| 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 |
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