| 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 |
1 |
23 |
0 |
0 |
4 |
99 |
| A practical two-step method for testing moment inequalities |
0 |
0 |
1 |
51 |
1 |
3 |
15 |
173 |
| A well conditioned estimator for large dimensional covariance matrices |
0 |
0 |
3 |
7 |
3 |
7 |
17 |
37 |
| Analytical nonlinear shrinkage of large-dimensional covariance matrices |
3 |
5 |
10 |
39 |
4 |
8 |
36 |
78 |
| Avoiding Data Snooping in Multilevel and Mixed Effects Models |
0 |
0 |
0 |
112 |
0 |
4 |
6 |
406 |
| Balanced Control of Generalized Error Rates |
0 |
0 |
1 |
45 |
0 |
0 |
5 |
196 |
| Balanced bootstrap joint confidence bands for structural impulse response functions |
0 |
0 |
0 |
61 |
1 |
1 |
9 |
46 |
| Bootstrap joint prediction regions |
0 |
0 |
0 |
38 |
1 |
6 |
17 |
162 |
| Consonance and the closure method in multiple testing |
0 |
0 |
0 |
42 |
0 |
2 |
10 |
317 |
| Control of Generalized Error Rates in Multiple Testing |
0 |
0 |
1 |
183 |
0 |
0 |
7 |
830 |
| Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling |
0 |
0 |
0 |
145 |
0 |
4 |
11 |
602 |
| Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies |
0 |
0 |
2 |
30 |
2 |
9 |
17 |
58 |
| Efficient computation of adjusted p-values for resampling-based stepdown multiple testing |
1 |
1 |
3 |
38 |
2 |
8 |
20 |
86 |
| Exact and approximate stepdown methods for multiple hypothesis testing |
0 |
0 |
0 |
194 |
0 |
0 |
1 |
883 |
| Explicit nonparametric confidence intervals for the variance with guaranteed coverage |
0 |
0 |
0 |
70 |
0 |
3 |
7 |
344 |
| Factor models for portfolio selection in large dimensions: the good, the better and the ugly |
0 |
4 |
12 |
78 |
1 |
9 |
28 |
73 |
| Finite sample nonparametric inference and large sample efficiency |
0 |
0 |
1 |
2 |
0 |
1 |
2 |
13 |
| Flexible Multivariate GARCH Modeling With an Application to International Stock Markets |
0 |
0 |
0 |
3 |
1 |
1 |
4 |
27 |
| Flexible multivariate GARCH modeling with an application to international stock markets |
0 |
1 |
4 |
501 |
0 |
1 |
6 |
1,017 |
| Formalized Data Snooping Based on Generalized Error Rates |
0 |
0 |
0 |
126 |
0 |
4 |
11 |
484 |
| Fund-of-funds construction by statistical multiple testing methods |
0 |
0 |
2 |
156 |
0 |
4 |
9 |
427 |
| Honey, I Shrunk the Sample Covariance Matrix |
0 |
2 |
10 |
40 |
2 |
6 |
24 |
123 |
| Honey, I shrunk the sample covariance matrix |
3 |
7 |
22 |
1,029 |
8 |
18 |
62 |
3,614 |
| Hypothesis testing in econometrics |
0 |
0 |
1 |
399 |
1 |
2 |
19 |
1,855 |
| Improved Nonparametric Confidence Intervals in Time Series Regressions |
0 |
0 |
0 |
132 |
0 |
1 |
4 |
480 |
| Improved estimation of the covariance matrix of stock returns with an application to portfolio selection |
0 |
1 |
3 |
11 |
1 |
4 |
18 |
48 |
| Improved estimation of the covariance matrix of stock returns with an application to portofolio selection |
0 |
9 |
28 |
979 |
1 |
18 |
66 |
2,702 |
| Improved nonparametric confidence intervals in time series regressions |
0 |
0 |
0 |
242 |
0 |
1 |
1 |
1,049 |
| Improved nonparametric confidence intervals in time series regressions |
0 |
0 |
0 |
74 |
0 |
1 |
3 |
266 |
| Improving weighted least squares inference |
0 |
0 |
1 |
28 |
0 |
2 |
5 |
25 |
| Large dynamic covariance matrices |
2 |
2 |
5 |
103 |
3 |
5 |
21 |
164 |
| Multiple testing of one-sided hypotheses: combining Bonferroni and the bootstrap |
0 |
0 |
0 |
29 |
0 |
0 |
8 |
29 |
| Nonlinear shrinkage estimation of large-dimensional covariance matrices |
0 |
0 |
5 |
103 |
1 |
3 |
44 |
221 |
| Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks |
1 |
2 |
4 |
110 |
3 |
6 |
21 |
330 |
| Numerical implementation of the QuEST function |
0 |
0 |
2 |
23 |
0 |
1 |
9 |
57 |
| On the asymptotic theory of subsampling |
0 |
0 |
0 |
0 |
0 |
3 |
6 |
11 |
| Optimal estimation of a large-dimensional covariance matrix under Stein’s loss |
0 |
0 |
0 |
32 |
0 |
3 |
5 |
61 |
| Optimal testing of multiple hypotheses with common effect direction |
0 |
0 |
0 |
30 |
0 |
4 |
8 |
119 |
| Quadratic shrinkage for large covariance matrices |
1 |
3 |
25 |
25 |
2 |
6 |
13 |
13 |
| Resampling vs. Shrinkage for Benchmarked Managers |
0 |
1 |
4 |
228 |
1 |
3 |
15 |
663 |
| Resurrecting weighted least squares |
0 |
1 |
2 |
133 |
0 |
5 |
16 |
258 |
| Robust Performance Hypothesis Testing with the Sharpe Ratio |
2 |
4 |
15 |
617 |
9 |
17 |
93 |
1,965 |
| Robust performance hypothesis testing with smooth functions of population moments |
0 |
0 |
2 |
40 |
1 |
3 |
8 |
16 |
| Robust performance hypothesis testing with the variance |
0 |
0 |
0 |
25 |
0 |
0 |
5 |
138 |
| Shrinkage estimation of large covariance matrices: keep it simple, statistician? |
1 |
2 |
7 |
7 |
3 |
13 |
24 |
24 |
| Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size |
0 |
0 |
5 |
228 |
0 |
2 |
11 |
837 |
| Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions |
0 |
1 |
2 |
110 |
2 |
5 |
26 |
269 |
| Stepwise Multiple Testing as Formalized Data Snooping |
0 |
0 |
0 |
9 |
1 |
2 |
10 |
81 |
| Stepwise multiple testing as formalized data snooping |
0 |
0 |
1 |
96 |
0 |
3 |
9 |
448 |
| Subsampling confidence intervals for the autoregressive root |
0 |
0 |
1 |
1 |
0 |
3 |
5 |
12 |
| Subsampling inference in cube root asymptotics with an application to manski's maximum score estimator |
0 |
1 |
2 |
3 |
0 |
3 |
6 |
21 |
| Subsampling inference in threshold autoregressive models |
0 |
0 |
0 |
206 |
0 |
2 |
5 |
594 |
| Subsampling intervals in autoregressive models with linear time trend |
0 |
0 |
0 |
1 |
0 |
2 |
4 |
8 |
| Subsampling the mean of heavy-tailed dependent observations |
0 |
0 |
0 |
58 |
1 |
1 |
1 |
217 |
| Subsampling, symmetrization, and robust interpolation |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
9 |
| Testing for monotonicity in expected asset returns |
0 |
0 |
0 |
38 |
0 |
2 |
4 |
92 |
| The (possible) effect of plain packaging on smoking prevalence in Australia: a trend analysis |
0 |
0 |
2 |
24 |
0 |
0 |
12 |
88 |
| The (possible) effect of plain packaging on the smoking prevalence of minors in Australia: a trend analysis |
0 |
0 |
1 |
17 |
0 |
4 |
9 |
68 |
| The power of (non-)linear shrinking: a review and guide to covariance matrix estimation |
2 |
2 |
48 |
48 |
3 |
3 |
29 |
29 |
| Total Working Papers |
16 |
49 |
239 |
7,222 |
59 |
234 |
875 |
23,362 |
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