
[Full Text][Citation analysis]		article134
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]		paper5
2018Robust performance hypothesis testing with smooth functions of population moments In: ECON - Working Papers.
[Full Text][Citation analysis]		paper2
2020The power of (non-)linear shrinking: a review and guide to covariance matrix estimation In: ECON - Working Papers.
[Full Text][Citation analysis]		paper8
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
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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