12
H index
15
i10 index
2105
Citations
Universität Zürich | 12 H index 15 i10 index 2105 Citations RESEARCH PRODUCTION: 10 Articles 37 Papers RESEARCH ACTIVITY: 28 years (1996 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/ple718 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Olivier Ledoit. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Empirical Finance | 2 |
Journal of Multivariate Analysis | 2 |
Working Papers Series with more than one paper published | # docs |
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University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA | 4 |
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística | 2 |
Year | Title of citing document | |
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2023 | Institutional Stock-Bond Portfolios Rebalancing and Financial Stability. (2023). Hasse, Jean-Baptiste ; Siagh, Souhila ; Lecourt, Christelle. In: AMSE Working Papers. RePEc:aim:wpaimx:2322. Full description at Econpapers || Download paper | |
2023 | Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning. (2020). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2005.08703. Full description at Econpapers || Download paper | |
2023 | Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435. Full description at Econpapers || Download paper | |
2024 | A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708. Full description at Econpapers || Download paper | |
2023 | Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757. Full description at Econpapers || Download paper | |
2023 | Mean-Covariance Robust Risk Measurement. (2021). Filipovi, Damir ; Abadeh, Soroosh Shafieezadeh ; Nguyen, Viet Anh ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:2112.09959. Full description at Econpapers || Download paper | |
2023 | Canonical Portfolios: Optimal Asset and Signal Combination. (2022). Tan, Vincent ; Zohren, Stefan ; Firoozye, Nick. In: Papers. RePEc:arx:papers:2202.10817. Full description at Econpapers || Download paper | |
2024 | Global combinations of expert forecasts. (2022). Vasnev, Andrey L ; Thompson, Ryan ; Qian, Yilin. In: Papers. RePEc:arx:papers:2207.07318. Full description at Econpapers || Download paper | |
2023 | Combining Forecasts under Structural Breaks Using Graphical LASSO. (2022). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2209.01697. Full description at Econpapers || Download paper | |
2024 | Optimal Bubble Riding: A Mean Field Game with Varying Entry Times. (2022). Wang, Shichun ; Tangpi, Ludovic. In: Papers. RePEc:arx:papers:2209.04001. Full description at Econpapers || Download paper | |
2023 | When 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. Full description at Econpapers || Download paper | |
2024 | A GRU-Based Dynamic Generative Factor Model for CVaR Portfolio Optimization. (2023). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318. Full description at Econpapers || Download paper | |
2023 | Risk Budgeting Portfolios from Simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Bernardo Freitas. In: Papers. RePEc:arx:papers:2302.01196. Full description at Econpapers || Download paper | |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper | |
2024 | Co-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. Full description at Econpapers || Download paper | |
2023 | A parsimonious inverse Cox-Ingersoll-Ross process for financial price modeling. (2023). Sornette, Didier ; Lin, LI. In: Papers. RePEc:arx:papers:2302.11423. Full description at Econpapers || Download paper | |
2023 | Forecasting 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. Full description at Econpapers || Download paper | |
2023 | Why Topological Data Analysis Detects Financial Bubbles?. (2023). Nateghi, Vahid ; Manzi, Matteo ; Gidea, Marian ; Akingbade, Samuel W. In: Papers. RePEc:arx:papers:2304.06877. Full description at Econpapers || Download paper | |
2023 | Ledoit-Wolf linear shrinkage with unknown mean. (2023). Miot, Alexandre ; Oriol, Benoit. In: Papers. RePEc:arx:papers:2304.07045. Full description at Econpapers || Download paper | |
2024 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
2023 | Portfolio Optimization Rules beyond the Mean-Variance Approach. (2023). Markov, Vladimir. In: Papers. RePEc:arx:papers:2305.08530. Full description at Econpapers || Download paper | |
2023 | Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169. Full description at Econpapers || Download paper | |
2023 | Random matrix theory and nested clustered portfolios on Mexican markets. (2023). Rodrigu, Benito ; Garc, Andr'Es. In: Papers. RePEc:arx:papers:2306.05667. Full description at Econpapers || Download paper | |
2023 | Hedging Forecast Combinations With an Application to the Random Forest. (2023). Wolf, Michael ; Kozbur, Damian ; Beck, Elliot. In: Papers. RePEc:arx:papers:2308.15384. Full description at Econpapers || Download paper | |
2023 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers || Download paper | |
2023 | Diffusion 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. Full description at Econpapers || Download paper | |
2023 | Covariance 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. Full description at Econpapers || Download paper | |
2023 | Topological Portfolio Selection and Optimization. (2023). Aste, Tomaso ; Briola, Antonio ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2310.14881. Full description at Econpapers || Download paper | |
2023 | Portfolio Construction using Black-Litterman Model and Factors. (2023). Zhao, Fanyu. In: Papers. RePEc:arx:papers:2311.04475. Full description at Econpapers || Download paper | |
2023 | Optimal portfolio allocation with uncertain covariance matrix. (2023). Markov, Vladimir. In: Papers. RePEc:arx:papers:2311.07478. Full description at Econpapers || Download paper | |
2023 | Generative Machine Learning for Multivariate Equity Returns. (2023). Gopal, Achintya ; Tepelyan, Ruslan. In: Papers. RePEc:arx:papers:2311.14735. Full description at Econpapers || Download paper | |
2023 | A General Framework for Portfolio Construction Based on Generative Models of Asset Returns. (2023). Chen, Kan ; Cheng, Tuoyuan. In: Papers. RePEc:arx:papers:2312.03294. Full description at Econpapers || Download paper | |
2024 | Navigating 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 | |
2024 | Randomized Control in Performance Analysis and Empirical Asset Pricing. (2024). Tsigaridas, Elias ; Fisikopoulos, Vissarion ; Chalkis, Apostolos ; Bachelard, Cyril. In: Papers. RePEc:arx:papers:2403.00009. Full description at Econpapers || Download paper | |
2024 | Portfolio management using graph centralities: Review and comparison. (2024). Vrontos, Spyridon ; Noferini, Vanni ; Arslan, Bahar. In: Papers. RePEc:arx:papers:2404.00187. Full description at Econpapers || Download paper | |
2023 | Integrating 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. Full description at Econpapers || Download paper | |
2023 | Model 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. Full description at Econpapers || Download paper | |
2024 | Information?driven stock price comovement. (2021). Shang, Danjue ; Box, Travis. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:2:p:403-429. Full description at Econpapers || Download paper | |
2024 | . Full description at Econpapers || Download paper | |
2023 | Factorized 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. Full description at Econpapers || Download paper | |
2023 | Using GPT-4 for Financial Advice. (2023). Streich, David J ; Hornuf, Lars ; Fieberg, Christian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10529. Full description at Econpapers || Download paper | |
2023 | Hierarchical learning, forecasting coherent spatio-temporal individual and aggregated building loads. (2023). Zeiler, Wim ; Moller, Jan Kloppenborg ; Madsen, Henrik ; Leprince, Julien. In: Applied Energy. RePEc:eee:appene:v:348:y:2023:i:c:s0306261923008747. Full description at Econpapers || Download paper | |
2023 | Investor 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. Full description at Econpapers || Download paper | |
2024 | Dynamic 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 | |
2023 | Monetary policy and bubbles in G7 economies using a panel VAR approach: Implications for sustainable development. (2023). GUPTA, RANGAN ; Caraiani, Petre ; Nielsen, Joshua ; Nel, Jacobus. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:133-155. Full description at Econpapers || Download paper | |
2023 | Positive and negative price bubbles of Chinese agricultural commodity futures. (2023). Chang, Chiu-Lan ; Lin, Yizhou ; Fang, Ming. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:456-471. Full description at Econpapers || Download paper | |
2023 | Semiparametric 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | On the role of interest rate differentials in the dynamic asymmetry of exchange rates. (2023). Ulm, M ; Hambuckers, J. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003668. Full description at Econpapers || Download paper | |
2024 | Robust portfolio selection with smart return prediction. (2024). Li, Bin ; Tu, Xueyong. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000750. Full description at Econpapers || Download paper | |
2024 | Benefits of diversification in EU capital markets: Evidence from stock portfolios. (2024). Jehle, Camille ; Gosse, Jean-Baptiste. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000816. Full description at Econpapers || Download paper | |
2023 | Can 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. Full description at Econpapers || Download paper | |
2024 | Dynamic 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 | |
2024 | Application of the LPPL model in the identification and measurement of structural bubbles in the Chinese stock market. (2024). Zhang, Han ; Ji, Hongyun. 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 | |
2023 | Asymmetric volatility impulse response functions. (2023). Herwartz, Helmut ; Hafner, Christian M. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004426. Full description at Econpapers || Download paper | |
2023 | Testing 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Modeling 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. Full description at Econpapers || Download paper | |
2023 | Binary response models for heterogeneous panel data with interactive fixed effects. (2023). GAO, Jiti ; Yan, Yayi ; Peng, Bin ; Liu, Fei. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1654-1679. Full description at Econpapers || Download paper | |
2023 | Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models. (2023). Medeiros, Marcelo ; Caner, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:393-417. Full description at Econpapers || Download paper | |
2024 | Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. (2024). Yang, Songshan ; Wen, Jiawei ; Li, Changcheng ; Cai, Zhanrui. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622000902. Full description at Econpapers || Download paper | |
2024 | Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Zhong, Wei ; Yang, Yanrong ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646. Full description at Econpapers || Download paper | |
2024 | Robustifying Markowitz. (2024). Zhivotovskiy, Nikita ; Hardle, Wolfgang Karl ; Klochkov, Yegor ; Petukhina, Alla. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000180. Full description at Econpapers || Download paper | |
2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper | |
2024 | Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30. Full description at Econpapers || Download paper | |
2023 | Corporate 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. Full description at Econpapers || Download paper | |
2023 | Pairs 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. Full description at Econpapers || Download paper | |
2023 | Cardinality-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. Full description at Econpapers || Download paper | |
2023 | Portfolio selection: A target-distribution approach. (2023). Vrins, Frédéric ; Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:302-314. Full description at Econpapers || Download paper | |
2023 | Risk budgeting portfolios from simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Freitas B. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:3:p:1040-1056. Full description at Econpapers || Download paper | |
2024 | First passage times in portfolio optimization: A novel nonparametric approach. (2024). , Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Modeling 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. Full description at Econpapers || Download paper | |
2023 | Using, 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. Full description at Econpapers || Download paper | |
2023 | Uncertainty 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. Full description at Econpapers || Download paper | |
2023 | Time 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. Full description at Econpapers || Download paper | |
2023 | When “time varying” volatility meets “transaction cost” in portfolio selection. (2023). Li, E ; Wen, T ; Liao, Y ; Gibberd, A ; Bu, D ; Qiao, W. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:220-237. Full description at Econpapers || Download paper | |
2023 | Futures contract collateralization and its implications. (2023). Jarrow, Robert ; Kwok, Simon S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000890. Full description at Econpapers || Download paper | |
2023 | A financial modeling approach to industry exchange-traded funds selection. (2023). Conlon, Thomas ; cotter, john ; Post, Thierry ; Kovalenko, Illia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001081. Full description at Econpapers || Download paper | |
2023 | Attention to oil prices and its impact on the oil, gold and stock markets and their covariance. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s014098832300141x. Full description at Econpapers || Download paper | |
2024 | Extreme events, economic uncertainty and speculation on occurrences of price bubbles in crude oil futures. (2024). Chang, Chiu-Lan. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000264. Full description at Econpapers || Download paper | |
2024 | Stock market bubbles and the realized volatility of oil price returns. (2024). Pierdzioch, Christian ; Nielsen, Joshua ; Gupta, Rangan. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001403. Full description at Econpapers || Download paper | |
2024 | Monetary policy uncertainty and the price bubbles in energy markets. (2024). Cao, Yang ; Liang, Chao ; Dong, Dayong ; Yang, Jinyu. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002111. Full description at Econpapers || Download paper | |
2023 | Betting against beta with intraday and overnight signals. (2023). Insana, Alessandra. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000583. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2000 | Improved 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] | paper | 527 |
2003 | Improved 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: 527 | article | |
2001 | Improved 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: 527 | paper | |
2017 | Numerical implementation of the QuEST function In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 10 |
2017 | Numerical implementation of the QuEST function.(2017) In: ECON - Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2008 | Robust performance hypothesis testing with the Sharpe ratio In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 391 |
2008 | Robust Performance Hypothesis Testing with the Sharpe Ratio.(2008) In: IEW - Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 391 | paper | |
2015 | Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 40 |
2013 | Spectrum 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: 40 | paper | |
2019 | Large Dynamic Covariance Matrices In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 106 |
2017 | Large dynamic covariance matrices.(2017) In: ECON - Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 106 | paper | |
2000 | Gain, Loss, and Asset Pricing In: Journal of Political Economy. [Full Text][Citation analysis] | article | 140 |
2001 | Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size In: Economics Working Papers. [Full Text][Citation analysis] | paper | 2 |
1999 | Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes In: Finance. [Full Text][Citation analysis] | paper | 0 |
2011 | The coexistence of commodity money and fiat money In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Choice Democracy In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | The redistributive effects of monetary policy In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 12 |
2013 | A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Optimal estimation of a large-dimensional covariance matrix under Stein’s loss In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 2 |
2017 | Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Analytical nonlinear shrinkage of large-dimensional covariance matrices In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Factor models for portfolio selection in large dimensions: the good, the better and the ugly In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 6 |
2018 | Robust performance hypothesis testing with smooth functions of population moments In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 3 |
2020 | The power of (non-)linear shrinking: a review and guide to covariance matrix estimation In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 11 |
2020 | Shrinkage estimation of large covariance matrices: keep it simple, statistician? In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Risk reduction and efficiency increase in large portfolios: leverage and shrinkage In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 5 |
2020 | Quadratic shrinkage for large covariance matrices In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Large dynamic covariance matrices: enhancements based on intraday data In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 10 |
2024 | Markowitz portfolios under transaction costs In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | A novel estimator of earths curvature (allowing for inference as well) In: ECON - Working Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | Eigenvectors of some large sample covariance matrices ensembles In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Central limit theorems when data are dependent: addressing the pedagogical gaps In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Nonlinear shrinkage estimation of large-dimensional covariance matrices In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 2 |
2010 | Robust performance hypothesis testing with the variance In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 0 |
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