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 3 4 17 1 11 18 94
Analytical nonlinear shrinkage of large-dimensional covariance matrices 0 1 4 56 1 4 24 171
Approximate Arbitrage 0 0 0 11 0 0 4 55
Central limit theorems when data are dependent: addressing the pedagogical gaps 0 0 1 52 0 0 2 147
Choice Democracy 0 1 1 73 0 2 3 103
Crashes at Critical Points 0 0 0 22 0 0 2 69
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 1 1 143 0 1 1 540
Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes 0 0 0 364 0 0 1 1,348
Factor models for portfolio selection in large dimensions: the good, the better and the ugly 0 1 3 97 3 6 18 130
Flexible Multivariate GARCH Modeling With an Application to International Stock Markets 0 0 0 4 0 0 1 37
Flexible multivariate GARCH modeling with an application to international stock markets 0 0 0 502 0 0 3 1,039
Honey, I Shrunk the Sample Covariance Matrix 1 2 4 54 3 8 15 174
Honey, I shrunk the sample covariance matrix 0 0 6 1,048 0 1 39 3,730
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 0 2 5 26 4 9 19 101
Improved estimation of the covariance matrix of stock returns with an application to portofolio selection 0 3 17 1,018 6 12 52 2,830
Large dynamic covariance matrices 0 0 3 122 3 4 20 225
Large dynamic covariance matrices: enhancements based on intraday data 1 1 8 49 2 4 19 73
Markowitz portfolios under transaction costs 0 0 0 0 0 0 0 0
Nonlinear shrinkage estimation of large-dimensional covariance matrices 0 0 0 105 0 0 1 229
Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks 0 1 2 115 0 3 8 354
Numerical implementation of the QuEST function 0 0 0 24 2 3 7 77
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 0 7 37 4 5 23 58
Relative Pricing of Options with Stochastic Volatility 0 0 1 29 1 2 7 108
Risk reduction and efficiency increase in large portfolios: leverage and shrinkage 0 0 2 15 3 4 13 47
Robust Performance Hypothesis Testing with the Sharpe Ratio 0 0 2 633 1 4 27 2,132
Robust performance hypothesis testing with smooth functions of population moments 0 0 0 42 1 2 3 26
Robust performance hypothesis testing with the variance 0 0 0 25 0 0 1 147
Shrinkage estimation of large covariance matrices: keep it simple, statistician? 1 2 5 33 1 4 9 97
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size 0 0 1 231 0 0 2 853
Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions 0 0 2 116 1 3 8 296
The coexistence of commodity money and fiat money 0 0 0 111 0 1 4 408
The power of (non-)linear shrinking: a review and guide to covariance matrix estimation 0 0 4 61 2 5 41 135
The redistributive effects of monetary policy 0 0 1 152 0 0 2 406
Total Working Papers 3 18 84 5,477 39 98 399 16,488


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 2 2 10 138 5 10 47 512
CRASHES AS CRITICAL POINTS 1 1 2 10 1 2 8 40
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets 0 1 3 265 0 1 6 687
Gain, Loss, and Asset Pricing 0 0 1 127 1 3 10 309
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 5 13 57 807 18 51 164 2,088
Large Dynamic Covariance Matrices 2 2 2 6 4 5 18 56
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 2 2 4 75 2 3 7 371
Robust performance hypothesis testing with the Sharpe ratio 0 0 8 155 5 12 64 719
Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions 1 1 4 11 2 3 9 50
Total Journal Articles 13 22 91 1,595 38 90 333 4,856


Statistics updated 2022-11-05