| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction |
0 |
0 |
0 |
23 |
1 |
1 |
4 |
111 |
| A novel estimator of earth's curvature (allowing for inference as well) |
1 |
2 |
2 |
9 |
2 |
7 |
7 |
16 |
| A well conditioned estimator for large dimensional covariance matrices |
0 |
1 |
3 |
23 |
3 |
15 |
37 |
160 |
| Analytical nonlinear shrinkage of large-dimensional covariance matrices |
1 |
3 |
4 |
72 |
7 |
15 |
36 |
240 |
| Approximate Arbitrage |
0 |
0 |
0 |
11 |
2 |
3 |
3 |
60 |
| Central limit theorems when data are dependent: addressing the pedagogical gaps |
0 |
0 |
0 |
54 |
3 |
3 |
5 |
159 |
| Choice Democracy |
0 |
0 |
0 |
73 |
3 |
5 |
7 |
117 |
| Crashes at Critical Points |
0 |
0 |
1 |
25 |
0 |
1 |
5 |
84 |
| Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies |
0 |
0 |
0 |
34 |
2 |
4 |
7 |
82 |
| Eigenvectors of some large sample covariance matrices ensembles |
0 |
0 |
0 |
144 |
6 |
13 |
26 |
570 |
| Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes |
0 |
0 |
0 |
366 |
5 |
8 |
10 |
1,367 |
| Factor models for portfolio selection in large dimensions: the good, the better and the ugly |
0 |
1 |
1 |
110 |
6 |
13 |
18 |
183 |
| Flexible Multivariate GARCH Modeling With an Application to International Stock Markets |
0 |
0 |
0 |
6 |
6 |
10 |
10 |
51 |
| Flexible multivariate GARCH modeling with an application to international stock markets |
0 |
0 |
0 |
503 |
3 |
7 |
7 |
1,050 |
| Honey, I Shrunk the Sample Covariance Matrix |
0 |
1 |
3 |
64 |
7 |
12 |
34 |
276 |
| Honey, I shrunk the sample covariance matrix |
2 |
6 |
13 |
1,074 |
23 |
61 |
133 |
3,944 |
| Improved estimation of the covariance matrix of stock returns with an application to portfolio selection |
0 |
2 |
4 |
35 |
10 |
15 |
38 |
171 |
| Improved estimation of the covariance matrix of stock returns with an application to portofolio selection |
0 |
0 |
2 |
1,036 |
4 |
9 |
21 |
2,915 |
| Large dynamic covariance matrices |
0 |
0 |
1 |
131 |
4 |
5 |
12 |
266 |
| Large dynamic covariance matrices: enhancements based on intraday data |
0 |
0 |
0 |
54 |
6 |
15 |
20 |
117 |
| Markowitz portfolios under transaction costs |
1 |
2 |
6 |
43 |
6 |
9 |
22 |
87 |
| Nonlinear shrinkage estimation of large-dimensional covariance matrices |
1 |
1 |
1 |
107 |
4 |
5 |
8 |
241 |
| Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks |
1 |
1 |
2 |
127 |
6 |
12 |
40 |
414 |
| Numerical implementation of the QuEST function |
0 |
0 |
0 |
26 |
1 |
5 |
11 |
100 |
| Optimal estimation of a large-dimensional covariance matrix under Stein’s loss |
0 |
0 |
0 |
37 |
2 |
2 |
5 |
83 |
| Quadratic shrinkage for large covariance matrices |
1 |
1 |
2 |
46 |
5 |
12 |
25 |
107 |
| Relative Pricing of Options with Stochastic Volatility |
0 |
0 |
0 |
30 |
1 |
1 |
3 |
113 |
| Risk reduction and efficiency increase in large portfolios: leverage and shrinkage |
0 |
0 |
1 |
20 |
7 |
10 |
15 |
75 |
| Robust Performance Hypothesis Testing with the Sharpe Ratio |
0 |
1 |
5 |
645 |
14 |
29 |
58 |
2,236 |
| Robust performance hypothesis testing with smooth functions of population moments |
0 |
0 |
0 |
43 |
4 |
6 |
10 |
41 |
| Robust performance hypothesis testing with the variance |
0 |
1 |
1 |
27 |
2 |
8 |
9 |
159 |
| Shrinkage estimation of large covariance matrices: keep it simple, statistician? |
0 |
1 |
1 |
40 |
7 |
17 |
23 |
145 |
| Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size |
0 |
0 |
0 |
231 |
3 |
6 |
11 |
872 |
| Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions |
0 |
0 |
0 |
117 |
1 |
6 |
9 |
315 |
| The coexistence of commodity money and fiat money |
0 |
0 |
1 |
114 |
0 |
1 |
4 |
434 |
| The power of (non-)linear shrinking: a review and guide to covariance matrix estimation |
0 |
1 |
4 |
78 |
6 |
13 |
23 |
216 |
| The redistributive effects of monetary policy |
0 |
0 |
1 |
158 |
8 |
8 |
12 |
431 |
| Total Working Papers |
8 |
25 |
59 |
5,736 |
180 |
372 |
728 |
18,008 |
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