Michael Wolf

University of Zurich - Department of Economics

Wilfriedstrasse 6

Zurich, 8032

Switzerland

SCHOLARLY PAPERS

43

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12,610

SSRN CITATIONS
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Top 2,243

in Total Papers Citations

513

CROSSREF CITATIONS

76

Scholarly Papers (43)

1.

Honey, I Shrunk the Sample Covariance Matrix

UPF Economics and Business Working Paper No. 691
Number of pages: 21 Posted: 18 Sep 2003
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 2,875 (5,267)
Citation 126

Abstract:

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Covariance matrix, Markovitz optimization, shrinkage, tracking error

2.

Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks

University of Zurich, Department of Economics, Working Paper No. 137
Number of pages: 70 Posted: 24 Jan 2014 Last Revised: 09 Feb 2017
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 965 (29,084)
Citation 25

Abstract:

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Large-dimensional asymptotics, Markowitz portfolio selection, nonlinear shrinkage

3.

Analytical Nonlinear Shrinkage of Large-Dimensional Covariance Matrices

University of Zurich, Department of Economics, Working Paper No. 264, Revised version
Number of pages: 56 Posted: 04 Oct 2017 Last Revised: 12 Nov 2018
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 676 (47,486)
Citation 17

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Kernel estimation, Hilbert transform, large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

UPF, Economics and Business Working Paper No. 578
Number of pages: 33 Posted: 15 Oct 2002
Olivier Ledoit, Pedro Santa-Clara and Michael Wolf
University of Zurich - Department of Economics, New University of Lisbon - Nova School of Business and Economics and University of Zurich - Department of Economics
Downloads 652 (49,089)
Citation 31

Abstract:

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Diagonal-Vech model multivariate GARCH, unrestricted estimation

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

Review of Economics and Statistics, Forthcoming
Posted: 19 Oct 2002
Olivier Ledoit, Pedro Santa-Clara and Michael Wolf
University of Zurich - Department of Economics, New University of Lisbon - Nova School of Business and Economics and University of Zurich - Department of Economics

Abstract:

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Diagonal-Vech model multivariate GARCH, unrestricted estimation

5.

Robust Performance Hypothesis Testing with the Sharpe Ratio

ZEW - Center for European Economic Research Paper No. 320
Number of pages: 15 Posted: 14 May 2007
Michael Wolf
University of Zurich - Department of Economics
Downloads 631 (51,939)
Citation 1

Abstract:

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Bootstrap, HAC inference, Sharpe ratio

6.

Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies

University of Zurich, Department of Economics, Working Paper No. 238, Revised version
Number of pages: 52 Posted: 08 Dec 2016 Last Revised: 27 May 2018
Olivier Ledoit, Michael Wolf and Zhao Zhao
University of Zurich - Department of Economics, University of Zurich - Department of Economics and Huazhong University of Science and Technology - Department of Economics
Downloads 576 (58,264)
Citation 4

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Cross-section of returns, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage

7.

Large Dynamic Covariance Matrices

University of Zurich, Department of Economics, Working Paper No. 231, Revised version
Number of pages: 43 Posted: 28 Jul 2016 Last Revised: 20 Apr 2017
Robert F. Engle, Olivier Ledoit and Michael Wolf
New York University (NYU) - Department of Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 530 (64,670)
Citation 19

Abstract:

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Composite likelihood, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage

8.

Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly

Journal of Financial Econometrics (2020, forthcoming) and University of Zurich, Department of Economics, Working Paper No. 290, Revised version
Number of pages: 28 Posted: 12 Jun 2018 Last Revised: 14 Oct 2020
Gianluca De Nard, Olivier Ledoit and Michael Wolf
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 521 (66,076)
Citation 14

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Dynamic conditional correlations, factor models, multivariate GARCH, Markowitz portfolio selection, nonlinear shrinkage

9.

Stepwise Multiple Testing as Formalized Data Snooping

UPF Working Paper No. 712
Number of pages: 36 Posted: 11 Jul 2004
Michael Wolf and Joseph P. Romano
University of Zurich - Department of Economics and Stanford University - Department of Statistics
Downloads 495 (70,475)
Citation 112

Abstract:

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Bootstrap, data snooping, familywise error, multiple testing, step-down method

10.

Resampling vs. Shrinkage for Benchmarked Managers

Number of pages: 14 Posted: 08 Sep 2004
Michael Wolf
University of Zurich - Department of Economics
Downloads 461 (76,894)
Citation 5

Abstract:

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Covariance matrix, Markowitz optimization, Shrinkage, Resampling, Tracking error

11.

Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data

University of Zurich, Department of Economics, Working Paper No. 356, Revised version
Number of pages: 39 Posted: 25 Sep 2020 Last Revised: 30 Jun 2021
University of Zurich - Department of Banking and Finance, New York University (NYU) - Department of Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 351 (105,334)
Citation 14

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Dynamic conditional correlations, intraday data, Markowitz portfolio selection, multivariate GARCH, nonlinear shrinkage

12.

Fund-of-Funds Construction by Statistical Multiple Testing Methods

Institute for Empirical Research in Economics University of Zurich Working Paper No. 445
Number of pages: 24 Posted: 25 Sep 2009
Michael Wolf and Dan Wunderli
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 338 (109,921)
Citation 2

Abstract:

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bootstrap, familywise error rate, fund-of-funds, performance evaluation

13.

The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation

University of Zurich, Department of Economics, Working Paper No. 323, Revised version
Number of pages: 42 Posted: 01 Jun 2019 Last Revised: 04 Feb 2020
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 299 (125,485)
Citation 2

Abstract:

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Dynamic conditional correlations, factor models, large-dimensional asymptotics, Markowitz portfolio selection, rotation equivariance

14.

Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Institute for Empirical Research in Economics University of Zurich Working Paper No. 515
Number of pages: 49 Posted: 20 Oct 2010 Last Revised: 09 Jan 2013
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 297 (126,330)
Citation 36

Abstract:

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Large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance

15.

Optimal Estimation of a Large-Dimensional Covariance Matrix Under Stein's Loss

University of Zurich, Department of Economics, Working Paper No. 122, Revised version
Number of pages: 64 Posted: 15 May 2013 Last Revised: 23 Mar 2017
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 291 (129,056)
Citation 12

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Large-dimensional asymptotics, nonlinear shrinkage estimation, random matrix theory, rotation equivariance, Stein's loss

16.

The (Possible) Effect of Plain Packaging on Smoking Prevalence in Australia: A Trend Analysis

University of Zurich, Department of Economics, Working Paper No. 165
Number of pages: 17 Posted: 01 Jul 2014 Last Revised: 02 Jul 2014
Ashok Kaul and Michael Wolf
Saarland University and University of Zurich - Department of Economics
Downloads 265 (142,221)
Citation 4

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Plain packaging, smoking prevalence, treatment effect, trend analysis

17.

Spectrum Estimation: A Unified Framework for Covariance Matrix Estimation and PCA in Large Dimensions

Number of pages: 41 Posted: 10 Jan 2013 Last Revised: 30 Jul 2013
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 260 (144,980)
Citation 17

Abstract:

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large-dimensional asymptotics, covariance matrix eigenvalues, nonlinear shrinkage, principal component analysis

18.
Downloads 196 (189,855)

Hypothesis Testing in Econometrics

Institute for Empirical Research in Economics University of Zurich Working Paper No. 444
Number of pages: 40 Posted: 25 Sep 2009
Joseph P. Romano, Azeem Shaikh and Michael Wolf
Stanford University - Department of Statistics, Stanford University - Department of Economics and University of Zurich - Department of Economics
Downloads 196 (189,759)
Citation 20

Abstract:

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asymptotics, multiple testing, optimality, resampling

Hypothesis Testing in Econometrics

Annual Review of Economics, Vol. 2, pp. 75-104, 2010
Posted: 18 Oct 2010
Joseph P. Romano, Azeem Shaikh and Michael Wolf
Stanford University - Department of Statistics, University of Chicago and University of Zurich - Department of Economics

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19.

Resurrecting Weighted Least Squares

University of Zurich, Department of Economics, Working Paper No. 172, Revised version
Number of pages: 49 Posted: 05 Sep 2014 Last Revised: 27 Oct 2016
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 173 (211,827)
Citation 6

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Conditional heteroskedasticity, HC standard errors, weighted least squares

20.

Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing

UPF Economics and Business Working Paper No. 727
Number of pages: 28 Posted: 12 Jul 2004
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 151 (237,546)
Citation 45

Abstract:

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Bootstrap, familywise error rate, multiple testing, permutation test, randomization test, stepdown procedure, subsampling

21.

The (Possible) Effect of Plain Packaging on the Smoking Prevalence of Minors in Australia: A Trend Analysis

University of Zurich, Department of Economics, Working Paper No. 149
Number of pages: 18 Posted: 26 Mar 2014 Last Revised: 05 Jun 2014
Ashok Kaul and Michael Wolf
Saarland University and University of Zurich - Department of Economics
Downloads 124 (277,064)

Abstract:

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Plain packaging, smoking prevalence, treatment effect, trend analysis

22.

Improved Nonparametric Confidence Intervals in Time Series Regressions

UPF Economics and Business Working Paper No. 635
Number of pages: 26 Posted: 17 Jun 2003
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 124 (277,064)
Citation 6

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Bootstrap, confidence intervals, studentization, time series regressions, prewhitening

23.

A New Portfolio Formation Approach to Mispricing of Marketing Performance Indicators with an Application to Customer Satisfaction

Number of pages: 27 Posted: 12 Jun 2012 Last Revised: 10 Dec 2013
David R. Bell, Olivier Ledoit and Michael Wolf
University of Pennsylvania - Marketing Department, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 123 (278,741)
Citation 1

Abstract:

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Customer satisfaction, financial performance, long-short portfolio, mispricing

24.

Quadratic Shrinkage for Large Covariance Matrices

University of Zurich, Departmenf of Economics, Working Paper No. 335, Revised version
Number of pages: 74 Posted: 25 Nov 2019 Last Revised: 04 Dec 2020
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 119 (285,603)
Citation 5

Abstract:

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Inverse shrinkage, Hilbert transform, large-dimensional asymptotics, signal amplitude, Stein shrinkage

25.

Testing for Monotonicity in Expected Asset Returns

Number of pages: 37 Posted: 07 Jun 2011 Last Revised: 24 Jan 2013
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 119 (285,603)
Citation 7

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Bootstrap, CAPM, Monotonicity tests, Non-monotonic relations

26.

Control of the False Discovery Rate Under Dependence Using the Bootstrap and Subsampling

University of Zurich Working Paper No. 337
Number of pages: 33 Posted: 29 Oct 2007 Last Revised: 17 Dec 2008
Joseph P. Romano, Azeem Shaikh and Michael Wolf
Stanford University - Department of Statistics, Stanford University - Department of Economics and University of Zurich - Department of Economics
Downloads 109 (303,581)
Citation 14

Abstract:

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Bootstrap, Subsampling, False Discovery Rate, Multiple Testing, Stepdown Procedure

27.

Robust Performance Hypothesis Testing with the Variance

Institute for Empirical Research in Economics University of Zurich Working Paper No. 516
Number of pages: 11 Posted: 20 Oct 2010
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 105 (311,449)
Citation 13

Abstract:

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Bootstrap, HAC inference, Variance

28.

Improving Weighted Least Squares Inference

University of Zurich, Department of Economics, Working Paper No. 232, Revised version
Number of pages: 44 Posted: 12 Aug 2016 Last Revised: 21 Nov 2017
Cyrus DiCiccio, Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics, Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 101 (319,703)

Abstract:

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Bootstrap, conditional heteroskedasticity, HC standard errors

29.

The Romano-Wolf Multiple Hypothesis Correction in Stata

IZA Discussion Paper No. 12845
Number of pages: 32 Posted: 06 Jan 2020
Damian Clarke, Joseph P. Romano and Michael Wolf
University of Oxford - Department of Economics, Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 96 (330,269)
Citation 3

Abstract:

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bootstrap, familywise error rate, multiple hypothesis testing, permutation methods, rwolf, step-down procedure

30.

Shrinkage Estimation of Large Covariance Matrices: Keep it Simple, Statistician?

University of Zurich, Department of Economics, Working Paper No. 327, Revised Version
Number of pages: 54 Posted: 17 Jul 2019 Last Revised: 28 Jun 2021
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 94 (337,061)
Citation 1

Abstract:

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Large-dimensional asymptotics, random matrix theory, rotation equivariance

31.
Downloads 92 (339,353)
Citation 8

Bootstrap Joint Prediction Regions

University of Zurich Department of Economics Working Paper No. 64
Number of pages: 40 Posted: 01 Mar 2012 Last Revised: 08 May 2013
Michael Wolf and Dan Wunderli
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 91 (344,468)
Citation 4

Abstract:

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Generalized error rates, path forecast, simultaneous prediction intervals

Bootstrap Joint Prediction Regions

Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 352-376, 2015
Number of pages: 25 Posted: 24 Apr 2015
Michael Wolf and Dan Wunderli
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 1 (812,910)
Citation 1
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Generalized error rates, path forecast, simultaneous prediction intervals

32.

Optimal Testing of Multiple Hypotheses with Common Effect Direction

University of Zurich, Institute for Empirical Research in Economics Working Paper No. 307
Number of pages: 20 Posted: 02 Nov 2006 Last Revised: 21 Oct 2008
Bittman Biostat, Inc., Stanford University - Department of Statistics, Takeda Pharmaceuticals and University of Zurich - Department of Economics
Downloads 91 (341,689)
Citation 2

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Closure Method, Consonance, Familywise Error Rate, Multiple Endpoints, Multiple Testing, O'Brien's method

33.

Efficient Computation of Adjusted P-Values for Resampling-Based Stepdown Multiple Testing

University of Zurich, Department of Economics, Working Paper No. 219
Number of pages: 7 Posted: 25 Feb 2016
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 69 (401,343)
Citation 35

Abstract:

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Adjusted p-values, multiple testing, resampling, stepdown procedure

34.

A Practical Two-Step Method for Testing Moment Inequalities

University of Zurich, Department of Economics, Working Paper No. 90
Number of pages: 33 Posted: 30 Aug 2012 Last Revised: 23 Apr 2014
Joseph P. Romano, Azeem Shaikh and Michael Wolf
Stanford University - Department of Statistics, University of Chicago and University of Zurich - Department of Economics
Downloads 40 (511,799)
Citation 21

Abstract:

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Bonferonni inequality, bootstrap, moment inequalities, partial identification, uniform validity

35.

Robust Performance Hypothesis Testing with Smooth Functions of Population Moments

University of Zurich, Department of Economics, Working Paper No. 305
Number of pages: 23 Posted: 15 Nov 2018
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 36 (531,113)
Citation 1

Abstract:

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Bootstrap, HAC Inference, Kurtosis, Sharpe Ratio, Sknewness, Variance

36.

Balanced Control of Generalized Error Rates

University of Zurich Institute for Empirical Research in Economics Working Paper No. 379
Number of pages: 40 Posted: 26 Aug 2008
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 34 (541,443)
Citation 10

Abstract:

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Bootstrap, False Discovery Proportion, Generalized familywise error rate, Multiple Testing, Stepdown procedure

37.

Consonance and the Closure Method in Multiple Testing

University of Zurich Institute for Empirical Research in Economics Working Paper No. 446
Number of pages: 21 Posted: 25 Sep 2009
Joseph P. Romano, Azeem Shaikh and Michael Wolf
Stanford University - Department of Statistics, Stanford University - Department of Economics and University of Zurich - Department of Economics
Downloads 33 (546,742)

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Multiple Testing, Closure Method, Coherence, Consonance, Familywise Error Rate

Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions

University of Zurich, Department of Economics, Working Paper No. 246, Revised version
Number of pages: 65 Posted: 23 Mar 2017 Last Revised: 31 Jan 2018
Stefan Bruder and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 25 (611,479)
Citation 8

Abstract:

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bootstrap, impulse response functions, joint confidence bands, vector autoregressive process

Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions

Journal of Time Series Analysis, Vol. 39, Issue 5, pp. 641-664, 2018
Number of pages: 24 Posted: 20 Aug 2018
Stefan Bruder and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 1 (812,910)
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Bootstrap, impulse response functions, joint confidence bands, vector autoregressive process

39.

Numerical Implementation of the QuEST Function

University of Zurich, Department of Economics, Working Paper No. 215, Revised version
Number of pages: 43 Posted: 25 Jul 2017 Last Revised: 01 Aug 2017
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 23 (607,089)
Citation 6

Abstract:

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Large-dimensional asymptotics, numerical optimization, random matrix theory, spectrum estimation

Subsampling the Mean of Heavy-Tailed Dependent Observations

Number of pages: 18 Posted: 24 Apr 2004
Piotr Kokoszka and Michael Wolf
Utah State University - Department of Mathematics & Statistics and University of Zurich - Department of Economics
Downloads 19 (656,141)
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Estimation of the mean, heavy tails, GARCH, subsampling

Subsampling the Mean of Heavy-Tailed Dependent Observations

UPF Economics and Business Working Paper No. 600
Posted: 04 Oct 2002
Piotr Kokoszka and Michael Wolf
Utah State University - Department of Mathematics & Statistics and University of Zurich - Department of Economics

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Heavy tails, linear time series, subsampling

41.

Multiple Testing of One-Sided Hypotheses: Combining Bonferroni and the Bootstrap

University of Zurich, Department of Economics, Working Paper No. 254
Number of pages: 19 Posted: 02 Aug 2017
Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 18 (641,679)
Citation 5

Abstract:

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Bonferroni, Multiple Hypothesis Testing, Stepwise Method

42.

Inference for Autocorrelations in the Possible Presence of a Unit Root

Number of pages: 13 Posted: 29 Mar 2004
University of California, San Diego (UCSD) - Department of Mathematics, Stanford University - Department of Statistics and University of Zurich - Department of Economics
Downloads 12 (685,805)
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Autocorrelations, confidence band, confidence interval, integrated series

43.

Some Hypothesis Tests for the Covariance Matrix When the Dimension is Large Compared to the Sample Size

The Annals of Statistics, Vol. 30, No. 4, August 2002
Posted: 23 Aug 2002
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics

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Concentration asymptotics, equality test, sphericity test