Access Statistics for Olivier Ledoit

Author contact details at EconPapers.

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 0 0 0 107
A novel estimator of earth's curvature (allowing for inference as well) 0 0 2 7 0 1 4 9
A well conditioned estimator for large dimensional covariance matrices 0 0 2 20 1 3 15 124
Analytical nonlinear shrinkage of large-dimensional covariance matrices 0 2 3 68 1 7 16 205
Approximate Arbitrage 0 0 0 11 0 1 1 57
Central limit theorems when data are dependent: addressing the pedagogical gaps 0 1 2 54 1 2 5 155
Choice Democracy 0 0 0 73 1 3 6 111
Crashes at Critical Points 0 0 0 24 1 4 6 80
Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies 0 0 0 34 0 0 2 75
Eigenvectors of some large sample covariance matrices ensembles 0 0 0 144 1 1 2 545
Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes 0 0 1 366 1 2 7 1,358
Factor models for portfolio selection in large dimensions: the good, the better and the ugly 0 1 1 109 0 4 10 165
Flexible Multivariate GARCH Modeling With an Application to International Stock Markets 0 0 1 6 0 0 1 41
Flexible multivariate GARCH modeling with an application to international stock markets 0 0 0 503 0 0 1 1,043
Honey, I Shrunk the Sample Covariance Matrix 1 1 4 62 3 8 35 245
Honey, I shrunk the sample covariance matrix 0 2 4 1,061 2 10 34 3,813
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 0 0 1 31 0 2 8 133
Improved estimation of the covariance matrix of stock returns with an application to portofolio selection 0 0 3 1,034 0 3 15 2,894
Large dynamic covariance matrices 0 0 3 130 0 1 8 254
Large dynamic covariance matrices: enhancements based on intraday data 0 2 3 54 2 6 14 99
Markowitz portfolios under transaction costs 0 1 5 37 1 9 25 66
Nonlinear shrinkage estimation of large-dimensional covariance matrices 0 0 0 106 0 0 1 233
Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks 0 0 2 125 1 1 6 375
Numerical implementation of the QuEST function 0 0 1 26 0 0 2 89
Optimal estimation of a large-dimensional covariance matrix under Stein’s loss 0 0 1 37 1 2 5 79
Quadratic shrinkage for large covariance matrices 0 1 3 44 1 2 11 83
Relative Pricing of Options with Stochastic Volatility 0 0 0 30 1 1 1 111
Risk reduction and efficiency increase in large portfolios: leverage and shrinkage 0 1 1 19 0 2 5 60
Robust Performance Hypothesis Testing with the Sharpe Ratio 0 0 4 640 0 0 14 2,178
Robust performance hypothesis testing with smooth functions of population moments 0 1 1 43 1 3 5 32
Robust performance hypothesis testing with the variance 0 0 0 26 0 0 2 150
Shrinkage estimation of large covariance matrices: keep it simple, statistician? 0 1 2 39 1 3 11 123
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size 0 0 0 231 2 2 4 863
Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions 0 0 1 117 1 1 5 307
The coexistence of commodity money and fiat money 0 0 0 113 0 0 9 430
The power of (non-)linear shrinking: a review and guide to covariance matrix estimation 0 1 4 74 2 4 19 195
The redistributive effects of monetary policy 1 4 5 158 2 7 9 421
Total Working Papers 2 19 60 5,679 28 95 324 17,308


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A well-conditioned estimator for large-dimensional covariance matrices 1 1 5 150 6 11 39 578
CRASHES AS CRITICAL POINTS 0 1 2 19 0 4 7 67
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets 0 0 1 268 0 0 1 692
Gain, Loss, and Asset Pricing 0 0 1 129 0 1 4 320
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 0 3 23 902 1 14 77 2,348
Large Dynamic Covariance Matrices 0 2 3 13 2 4 10 79
Numerical implementation of the QuEST function 0 0 0 1 0 0 1 28
Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market 0 1 3 79 1 3 5 377
Robust performance hypothesis testing with the Sharpe ratio 0 1 12 181 3 9 60 855
Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions 0 0 3 20 1 3 11 78
Total Journal Articles 1 9 53 1,762 14 49 215 5,422


Statistics updated 2025-03-03