| 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 |
1 |
2 |
4 |
102 |
| A practical two-step method for testing moment inequalities |
0 |
0 |
0 |
51 |
0 |
2 |
8 |
177 |
| A well conditioned estimator for large dimensional covariance matrices |
1 |
1 |
4 |
10 |
1 |
4 |
21 |
49 |
| Analytical nonlinear shrinkage of large-dimensional covariance matrices |
0 |
3 |
11 |
45 |
1 |
11 |
36 |
104 |
| Avoiding Data Snooping in Multilevel and Mixed Effects Models |
0 |
0 |
0 |
112 |
0 |
2 |
9 |
410 |
| Balanced Control of Generalized Error Rates |
0 |
0 |
0 |
45 |
0 |
2 |
5 |
199 |
| Balanced bootstrap joint confidence bands for structural impulse response functions |
0 |
1 |
1 |
62 |
2 |
5 |
12 |
54 |
| Bootstrap joint prediction regions |
0 |
0 |
0 |
38 |
0 |
4 |
15 |
170 |
| Consonance and the closure method in multiple testing |
0 |
0 |
1 |
43 |
0 |
2 |
8 |
322 |
| Control of Generalized Error Rates in Multiple Testing |
0 |
0 |
2 |
185 |
0 |
3 |
7 |
836 |
| Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling |
0 |
0 |
0 |
145 |
0 |
1 |
7 |
603 |
| Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies |
0 |
0 |
2 |
31 |
0 |
1 |
15 |
63 |
| Efficient computation of adjusted p-values for resampling-based stepdown multiple testing |
0 |
0 |
2 |
39 |
2 |
5 |
17 |
93 |
| Exact and approximate stepdown methods for multiple hypothesis testing |
0 |
0 |
0 |
194 |
2 |
5 |
9 |
892 |
| Explicit nonparametric confidence intervals for the variance with guaranteed coverage |
0 |
0 |
0 |
70 |
0 |
4 |
8 |
349 |
| Factor models for portfolio selection in large dimensions: the good, the better and the ugly |
0 |
2 |
13 |
87 |
0 |
7 |
29 |
93 |
| Finite sample nonparametric inference and large sample efficiency |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
14 |
| Flexible Multivariate GARCH Modeling With an Application to International Stock Markets |
0 |
0 |
1 |
4 |
0 |
2 |
7 |
33 |
| Flexible multivariate GARCH modeling with an application to international stock markets |
0 |
0 |
1 |
501 |
2 |
5 |
10 |
1,026 |
| Formalized Data Snooping Based on Generalized Error Rates |
0 |
0 |
2 |
128 |
1 |
6 |
16 |
495 |
| Fund-of-funds construction by statistical multiple testing methods |
0 |
0 |
0 |
156 |
0 |
0 |
10 |
431 |
| Honey, I Shrunk the Sample Covariance Matrix |
0 |
1 |
9 |
47 |
1 |
7 |
25 |
142 |
| Honey, I shrunk the sample covariance matrix |
1 |
2 |
18 |
1,039 |
4 |
13 |
57 |
3,647 |
| Hypothesis testing in econometrics |
0 |
0 |
1 |
400 |
0 |
3 |
9 |
1,859 |
| Improved Nonparametric Confidence Intervals in Time Series Regressions |
0 |
0 |
0 |
132 |
0 |
0 |
4 |
481 |
| Improved estimation of the covariance matrix of stock returns with an application to portfolio selection |
2 |
3 |
10 |
19 |
5 |
9 |
27 |
69 |
| Improved estimation of the covariance matrix of stock returns with an application to portofolio selection |
0 |
1 |
22 |
990 |
2 |
10 |
57 |
2,736 |
| Improved nonparametric confidence intervals in time series regressions |
0 |
0 |
0 |
74 |
0 |
0 |
1 |
266 |
| Improved nonparametric confidence intervals in time series regressions |
0 |
0 |
1 |
243 |
0 |
0 |
3 |
1,051 |
| Improving weighted least squares inference |
0 |
1 |
1 |
29 |
0 |
1 |
4 |
26 |
| Large dynamic covariance matrices |
1 |
1 |
10 |
111 |
1 |
4 |
23 |
182 |
| Large dynamic covariance matrices: enhancements based on intraday data |
2 |
36 |
36 |
36 |
4 |
30 |
30 |
30 |
| Multiple testing of one-sided hypotheses: combining Bonferroni and the bootstrap |
0 |
0 |
0 |
29 |
0 |
1 |
8 |
36 |
| Nonlinear shrinkage estimation of large-dimensional covariance matrices |
0 |
0 |
3 |
105 |
0 |
1 |
8 |
224 |
| Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks |
0 |
0 |
2 |
110 |
0 |
0 |
10 |
332 |
| Numerical implementation of the QuEST function |
0 |
0 |
2 |
24 |
0 |
2 |
9 |
63 |
| On the asymptotic theory of subsampling |
0 |
0 |
0 |
0 |
1 |
2 |
6 |
14 |
| Optimal estimation of a large-dimensional covariance matrix under Stein’s loss |
0 |
0 |
2 |
34 |
0 |
1 |
7 |
65 |
| Optimal testing of multiple hypotheses with common effect direction |
0 |
0 |
0 |
30 |
0 |
2 |
8 |
121 |
| Quadratic shrinkage for large covariance matrices |
0 |
1 |
26 |
26 |
0 |
2 |
19 |
19 |
| Resampling vs. Shrinkage for Benchmarked Managers |
0 |
0 |
1 |
228 |
3 |
4 |
12 |
671 |
| Resurrecting weighted least squares |
0 |
0 |
1 |
133 |
2 |
3 |
12 |
265 |
| Robust Performance Hypothesis Testing with the Sharpe Ratio |
0 |
0 |
12 |
625 |
5 |
18 |
70 |
2,016 |
| Robust performance hypothesis testing with smooth functions of population moments |
0 |
0 |
2 |
42 |
0 |
1 |
7 |
20 |
| Robust performance hypothesis testing with the variance |
0 |
0 |
0 |
25 |
0 |
1 |
4 |
141 |
| Shrinkage estimation of large covariance matrices: keep it simple, statistician? |
0 |
2 |
14 |
18 |
5 |
14 |
45 |
55 |
| Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size |
0 |
0 |
3 |
229 |
0 |
0 |
6 |
839 |
| Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions |
0 |
1 |
3 |
112 |
2 |
7 |
21 |
283 |
| Stepwise Multiple Testing as Formalized Data Snooping |
0 |
0 |
0 |
9 |
1 |
3 |
12 |
91 |
| Stepwise multiple testing as formalized data snooping |
0 |
0 |
2 |
98 |
1 |
3 |
13 |
457 |
| Subsampling confidence intervals for the autoregressive root |
0 |
0 |
0 |
1 |
0 |
1 |
5 |
13 |
| Subsampling inference in cube root asymptotics with an application to manski's maximum score estimator |
0 |
0 |
1 |
3 |
0 |
1 |
5 |
23 |
| Subsampling inference in threshold autoregressive models |
0 |
0 |
0 |
206 |
1 |
1 |
4 |
595 |
| Subsampling intervals in autoregressive models with linear time trend |
0 |
0 |
0 |
1 |
1 |
1 |
5 |
11 |
| Subsampling the mean of heavy-tailed dependent observations |
0 |
0 |
0 |
58 |
0 |
1 |
3 |
219 |
| Subsampling, symmetrization, and robust interpolation |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
11 |
| Testing for monotonicity in expected asset returns |
0 |
0 |
0 |
38 |
0 |
0 |
2 |
92 |
| The (possible) effect of plain packaging on smoking prevalence in Australia: a trend analysis |
0 |
0 |
1 |
24 |
0 |
2 |
7 |
92 |
| The (possible) effect of plain packaging on the smoking prevalence of minors in Australia: a trend analysis |
0 |
0 |
2 |
18 |
0 |
1 |
9 |
70 |
| The power of (non-)linear shrinking: a review and guide to covariance matrix estimation |
0 |
3 |
7 |
52 |
3 |
10 |
17 |
42 |
| Total Working Papers |
7 |
59 |
232 |
7,369 |
54 |
235 |
834 |
23,884 |
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