| 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 |
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