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Michael Wolf · Study
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Author
Michael Wolf
20 works
· latest 2022
· 3 institutions
cluster: provisional
ORCID 0000-0003-0259-9945
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Citations
5,714
Works here
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Most cited in this library
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
2003 · 1,634 citations
Honey, I Shrunk the Sample Covariance Matrix
2004 · 1,276 citations
Robust performance hypothesis testing with the Sharpe ratio
2008 · 946 citations
Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks
2017 · 304 citations
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
2003 · 283 citations
Works
20 shown
Large dynamic covariance matrices: Enhancements based on intraday data
Journal of Banking & Finance
·
2022
·
4 authors
·
Open access
39
citations
The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation
Journal of Financial Econometrics
·
2020
·
2 authors
·
Open access
64
citations
Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly
Journal of Financial Econometrics
·
2018
·
3 authors
·
Open access
105
citations
Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions
Journal of Time Series Analysis
·
2018
·
2 authors
·
Open access
22
citations
Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly
SSRN Electronic Journal
·
2018
·
3 authors
·
preprint
·
Open access
40
citations
Large Dynamic Covariance Matrices
Journal of Business and Economic Statistics
·
2017
·
3 authors
·
Open access
278
citations
Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks
Review of Financial Studies
·
2017
·
2 authors
·
Open access
304
citations
Bootstrap Joint Prediction Regions
Journal of Time Series Analysis
·
2014
·
2 authors
·
Open access
55
citations
Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
Zurich Open Repository and Archive (University of Zurich)
·
2014
·
2 authors
·
report
·
Open access
89
citations
Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks
SSRN Electronic Journal
·
2014
·
2 authors
·
preprint
·
Open access
81
citations
Robust Performances Hypothesis Testing With the Variance
Wilmott
·
2011
·
2 authors
·
Open access
146
citations
Robust performance hypothesis testing with the Sharpe ratio
Journal of Empirical Finance
·
2008
·
2 authors
·
Open access
946
citations
Robust Performance Hypothesis Testing with the Sharpe Ratio
SSRN Electronic Journal
·
2007
·
1 author
·
preprint
·
Open access
119
citations
Honey, I Shrunk the Sample Covariance Matrix
The Journal of Portfolio Management
·
2004
·
2 authors
·
Open access
1,276
citations
Subsampling the mean of heavy‐tailed dependent observations
Journal of Time Series Analysis
·
2004
·
2 authors
·
Open access
30
citations
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
The Review of Economics and Statistics
·
2003
·
3 authors
·
Open access
283
citations
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
Journal of Empirical Finance
·
2003
·
2 authors
1,634
citations
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
SSRN Electronic Journal
·
2002
·
3 authors
·
preprint
·
Open access
30
citations
Subsampling Intervals in Autoregressive Models with Linear Time Trend
Econometrica
·
2001
·
2 authors
·
Open access
94
citations
Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem
Journal of Business and Economic Statistics
·
2000
·
1 author
·
Open access
79
citations