Michael Wolf : Citation Profile

Are you Michael Wolf?

Universität Zürich

23

H index

31

i10 index

3701

Citations

RESEARCH PRODUCTION:

24

Articles

64

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1997 - 2024). See details.
   Cites by year: 137
   Journals where Michael Wolf has often published
   Relations with other researchers
   Recent citing documents: 481.    Total self citations: 49 (1.31 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwo206
   Updated: 2024-12-03    RAS profile: 2023-03-10    
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Relations with other researchers

Works with:

Ledoit, Olivier (6)

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

Is cited by:

Hermes, Henning (62)

Heckman, James (62)

Shaikh, Azeem (45)

Meghir, Costas (42)

Peter, Frauke (41)

Wiederhold, Simon (38)

Chernozhukov, Victor (36)

List, John (31)

Carneiro, Pedro (31)

LINTON, OLIVER (29)

Doyle, Orla (28)

Cites to:

Ledoit, Olivier (63)

Engle, Robert (26)

Andrews, Donald (23)

Pischke, Jorn-Steffen (12)

Uppal, Raman (12)

Angrist, Joshua (12)

Heckman, James (10)

French, Kenneth (10)

Savelyev, Peter (10)

Shaikh, Azeem (10)

Pinto, Rodrigo (10)

Main data

Where Michael Wolf has published?

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

Working Papers Series with more than one paper published# docs
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística10
Working Papers / Barcelona School of Economics2

Recent works citing Michael Wolf (2024 and 2023)

YearTitle of citing document
2023Health Effects of Increasing Income for the Elderly: Evidence from a Chilean Pension Program. (2023). Navarrete, Pablo ; Miglino, Enrico. In: American Economic Journal: Economic Policy. RePEc:aea:aejpol:v:15:y:2023:i:1:p:370-93.

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2023Turning worries into cognitive performance: Results from an online experiment during Covid. (2023). Raiber, Eva ; Saenz, Daniela Horta ; Demont, Timothee. In: AMSE Working Papers. RePEc:aim:wpaimx:2302.

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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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2024The Impact of COVID-19 on Peer Relationships: Insights from Classroom Social Networks. (2024). Turkum, Betul ; Agus, Yusuf. In: AMSE Working Papers. RePEc:aim:wpaimx:2415.

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2023Sensitivity to measurement errors of the distance to the efficient frontier. (2023). Vanhems, Anne ; Szafarz, Ariane ; Simar, Leopold ; Briere, Marie. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023017.

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2023Debunking Fake News on Social Media: Short-Term and Longer-Term Effects of Fact Checking and Media Literacy Interventions. (2023). Munster, Johannes ; Mindl, Felix ; Kerkhof, Anna ; Berger, Lara. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:262.

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2023THE IMPACT OF HIGH TEMPERATURES ON PERFORMANCE IN WORK-RELATED ACTIVITIES. (2023). Picchio, Matteo ; van Ours, Jan C. In: Working Papers. RePEc:anc:wpaper:484.

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2023Community Matters: Heterogeneous Impacts of a Sanitation Intervention. (2023). Lührmann, Melanie ; Rud, Juan Pablo ; Oteiza, Francisco ; Luhrmann, Melanie ; Augsburg, Britta ; Abramovsky, Laura. In: Working Papers. RePEc:aoz:wpaper:210.

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2023Confidence set for group membership. (2018). Okui, Ryo ; Dzemski, Andreas. In: Papers. RePEc:arx:papers:1801.00332.

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2024Normal Approximation in Large Network Models. (2019). Leung, Michael ; Moon, Hyungsik Roger. In: Papers. RePEc:arx:papers:1904.11060.

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2024Extended MinP Tests of Multiple Hypotheses. (2019). Lu, Zeng-Hua. In: Papers. RePEc:arx:papers:1911.04696.

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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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2024A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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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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2024Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809.

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2024DoubleML -- An Object-Oriented Implementation of Double Machine Learning in R. (2021). Spindler, Martin ; Kurz, Malte S ; Chernozhukov, Victor ; Bach, Philipp. In: Papers. RePEc:arx:papers:2103.09603.

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2023Valid Heteroskedasticity Robust Testing. (2021). Potscher, Benedikt M ; Preinerstorfer, David. In: Papers. RePEc:arx:papers:2104.12597.

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2024(When) should you adjust inferences for multiple hypothesis testing?. (2021). Wüthrich, Kaspar ; Niehaus, Paul ; Wuthrich, Kaspar ; Viviano, Davide. In: Papers. RePEc:arx:papers:2104.13367.

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2024On Recoding Ordered Treatments as Binary Indicators. (2021). Shem-Tov, Yotam ; Rose, Evan K. In: Papers. RePEc:arx:papers:2111.12258.

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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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2024Semiparametric Estimation of Dynamic Binary Choice Panel Data Models. (2022). Ouyang, FU. In: Papers. RePEc:arx:papers:2202.12062.

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2024Measuring Diagnostic Test Performance Using Imperfect Reference Tests: A Partial Identification Approach. (2022). Obradovi, Filip. In: Papers. RePEc:arx:papers:2204.00180.

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2024Global combinations of expert forecasts. (2022). Vasnev, Andrey L ; Thompson, Ryan ; Qian, Yilin. In: Papers. RePEc:arx:papers:2207.07318.

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2023Robust Tests of Model Incompleteness in the Presence of Nuisance Parameters. (2022). Kaido, Hiroaki ; Chen, Shuowen. In: Papers. RePEc:arx:papers:2208.11281.

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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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2023Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623.

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2024Effective and scalable programs to facilitate labor market transitions for women in technology. (2022). Palikot, Emil ; Athey, Susan. In: Papers. RePEc:arx:papers:2211.09968.

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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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2024Revisiting Panel Data Discrete Choice Models with Lagged Dependent Variables. (2023). Yang, Thomas Tao ; Ouyang, FU ; Dobronyi, Christopher R. In: Papers. RePEc:arx:papers:2301.09379.

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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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2023Sparse High-Dimensional Vector Autoregressive Bootstrap. (2023). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2302.01233.

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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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2024Co-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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2023Distributional Vector Autoregression: Eliciting Macro and Financial Dependence. (2023). Oka, Tatsushi ; Zhu, Dan ; Wang, Yunyun. In: Papers. RePEc:arx:papers:2303.04994.

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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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2023Ledoit-Wolf linear shrinkage with unknown mean. (2023). Miot, Alexandre ; Oriol, Benoit. In: Papers. RePEc:arx:papers:2304.07045.

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2023Generalized Automatic Least Squares: Efficiency Gains from Misspecified Heteroscedasticity Models. (2023). Gafarov, Bulat. In: Papers. RePEc:arx:papers:2304.07331.

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2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

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2024Hierarchical 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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2024Marginal Effects for Probit and Tobit with Endogeneity. (2023). Zeleneev, Andrei ; Kalnina, Ilze ; Evdokimov, Kirill S. In: Papers. RePEc:arx:papers:2306.14862.

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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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2024Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926.

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2023Unified Inference for Dynamic Quantile Predictive Regression. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2309.14160.

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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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2023Testing for equivalence of pre-trends in Difference-in-Differences estimation. (2023). Schumann, Martin ; Dette, Holger. In: Papers. RePEc:arx:papers:2310.15796.

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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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2024Navigating 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.

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

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

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2024A Primer on the Analysis of Randomized Experiments and a Survey of some Recent Advances. (2024). Tabord-Meehan, Max ; Shaikh, Azeem M ; Bai, Yuehao. In: Papers. RePEc:arx:papers:2405.03910.

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2023.

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2023.

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2023.

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2023Discrimination on the Child Care Market: A Nationwide Field Experiment. (2023). Wiederhold, Simon ; Peter, Frauke ; Mierisch, Fabian ; Lergetporer, Philipp ; Hermes, Henning. In: Working Papers. RePEc:bav:wpaper:225_hermesetal.

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2023Does bundling credit with index insurance boost agricultural technology adoption? Evidence from Ghana. (2023). Gallenstein, Richard A ; Mishra, Khushbu ; Mulangu, Francis ; Toledo, Patricia ; Miranda, Mario J ; Sam, Abdoul G. In: Agricultural Economics. RePEc:bla:agecon:v:54:y:2023:i:6:p:778-792.

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2024Mobile phone network expansion and agricultural income: A panel study. (2024). Kraehnert, Kati ; Fluhrer, Svenja. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:1:p:54-85.

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2023Estimating and inferring the maximum degree of stimulus?locked time?varying brain connectivity networks. (2021). Liu, Han ; Zhang, Tong ; Lu, Junwei ; Tan, Kean Ming. In: Biometrics. RePEc:bla:biomet:v:77:y:2021:i:2:p:379-390.

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2023Optimal multiple testing and design in clinical trials. (2023). Rosset, Saharon ; Krieger, Abba ; Heller, Ruth. In: Biometrics. RePEc:bla:biomet:v:79:y:2023:i:3:p:1908-1919.

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2023The physical and mental health returns of Head Start 25 years after participation: Evidence from income eligibility cutoffs. (2023). Lacey, Lindsey. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:4:p:870-890.

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2024Reject or revise: Gender differences in persistence and publishing in economics. (2024). Shurchkov, Olga ; Shastry, Gauri Kartini. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:3:p:933-956.

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2024On variable ordination of modified Cholesky decomposition for estimating time?varying covariance matrices. (2020). Tsui, Kamwah ; Deng, Xinwei ; Kang, Xiaoning ; Pourahmadi, Mohsen. In: International Statistical Review. RePEc:bla:istatr:v:88:y:2020:i:3:p:616-641.

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2023Simultaneous inference for linear mixed model parameters with an application to small area estimation. (2023). Sperlich, Stefan ; Lombardia, Maria Jose ; Reluga, Katarzyna. In: International Statistical Review. RePEc:bla:istatr:v:91:y:2023:i:2:p:193-217.

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

Works by Michael Wolf:

YearTitleTypeCited
2010Hypothesis Testing in Econometrics In: Annual Review of Economics.
[Full Text][Citation analysis]		article82
2009Hypothesis testing in econometrics.(2009) In: IEW - Working Papers.
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2005Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article269
2003Exact and approximate stepdown methods for multiple hypothesis testing.(2003) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 269		paper
2000Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem. In: Journal of Business & Economic Statistics.
[Citation analysis]		article36
2003Stepwise Multiple Testing as Formalized Data Snooping In: Working Papers.
[Full Text][Citation analysis]		paper554
2005Stepwise Multiple Testing as Formalized Data Snooping.(2005) In: Econometrica.
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2003Stepwise multiple testing as formalized data snooping.(2003) In: Economics Working Papers.
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2003Honey, I Shrunk the Sample Covariance Matrix In: Working Papers.
[Full Text][Citation analysis]		paper14
2003Honey, I shrunk the sample covariance matrix.(2003) In: Economics Working Papers.
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2007Avoiding data snooping in multilevel and mixed effects models In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article4
2005Avoiding Data Snooping in Multilevel and Mixed Effects Models.(2005) In: IEW - Working Papers.
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2004Inference for Autocorrelations in the Possible Presence of a Unit Root In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article6
2011Consonance and the Closure Method in Multiple Testing In: The International Journal of Biostatistics.
[Full Text][Citation analysis]		article10
2009Consonance and the closure method in multiple testing.(2009) In: IEW - Working Papers.
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1999Flexible Multivariate GARCH Modeling With an Application to International Stock Markets In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper143
2003Flexible Multivariate GARCH Modeling with an Application to International Stock Markets.(2003) In: The Review of Economics and Statistics.
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2001Flexible multivariate GARCH modeling with an application to international stock markets.(2001) In: Economics Working Papers.
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2000A well conditioned estimator for large dimensional covariance matrices In: DES - Working Papers. Statistics and Econometrics. WS.
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2004A well-conditioned estimator for large-dimensional covariance matrices.(2004) In: Journal of Multivariate Analysis.
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2000Improved estimation of the covariance matrix of stock returns with an application to portfolio selection In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper532
2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection.(2003) In: Journal of Empirical Finance.
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2001Improved estimation of the covariance matrix of stock returns with an application to portofolio selection.(2001) In: Economics Working Papers.
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2000Subsampling inference in cube root asymptotics with an application to manskis maximum score estimator In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper55
2001Subsampling inference in cube root asymptotics with an application to Manskis maximum score estimator.(2001) In: Economics Letters.
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1998Subsampling confidence intervals for the autoregressive root In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper3
1998Finite sample nonparametric inference and large sample efficiency In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
1999On the asymptotic theory of subsampling In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper17
1999Subsampling, symmetrization, and robust interpolation In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
1999Subsampling intervals in autoregressive models with linear time trend In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper55
2001Subsampling Intervals in Autoregressive Models with Linear Time Trend..(2001) In: Econometrica.
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2001Improved nonparametric confidence intervals in time series regressions In: DES - Working Papers. Statistics and Econometrics. WS.
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2002Improved nonparametric confidence intervals in time series regressions.(2002) In: Economics Working Papers.
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2006Improved Nonparametric Confidence Intervals in Time Series Regressions.(2006) In: IEW - Working Papers.
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2001Explicit nonparametric confidence intervals for the variance with guaranteed coverage In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2008FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES In: Econometric Theory.
[Full Text][Citation analysis]		article77
2005Formalized Data Snooping Based on Generalized Error Rates.(2005) In: IEW - Working Papers.
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2005Subsampling inference in threshold autoregressive models In: Journal of Econometrics.
[Full Text][Citation analysis]		article67
2001Subsampling inference in threshold autoregressive models.(2001) In: Economics Working Papers.
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2017Resurrecting weighted least squares In: Journal of Econometrics.
[Full Text][Citation analysis]		article40
2014Resurrecting weighted least squares.(2014) In: ECON - Working Papers.
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1997Subsampling for heteroskedastic time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article56
2008Robust performance hypothesis testing with the Sharpe ratio In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article394
2008Robust Performance Hypothesis Testing with the Sharpe Ratio.(2008) In: IEW - Working Papers.
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This paper has nother version. Agregated cites: 394		paper
2015Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions In: Journal of Multivariate Analysis.
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