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 1 1 3 21 3 5 18 127
Analytical nonlinear shrinkage of large-dimensional covariance matrices 0 1 2 68 1 4 11 206
Approximate Arbitrage 0 0 0 11 0 1 1 57
Central limit theorems when data are dependent: addressing the pedagogical gaps 0 0 2 54 0 1 5 155
Choice Democracy 0 0 0 73 0 1 5 111
Crashes at Critical Points 0 0 0 24 1 2 7 81
Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies 0 0 0 34 0 0 1 75
Eigenvectors of some large sample covariance matrices ensembles 0 0 0 144 1 2 3 546
Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes 0 0 0 366 0 2 5 1,358
Factor models for portfolio selection in large dimensions: the good, the better and the ugly 0 0 1 109 0 1 8 165
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 2 5 63 3 9 36 248
Honey, I shrunk the sample covariance matrix 0 1 3 1,061 7 14 32 3,820
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 0 0 1 31 4 4 11 137
Improved estimation of the covariance matrix of stock returns with an application to portofolio selection 1 1 4 1,035 2 4 16 2,896
Large dynamic covariance matrices 0 0 1 130 0 0 5 254
Large dynamic covariance matrices: enhancements based on intraday data 0 0 3 54 0 3 13 99
Markowitz portfolios under transaction costs 0 0 4 37 1 6 22 67
Nonlinear shrinkage estimation of large-dimensional covariance matrices 0 0 0 106 1 1 2 234
Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks 0 0 1 125 1 2 5 376
Numerical implementation of the QuEST function 0 0 0 26 0 0 1 89
Optimal estimation of a large-dimensional covariance matrix under Stein’s loss 0 0 0 37 0 1 4 79
Quadratic shrinkage for large covariance matrices 1 1 2 45 1 2 10 84
Relative Pricing of Options with Stochastic Volatility 0 0 0 30 0 1 1 111
Risk reduction and efficiency increase in large portfolios: leverage and shrinkage 0 0 1 19 0 1 4 60
Robust Performance Hypothesis Testing with the Sharpe Ratio 0 0 3 640 0 0 12 2,178
Robust performance hypothesis testing with smooth functions of population moments 0 0 1 43 0 1 4 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 0 1 39 0 2 7 123
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size 0 0 0 231 0 2 4 863
Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions 0 0 1 117 0 1 4 307
The coexistence of commodity money and fiat money 0 0 0 113 0 0 7 430
The power of (non-)linear shrinking: a review and guide to covariance matrix estimation 0 0 3 74 1 4 16 196
The redistributive effects of monetary policy 0 4 5 158 0 7 9 421
Total Working Papers 4 11 50 5,683 27 85 297 17,335


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 1 4 150 0 7 33 578
CRASHES AS CRITICAL POINTS 0 0 1 19 2 2 8 69
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 0 4 320
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 1 3 21 903 1 9 69 2,349
Large Dynamic Covariance Matrices 1 3 4 14 1 5 10 80
Numerical implementation of the QuEST function 0 0 0 1 0 0 0 28
Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market 0 1 3 79 0 3 5 377
Robust performance hypothesis testing with the Sharpe ratio 1 1 13 182 3 8 56 858
Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions 0 0 1 20 0 3 6 78
Total Journal Articles 3 9 49 1,765 7 37 192 5,429


Statistics updated 2025-04-04