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 1 107
A novel estimator of earth's curvature (allowing for inference as well) 1 1 5 6 1 1 4 6
A well conditioned estimator for large dimensional covariance matrices 1 1 2 19 3 3 13 112
Analytical nonlinear shrinkage of large-dimensional covariance matrices 0 2 4 66 0 8 13 195
Approximate Arbitrage 0 0 0 11 0 0 1 56
Central limit theorems when data are dependent: addressing the pedagogical gaps 0 0 0 52 0 1 3 150
Choice Democracy 0 0 0 73 0 1 1 106
Crashes at Critical Points 0 0 1 24 0 0 4 74
Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies 0 0 2 34 0 2 4 74
Eigenvectors of some large sample covariance matrices ensembles 0 0 1 144 0 0 2 543
Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes 0 1 2 366 0 3 4 1,353
Factor models for portfolio selection in large dimensions: the good, the better and the ugly 0 1 5 108 0 3 14 157
Flexible Multivariate GARCH Modeling With an Application to International Stock Markets 0 0 0 5 0 0 1 40
Flexible multivariate GARCH modeling with an application to international stock markets 0 0 0 503 0 1 2 1,042
Honey, I Shrunk the Sample Covariance Matrix 0 0 0 58 2 6 26 214
Honey, I shrunk the sample covariance matrix 0 1 7 1,058 3 12 51 3,791
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 0 0 4 30 1 3 15 127
Improved estimation of the covariance matrix of stock returns with an application to portofolio selection 0 0 7 1,031 2 4 32 2,882
Large dynamic covariance matrices 0 2 6 129 1 5 19 250
Large dynamic covariance matrices: enhancements based on intraday data 0 0 1 51 1 2 9 87
Markowitz portfolios under transaction costs 0 1 7 33 0 4 25 45
Nonlinear shrinkage estimation of large-dimensional covariance matrices 0 0 1 106 0 0 3 232
Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks 0 1 8 124 1 3 13 372
Numerical implementation of the QuEST function 0 1 2 26 0 1 6 88
Optimal estimation of a large-dimensional covariance matrix under Stein’s loss 0 1 2 37 0 1 2 75
Quadratic shrinkage for large covariance matrices 0 2 5 43 1 3 11 75
Relative Pricing of Options with Stochastic Volatility 0 1 1 30 0 2 2 110
Risk reduction and efficiency increase in large portfolios: leverage and shrinkage 0 0 2 18 1 2 4 57
Robust Performance Hypothesis Testing with the Sharpe Ratio 0 1 2 637 2 4 18 2,168
Robust performance hypothesis testing with smooth functions of population moments 0 0 0 42 0 1 2 28
Robust performance hypothesis testing with the variance 0 0 1 26 1 1 2 149
Shrinkage estimation of large covariance matrices: keep it simple, statistician? 0 1 2 38 1 8 14 117
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size 0 0 0 231 0 0 4 859
Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions 1 1 1 117 1 3 6 304
The coexistence of commodity money and fiat money 0 0 2 113 0 2 7 423
The power of (non-)linear shrinking: a review and guide to covariance matrix estimation 0 2 7 71 0 5 27 180
The redistributive effects of monetary policy 0 0 1 153 0 0 3 412
Total Working Papers 3 21 91 5,636 22 95 368 17,060


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 6 146 1 9 20 546
CRASHES AS CRITICAL POINTS 0 1 4 18 0 2 11 61
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets 0 0 1 267 0 0 3 691
Gain, Loss, and Asset Pricing 0 0 0 128 0 0 2 316
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 3 9 32 885 9 23 86 2,289
Large Dynamic Covariance Matrices 0 0 3 10 0 2 11 70
Numerical implementation of the QuEST function 0 0 0 1 0 1 1 28
Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market 0 0 1 76 0 0 1 372
Robust performance hypothesis testing with the Sharpe ratio 1 3 12 170 5 16 60 807
Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions 0 2 6 19 1 6 15 73
Total Journal Articles 4 16 65 1,720 16 59 210 5,253


Statistics updated 2024-05-04