| Bell, D.R., Ledoit, O., and Wolf, M. (2024). A novel estimator of Earth's curvature (Allowing for inference as well). Annals of Applied Statistics, 18:585-599. (PDF, 581 KB) |
|
Zhao, Z., Ledoit, O., and Jiang, H. (2023). Risk reduction and efficiency increase in large portfolios: Gross-exposure constraints and shrinkage of the covariance matrix. Journal of Financial Econometrics, 21:73-105. (PDF, 853 KB)
|
| Ledoit, O. and Wolf, M. (2022). Quadratic shrinkage for large covariance matrices. Bernoulli, 28:1519-1547. (PDF, 675 KB) |
| De Nard, G., Engle, R.F., Ledoit, O., and Wolf, M. (2022). Large dynamic covariance matrices: Enhancements based on intraday data. Journal of Banking and Finance, 138:106426. (PDF, 2 MB) |
| Ledoit, O. and Wolf, M. (2022). The power of (non-)linear shrinking: A review and guide to covariance matrix estimation. Journal of Financial Econometrics, 20:187-218. (PDF, 416 KB) |
| Ledoit, O. and Wolf, M. (2021). Shrinkage estimation of large covariance matrices: Keep it simple, statistician? Journal of Multivariate Analysis, 186:104796. (PDF, 921 KB) |
| De Nard, G., Ledoit, O., and Wolf, M. (2021). Factor models for portfolio selection in large dimensions: The good, the better and the ugly. Journal of Financial Econometrics, 19:236-257. (PDF, 249 KB) |
| Ledoit, O. and Wolf, M. (2020). Analytical nonlinear shrinkage of large-dimensional covariance matrices. Annals of Statistics, 48:3043-3065. (PDF, 699 KB) |
|
Ledoit, O., Wolf, M., and Zhao Z. (2019). Efficient sorting: A more powerful test for cross-sectional anomalies. Journal of Financial Econometrics 17:645-686. (PDF, 515 KB)
|
| Engle, R.F., Ledoit, O., and Wolf. M. (2019). Large dynamic covariance matrices. Journal of Business & Economic Statistics, 37:363-375. (PDF, 599 KB) |
|
Ledoit, O. and Wolf, M. (2018). Optimal estimation of a large-dimensional covariance matrix under Stein's Loss. Bernoulli, 24:3791-3832 (PDF, 759 KB). Supplementary Material (PDF, 270 KB)
|
| Ledoit, O. and Wolf, M. (2017). Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks. Review of Financial Studies, 30:4349-4388. (PDF, 448 KB) Supplementary Material (PDF, 330 KB) |
|
Ledoit, O. and Wolf. M. (2017). Numerical implementation of the QuEST function. Computational Statistics & Data Analysis 115, 199-223. (PDF, 1 MB)
Matlab code
|
| Ledoit, O. and Wolf, M. (2015). Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions. Journal of Multivariate Analysis 139, 360-384. (PDF, 885 KB) |
| Bell, D.R., Ledoit, O., and Wolf, M. (2014). A new portfolio formation approach to mispricing of marketing performance indicators: an application to customer satisfaction. (PDF, 353 KB) Customer Needs and Solutions 1, 263-276. (PDF, 344 KB) |
| Ledoit, O. and Wolf, M. (2012). Nonlinear shrinkage estimation of large-dimensional covariance matrices. (PDF, 590 KB) Annals of Statistics 40, 1024-1060. (PDF, 575 KB) |
| Ledoit, O. and Péché, S. (2011). Eigenvectors of some large sample covariance matrix ensembles (PDF, 496 KB) Probability Theory and Related Fields 151.1, 233-264. (PDF, 484 KB) |
| Ledoit, O. and Wolf, M. (2011). Robust performance hypothesis testing with the variance (PDF, 118 KB) Wilmott Magazine, September, 86-89. (PDF, 115 KB) |
| Ledoit, O. and Crack, T. F. (2010). Using Central Limit Theorems for Dependent Data (PDF, 308 KB) Journal of Financial Education, 36(1/2), 38-60. (PDF, 300 KB) |
| Ledoit, O. and Wolf, M. (2008). Robust performance hypothesis testing with the Sharpe ratio. (PDF, 309 KB) Journal of Empirical Finance, 15, 850-859. (PDF, 301 KB) |
| Ledoit, O. and Wolf, M. (2004). Honey, I shrunk the sample covariance matrix. (PDF, 166 KB) Journal of Portfolio Management, 30, Volume 4, 110-119. (PDF, 162 KB) |
| Ledoit, O. and Wolf, M. (2004). A well-conditioned estimator for large-dimensional covariance matrices. (PDF, 506 KB) Journal of Multivariate Analysis 88, 365-411. (PDF, 494 KB) |
| Ledoit, O. and Wolf, M. (2003). Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (PDF, 198 KB) Journal of Empirical Finance 10, 603-621. (PDF, 193 KB) |
| Ledoit, O., Santa-Clara, P., and Wolf, M. (2003). Flexible multivariate GARCH modeling with an application to international stock markets. (PDF, 231 KB) Review of Economics and Statistics 85, 735-747. (PDF, 225 KB) |
| Ledoit, O. and Wolf, M. (2002). Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size. (PDF, 195 KB) Annals of Statistics 30, 1081-1102. (PDF, 190 KB) |
| Bernardo, A.E. and Ledoit, O. (2000). Gain, loss and asset pricing. (PDF, 373 KB) Journal of Political Economy 108, 144-172. (PDF, 364 KB) |
| Johansen, A., Sornette, D., and Ledoit, O. (2000). Crashes as critical points. (PDF, 2.66 MB) International Journal of Theoretical and Applied Finance 3, 219-255. (PDF, 2 MB) |
| Johansen, A., Sornette, D., and Ledoit, O. (1999). Predicting financial crashes using discrete scale invariance. (PDF, 656 KB) Journal of Risk, Volume 1, Number 4, Summer 1999, 5-32. (PDF, 640 KB) |
| Crack, T.F., and Ledoit, O. (1996). Robust structure without predictability: the "compass rose" pattern of the stock market. (PDF, 2.82 MB) Journal of Finance 51, 751-762. (PDF, 2 MB) |
