Olivier Ledoit

Names

Identifer

Contact

Affiliations

• Universität Zürich / Wirtschaftswissenschaftliche Fakutält / Institut für Volkswirtschaftslehre
  • EDIRC entry
  • location:

Research profile

author of:

• Honey, I Shrunk the Sample Covariance Matrix
  Working Papers, Barcelona School of Economics (2003)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, bge:wpaper:92)
• Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market
  Journal of Finance, American Finance Association (1996)
  by Crack, Timothy Falcon & Ledoit, Olivier
  (ReDIF-article, bla:jfinan:v:51:y:1996:i:2:p:751-62)
• Crashes at Critical Points
  University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1998)
  by Johansen, Anders & Ledoit, Olivier & Sornette, Didier
  (ReDIF-paper, cdl:anderf:qt2s77r0rk)
• Approximate Arbitrage
  University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1999)
  by Bernardo, Antonio & Ledoit, Olivier
  (ReDIF-paper, cdl:anderf:qt5dj834hk)
• Relative Pricing of Options with Stochastic Volatility
  University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2002)
  by Ledoit, Olivier & Santa-Clara, Pedro & Yan, Shu
  (ReDIF-paper, cdl:anderf:qt7jp8f42t)
• Flexible Multivariate GARCH Modeling With an Application to International Stock Markets
  University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1999)
  by Ledoit, Olivier & Santa-Clara, Pedro & Wolf, Michael
  (ReDIF-paper, cdl:anderf:qt93s6p8gb)
• A well conditioned estimator for large dimensional covariance matrices
  DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2000)
  by Ledoit, Olivier & Wolf, Michael
  (ReDIF-paper, cte:wsrepe:10087)
• Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
  DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2000)
  by Ledoit, Olivier & Wolf, Michael
  (ReDIF-paper, cte:wsrepe:10089)
• Numerical implementation of the QuEST function
  Computational Statistics & Data Analysis, Elsevier (2017)
  by Ledoit, Olivier & Wolf, Michael
  (ReDIF-article, eee:csdana:v:115:y:2017:i:c:p:199-223)
• Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
  Journal of Empirical Finance, Elsevier (2003)
  by Ledoit, Olivier & Wolf, Michael
  (ReDIF-article, eee:empfin:v:10:y:2003:i:5:p:603-621)
• Robust performance hypothesis testing with the Sharpe ratio
  Journal of Empirical Finance, Elsevier (2008)
  by Ledoit, Oliver & Wolf, Michael
  (ReDIF-article, eee:empfin:v:15:y:2008:i:5:p:850-859)
• Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions
  Journal of Multivariate Analysis, Elsevier (2015)
  by Ledoit, Olivier & Wolf, Michael
  (ReDIF-article, eee:jmvana:v:139:y:2015:i:c:p:360-384)
• A well-conditioned estimator for large-dimensional covariance matrices
  Journal of Multivariate Analysis, Elsevier (2004)
  by Ledoit, Olivier & Wolf, Michael
  (ReDIF-article, eee:jmvana:v:88:y:2004:i:2:p:365-411)
• Large Dynamic Covariance Matrices
  Journal of Business & Economic Statistics, Taylor & Francis Journals (2019)
  by Robert F. Engle & Olivier Ledoit & Michael Wolf
  (ReDIF-article, taf:jnlbes:v:37:y:2019:i:2:p:363-375)
• Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
  The Review of Economics and Statistics, MIT Press (2003)
  by Olivier Ledoit & Pedro Santa-Clara & Michael Wolf
  (ReDIF-article, tpr:restat:v:85:y:2003:i:3:p:735-747)
• Gain, Loss, and Asset Pricing
  Journal of Political Economy, University of Chicago Press (2000)
  by Antonio E. Bernardo & Olivier Ledoit
  (ReDIF-article, ucp:jpolec:v:108:y:2001:i:1:p:144-172)
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
  Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2001)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, upf:upfgen:575)
• Flexible multivariate GARCH modeling with an application to international stock markets
  Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2001)
  by Olivier Ledoit & Pedro Santa Clara & Michael Wolf
  (ReDIF-paper, upf:upfgen:578)
• Improved estimation of the covariance matrix of stock returns with an application to portofolio selection
  Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2001)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, upf:upfgen:586)
• Honey, I shrunk the sample covariance matrix
  Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2003)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, upf:upfgen:691)
• Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes
  Finance, University Library of Munich, Germany (1999)
  by Anders Johansen & Didier Sornette & Olivier Ledoit
  (ReDIF-paper, wpa:wuwpfi:9903006)
• Crashes As Critical Points
  International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2000)
  by Anders Johansen & Olivier Ledoit & Didier Sornette
  (ReDIF-article, wsi:ijtafx:v:03:y:2000:i:02:n:s0219024900000115)
• The coexistence of commodity money and fiat money
  ECON - Working Papers, Department of Economics - University of Zurich (2011)
  by Olivier Ledoit & Sébastien Lotz
  (ReDIF-paper, zur:econwp:024)
• Choice Democracy
  ECON - Working Papers, Department of Economics - University of Zurich (2011)
  by Olivier Ledoit
  (ReDIF-paper, zur:econwp:038)
• The redistributive effects of monetary policy
  ECON - Working Papers, Department of Economics - University of Zurich (2011)
  by Olivier Ledoit
  (ReDIF-paper, zur:econwp:044)
• A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction
  ECON - Working Papers, Department of Economics - University of Zurich (2012)
  by David R. Bell & Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:079)
• Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
  ECON - Working Papers, Department of Economics - University of Zurich (2013)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:105)
• Optimal estimation of a large-dimensional covariance matrix under Stein’s loss
  ECON - Working Papers, Department of Economics - University of Zurich (2013)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:122)
• Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
  ECON - Working Papers, Department of Economics - University of Zurich (2014)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:137)
• Numerical implementation of the QuEST function
  ECON - Working Papers, Department of Economics - University of Zurich (2016)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:215)
• Large dynamic covariance matrices
  ECON - Working Papers, Department of Economics - University of Zurich (2016)
  by Robert F. Engle & Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:231)
• Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies
  ECON - Working Papers, Department of Economics - University of Zurich (2016)
  by Olivier Ledoit & Michael Wolf & Zhao Zhao
  (ReDIF-paper, zur:econwp:238)
• Analytical nonlinear shrinkage of large-dimensional covariance matrices
  ECON - Working Papers, Department of Economics - University of Zurich (2017)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:264)
• Factor models for portfolio selection in large dimensions: the good, the better and the ugly
  ECON - Working Papers, Department of Economics - University of Zurich (2018)
  by Gianluca De Nard & Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:290)
• Robust performance hypothesis testing with smooth functions of population moments
  ECON - Working Papers, Department of Economics - University of Zurich (2018)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:305)
• The power of (non-)linear shrinking: a review and guide to covariance matrix estimation
  ECON - Working Papers, Department of Economics - University of Zurich (2019)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:323)
• Shrinkage estimation of large covariance matrices: keep it simple, statistician?
  ECON - Working Papers, Department of Economics - University of Zurich (2019)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:327)
• Risk reduction and efficiency increase in large portfolios: leverage and shrinkage
  ECON - Working Papers, Department of Economics - University of Zurich (2019)
  by Zhao Zhao & Olivier Ledoit & Hui Jiang
  (ReDIF-paper, zur:econwp:328)
• Quadratic shrinkage for large covariance matrices
  ECON - Working Papers, Department of Economics - University of Zurich (2019)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:335)
• Large dynamic covariance matrices: enhancements based on intraday data
  ECON - Working Papers, Department of Economics - University of Zurich (2020)
  by Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:356)
• Markowitz portfolios under transaction costs
  ECON - Working Papers, Department of Economics - University of Zurich (2022)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:420)
• A novel estimator of earth's curvature (allowing for inference as well)
  ECON - Working Papers, Department of Economics - University of Zurich (2023)
  by David R. Bell & Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:econwp:431)
• Robust Performance Hypothesis Testing with the Sharpe Ratio
  IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2008)
  by Oliver Ledoit & Michael Wolf
  (ReDIF-paper, zur:iewwpx:320)
• Eigenvectors of some large sample covariance matrices ensembles
  IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2009)
  by Olivier Ledoit & Sandrine P�ch�
  (ReDIF-paper, zur:iewwpx:407)
• Central limit theorems when data are dependent: addressing the pedagogical gaps
  IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2010)
  by Timothy Falcon Crack & Olivier Ledoit
  (ReDIF-paper, zur:iewwpx:480)
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
  IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2011)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:iewwpx:515)
• Robust performance hypothesis testing with the variance
  IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2010)
  by Olivier Ledoit & Michael Wolf
  (ReDIF-paper, zur:iewwpx:516)