Michael Wolf
Names
| first: |
Michael |
| last: |
Wolf |
Identifer
Contact
Affiliations
-
Universität Zürich
/ Wirtschaftswissenschaftliche Fakutält
/ Institut für Volkswirtschaftslehre
Research profile
author of:
- Hypothesis Testing in Econometrics
Annual Review of Economics, Annual Reviews (2010)
by Joseph P. Romano & Azeem M. Shaikh & Michael Wolf
(ReDIF-article, anr:reveco:v:2:y:2010:p:75-104) - Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing
Journal of the American Statistical Association, American Statistical Association (2005)
by Joseph P. Romano & Michael Wolf
(ReDIF-article, bes:jnlasa:v:100:y:2005:p:94-108) - Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem
Journal of Business & Economic Statistics, American Statistical Association (2000)
by Wolf, Michael
(ReDIF-article, bes:jnlbes:v:18:y:2000:i:1:p:18-30) - Stepwise Multiple Testing as Formalized Data Snooping
Working Papers, Barcelona School of Economics (2003)
by Joseph P. Romano & Michael Wolf
(ReDIF-paper, bge:wpaper:17) - Honey, I Shrunk the Sample Covariance Matrix
Working Papers, Barcelona School of Economics (2003)
by Olivier Ledoit & Michael Wolf
(ReDIF-paper, bge:wpaper:92) - Avoiding ‘data snooping’ in multilevel and mixed effects models
Journal of the Royal Statistical Society Series A, Royal Statistical Society (2007)
by David Afshartous & Michael Wolf
(ReDIF-article, bla:jorssa:v:170:y:2007:i:4:p:1035-1059) - Inference for Autocorrelations in the Possible Presence of a Unit Root
Journal of Time Series Analysis, Wiley Blackwell (2004)
by Dimitris N. Politis & Joseph P. Romano & Michael Wolf
(ReDIF-article, bla:jtsera:v:25:y:2004:i:2:p:251-263) - Consonance and the Closure Method in Multiple Testing
The International Journal of Biostatistics, De Gruyter (2011)
by Romano Joseph P. & Shaikh Azeem & Wolf Michael
(ReDIF-article, bpj:ijbist:v:7:y:2011:i:1:n:12) - 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 EstadÃstica (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 EstadÃstica (2000)
by Ledoit, Olivier & Wolf, Michael
(ReDIF-paper, cte:wsrepe:10089) - Subsampling inference in cube root asymptotics with an application to manski's maximum score estimator
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica (2000)
by Delgado, Miguel A. & Rodríguez Poo, Juan M. & Wolf, Michael
(ReDIF-paper, cte:wsrepe:10110) - Subsampling confidence intervals for the autoregressive root
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica (1998)
by Romano, Joseph P. & Wolf, Michael
(ReDIF-paper, cte:wsrepe:6268) - Finite sample nonparametric inference and large sample efficiency
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica (1998)
by Romano, Joseph P. & Wolf, Michael
(ReDIF-paper, cte:wsrepe:6269) - On the asymptotic theory of subsampling
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica (1999)
by Politis, Dimitris N. & Romano, Joseph P. & Wolf, Michael
(ReDIF-paper, cte:wsrepe:6334) - Subsampling, symmetrization, and robust interpolation
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica (1999)
by Politis, Dimitris N. & Romano, Joseph P. & Wolf, Michael
(ReDIF-paper, cte:wsrepe:6343) - Subsampling intervals in autoregressive models with linear time trend
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica (1999)
by Romano, Joseph P. & Wolf, Michael
(ReDIF-paper, cte:wsrepe:6400) - Improved nonparametric confidence intervals in time series regressions
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica (2001)
by Romano, Joseph P. & Wolf, Michael
(ReDIF-paper, cte:wsrepe:ws010201) - Explicit nonparametric confidence intervals for the variance with guaranteed coverage
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica (2001)
by Romano, Joseph P. & Wolf, Michael
(ReDIF-paper, cte:wsrepe:ws010302) - Formalized Data Snooping Based On Generalized Error Rates
Econometric Theory, Cambridge University Press (2008)
by Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael
(ReDIF-article, cup:etheor:v:24:y:2008:i:02:p:404-447_08) - Subsampling Intervals in Autoregressive Models with Linear Time Trend
Econometrica, Econometric Society (2001)
by Romano, Joseph P & Wolf, Michael
(ReDIF-article, ecm:emetrp:v:69:y:2001:i:5:p:1283-1314) - Stepwise Multiple Testing as Formalized Data Snooping
Econometrica, Econometric Society (2005)
by Joseph P. Romano & Michael Wolf
(ReDIF-article, ecm:emetrp:v:73:y:2005:i:4:p:1237-1282) - Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator
Economics Letters, Elsevier (2001)
by Delgado, Miguel A. & Rodriguez-Poo, Juan M. & Wolf, Michael
(ReDIF-article, eee:ecolet:v:73:y:2001:i:2:p:241-250) - Subsampling inference in threshold autoregressive models
Journal of Econometrics, Elsevier (2005)
by Gonzalo, Jesus & Wolf, Michael
(ReDIF-article, eee:econom:v:127:y:2005:i:2:p:201-224) - Resurrecting weighted least squares
Journal of Econometrics, Elsevier (2017)
by Romano, Joseph P. & Wolf, Michael
(ReDIF-article, eee:econom:v:197:y:2017:i:1:p:1-19) - Subsampling for heteroskedastic time series
Journal of Econometrics, Elsevier (1997)
by Politis, D. N. & Romano, Joseph P. & Wolf, Michael
(ReDIF-article, eee:econom:v:81:y:1997:i:2:p:281-317) - 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) - Efficient computation of adjusted p-values for resampling-based stepdown multiple testing
Statistics & Probability Letters, Elsevier (2016)
by Romano, Joseph P. & Wolf, Michael
(ReDIF-article, eee:stapro:v:113:y:2016:i:c:p:38-40) - A more general central limit theorem for m-dependent random variables with unbounded m
Statistics & Probability Letters, Elsevier (2000)
by Romano, Joseph P. & Wolf, Michael
(ReDIF-article, eee:stapro:v:47:y:2000:i:2:p:115-124) - Optimal testing of multiple hypotheses with common effect direction
Biometrika, Biometrika Trust (2009)
by Richard M. Bittman & Joseph P. Romano & Carlos Vallarino & Michael Wolf
(ReDIF-article, oup:biomet:v:96:y:2009:i:2:p:399-410) - multiple testing
The New Palgrave Dictionary of Economics, Palgrave Macmillan (2010)
by Joseph P. Romano & Azeem M. Shaikh & Michael Wolf
(ReDIF-chapter, pal:dofeco:v:4:year:2010:doi:3826) - Control of the false discovery rate under dependence using the bootstrap and subsampling
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa (2008)
by Joseph Romano & Azeem Shaikh & Michael Wolf
(ReDIF-article, spr:testjl:v:17:y:2008:i:3:p:417-442) - Rejoinder on: Control of the false discovery rate under dependence using the bootstrap and subsampling
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa (2008)
by Joseph Romano & Azeem Shaikh & Michael Wolf
(ReDIF-article, spr:testjl:v:17:y:2008:i:3:p:461-471) - 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) - The Romano–Wolf multiple-hypothesis correction in Stata
Stata Journal, StataCorp LP (2020)
by Damian Clarke & Joseph P. Romano & Michael Wolf
(ReDIF-article, tsj:stataj:v:20:y:2020:i:4:p:812-843) - Subsampling inference in threshold autoregressive models
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2001)
by Jesús Gonzalo & Michael Wolf
(ReDIF-paper, upf:upfgen:573) - 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) - Subsampling the mean of heavy-tailed dependent observations
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2002)
by Piotr Kokoszka & Michael Wolf
(ReDIF-paper, upf:upfgen:600) - Improved nonparametric confidence intervals in time series regressions
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2002)
by Joseph P. Romano & Michael Wolf
(ReDIF-paper, upf:upfgen:635) - 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) - Stepwise multiple testing as formalized data snooping
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2003)
by Joseph P. Romano & Michael Wolf
(ReDIF-paper, upf:upfgen:712) - Exact and approximate stepdown methods for multiple hypothesis testing
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2003)
by Joseph Romano & Michael Wolf
(ReDIF-paper, upf:upfgen:727) - A Practical Two‐Step Method for Testing Moment Inequalities
Econometrica, Econometric Society (2014)
by Joseph P. Romano & Azeem M. Shaikh & Michael Wolf
(ReDIF-article, wly:emetrp:v:82:y:2014:i::p:1979-2002) - Testing for monotonicity in expected asset returns
ECON - Working Papers, Department of Economics - University of Zurich (2011)
by Joseph P. Romano & Michael Wolf
(ReDIF-paper, zur:econwp:017) - Bootstrap joint prediction regions
ECON - Working Papers, Department of Economics - University of Zurich (2012)
by Michael Wolf & Dan Wunderli
(ReDIF-paper, zur:econwp:064) - 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) - A practical two-step method for testing moment inequalities
ECON - Working Papers, Department of Economics - University of Zurich (2012)
by Joseph P. Romano & Azeem M. Shaikh & Michael Wolf
(ReDIF-paper, zur:econwp:090) - 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) - The (possible) effect of plain packaging on the smoking prevalence of minors in Australia: a trend analysis
ECON - Working Papers, Department of Economics - University of Zurich (2014)
by Ashok Kaul & Michael Wolf
(ReDIF-paper, zur:econwp:149) - The (possible) effect of plain packaging on smoking prevalence in Australia: a trend analysis
ECON - Working Papers, Department of Economics - University of Zurich (2014)
by Ashok Kaul & Michael Wolf
(ReDIF-paper, zur:econwp:165) - Resurrecting weighted least squares
ECON - Working Papers, Department of Economics - University of Zurich (2014)
by Joseph P. Romano & Michael Wolf
(ReDIF-paper, zur:econwp:172) - 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) - Efficient computation of adjusted p-values for resampling-based stepdown multiple testing
ECON - Working Papers, Department of Economics - University of Zurich (2016)
by Joseph P. Romano & Michael Wolf
(ReDIF-paper, zur:econwp:219) - 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) - Improving weighted least squares inference
ECON - Working Papers, Department of Economics - University of Zurich (2016)
by Cyrus J. DiCiccio & Joseph P. Romano & Michael Wolf
(ReDIF-paper, zur:econwp:232) - 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) - Balanced bootstrap joint confidence bands for structural impulse response functions
ECON - Working Papers, Department of Economics - University of Zurich (2017)
by Stefan Bruder & Michael Wolf
(ReDIF-paper, zur:econwp:246) - Multiple testing of one-sided hypotheses: combining Bonferroni and the bootstrap
ECON - Working Papers, Department of Economics - University of Zurich (2017)
by Joseph P. Romano & Michael Wolf
(ReDIF-paper, zur:econwp:254) - 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) - 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) - Single-firm inference in event studies via the permutation test
ECON - Working Papers, Department of Economics - University of Zurich (2023)
by Phuong Anh Nguyen & Michael Wolf
(ReDIF-paper, zur:econwp:425) - Improved inference in financial factor models
ECON - Working Papers, Department of Economics - University of Zurich (2023)
by Elliot Beck & Gianluca De Nard & Michael Wolf
(ReDIF-paper, zur:econwp:430) - 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) - Control of Generalized Error Rates in Multiple Testing
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich ()
by Joseph P. Romano & Michael Wolf
(ReDIF-paper, zur:iewwpx:245) - Formalized Data Snooping Based on Generalized Error Rates
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2005)
by Joseph P & Romano & Azeem M. Shaikh & Michael Wolf
(ReDIF-paper, zur:iewwpx:259) - Avoiding Data Snooping in Multilevel and Mixed Effects Models
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2005)
by David Afshartous & Michael Wolf
(ReDIF-paper, zur:iewwpx:260) - Resampling vs. Shrinkage for Benchmarked Managers
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2006)
by Michael Wolf
(ReDIF-paper, zur:iewwpx:263) - Improved Nonparametric Confidence Intervals in Time Series Regressions
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2006)
by Joseph P. Romano & Michael Wolf
(ReDIF-paper, zur:iewwpx:273) - Optimal testing of multiple hypotheses with common effect direction
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2008)
by Richard M. Bittman & Joseph P. Romano & Carlos Vallarino & Michael Wolf
(ReDIF-paper, zur:iewwpx:307) - 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) - Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2008)
by Joseph P. Romano & Azeem M. Shaikh & Michael Wolf
(ReDIF-paper, zur:iewwpx:337) - Balanced Control of Generalized Error Rates
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2008)
by Joseph P. Romano & Michael Wolf
(ReDIF-paper, zur:iewwpx:379) - Hypothesis testing in econometrics
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2009)
by Joseph P. Romano & Azeem M. Shaikh & Michael Wolf
(ReDIF-paper, zur:iewwpx:444) - Fund-of-funds construction by statistical multiple testing methods
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2009)
by Michael Wolf & Dan Wunderli
(ReDIF-paper, zur:iewwpx:445) - Consonance and the closure method in multiple testing
IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich (2009)
by Joseph P. Romano & Azeem M. Shaikh & Michael Wolf
(ReDIF-paper, zur:iewwpx:446) - 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)