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 0 106
A well conditioned estimator for large dimensional covariance matrices 0 0 4 17 1 2 16 97
Analytical nonlinear shrinkage of large-dimensional covariance matrices 2 4 6 60 5 8 25 180
Approximate Arbitrage 0 0 0 11 0 0 0 55
Central limit theorems when data are dependent: addressing the pedagogical gaps 0 0 1 52 0 0 1 147
Choice Democracy 0 0 1 73 0 0 4 105
Crashes at Critical Points 0 0 1 23 0 0 2 70
Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies 0 0 0 32 0 0 1 70
Eigenvectors of some large sample covariance matrices ensembles 0 0 1 143 0 0 1 540
Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes 0 0 0 364 0 0 1 1,349
Factor models for portfolio selection in large dimensions: the good, the better and the ugly 0 2 5 99 0 3 17 137
Flexible Multivariate GARCH Modeling With an Application to International Stock Markets 0 0 0 4 1 1 1 38
Flexible multivariate GARCH modeling with an application to international stock markets 0 0 0 502 0 0 2 1,039
Honey, I Shrunk the Sample Covariance Matrix 0 1 7 57 0 4 19 182
Honey, I shrunk the sample covariance matrix 0 0 2 1,048 1 2 24 3,735
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 0 0 5 26 3 5 22 108
Improved estimation of the covariance matrix of stock returns with an application to portofolio selection 1 4 12 1,022 7 11 50 2,845
Large dynamic covariance matrices 0 0 2 122 3 4 18 230
Large dynamic covariance matrices: enhancements based on intraday data 0 1 6 50 0 3 13 76
Markowitz portfolios under transaction costs 2 10 26 26 6 12 18 18
Nonlinear shrinkage estimation of large-dimensional covariance matrices 0 0 0 105 0 0 0 229
Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks 0 0 1 115 1 3 8 357
Numerical implementation of the QuEST function 0 0 0 24 0 0 7 78
Optimal estimation of a large-dimensional covariance matrix under Stein’s loss 0 0 0 35 0 0 1 73
Quadratic shrinkage for large covariance matrices 0 1 5 38 1 3 21 63
Relative Pricing of Options with Stochastic Volatility 0 0 1 29 0 0 3 108
Risk reduction and efficiency increase in large portfolios: leverage and shrinkage 0 0 1 16 0 1 11 49
Robust Performance Hypothesis Testing with the Sharpe Ratio 1 1 1 634 2 11 30 2,146
Robust performance hypothesis testing with smooth functions of population moments 0 0 0 42 0 0 3 26
Robust performance hypothesis testing with the variance 0 0 0 25 0 0 0 147
Shrinkage estimation of large covariance matrices: keep it simple, statistician? 1 1 6 35 2 3 12 102
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size 0 0 1 231 0 0 4 855
Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions 0 0 1 116 1 2 8 298
The coexistence of commodity money and fiat money 0 0 0 111 4 4 5 412
The power of (non-)linear shrinking: a review and guide to covariance matrix estimation 1 1 4 62 3 9 37 147
The redistributive effects of monetary policy 0 0 1 152 0 0 1 406
Total Working Papers 8 26 101 5,524 41 91 386 16,623


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 0 0 6 138 3 8 38 522
CRASHES AS CRITICAL POINTS 1 2 5 14 1 5 13 48
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets 0 0 3 265 0 0 4 687
Gain, Loss, and Asset Pricing 1 1 1 128 1 3 8 312
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 12 22 73 844 30 55 210 2,182
Large Dynamic Covariance Matrices 0 1 3 7 0 2 11 58
Numerical implementation of the QuEST function 0 0 0 1 0 0 0 24
Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market 0 0 3 75 0 0 5 371
Robust performance hypothesis testing with the Sharpe ratio 0 1 6 158 2 10 58 740
Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions 0 2 5 13 2 4 13 55
Total Journal Articles 14 29 105 1,643 39 87 360 4,999


Statistics updated 2023-03-10