Search Results

Einzelhandel in Nordrhein-Westfalen planvoll steuern!,
Heinz Konze and Michael Wolf, from ARL – Akademie für Raumentwicklung in der Leibniz-Gemeinschaft (2012)

Shrinkage estimation of large covariance matrices: Keep it simple, statistician?,
Olivier Ledoit and Michael Wolf, in Journal of Multivariate Analysis (2021)
Keywords: Large-dimensional asymptotics; Random matrix theory; Rotation equivariance;

Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions,
Olivier Ledoit and Michael Wolf, in Journal of Multivariate Analysis (2015)
Keywords: Large-dimensional asymptotics; Covariance matrix eigenvalues; Nonlinear shrinkage; Principal component analysis;

Numerical implementation of the QuEST function,
Olivier Ledoit and Michael Wolf, in Computational Statistics & Data Analysis (2017)
Keywords: Large-dimensional asymptotics; Numerical optimization; Random Matrix Theory; Spectrum estimation;

Fund-of-funds construction by statistical multiple testing methods,
Michael Wolf and Dan Wunderli, from Institute for Empirical Research in Economics - University of Zurich (2009)
Keywords: Bootstrap, familywise error rate, fund-of-funds, performance evaluation

Robust performance hypothesis testing with the variance,
Olivier Ledoit and Michael Wolf, from Institute for Empirical Research in Economics - University of Zurich (2010)
Keywords: Bootstrap, HAC inference, Variance

Nonlinear shrinkage estimation of large-dimensional covariance matrices,
Olivier Ledoit and Michael Wolf, from Institute for Empirical Research in Economics - University of Zurich (2011)
Keywords: Large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance

Robust Performance Hypothesis Testing with the Sharpe Ratio,
Olivier Ledoit and Michael Wolf, from Institute for Empirical Research in Economics - University of Zurich (2008)
Keywords: Bootstrap, HAC inference, Sharpe ratio

Robust performance hypothesis testing with the Sharpe ratio,
Olivier Ledoit and Michael Wolf, in Journal of Empirical Finance (2008)
Keywords: Bootstrap HAC inference Sharpe ratio

A well-conditioned estimator for large-dimensional covariance matrices,
Olivier Ledoit and Michael Wolf, in Journal of Multivariate Analysis (2004)
Keywords: Condition number Covariance matrix estimation Empirical Bayes General asymptotics Shrinkage

Avoiding Data Snooping in Multilevel and Mixed Effects Models,
David Afshartous and Michael Wolf, from Institute for Empirical Research in Economics - University of Zurich (2005)
Keywords: Data snooping, hierarchical linear models, hypothesis testing, pairwise comparisons, random e�ects, rankings

Subsampling the mean of heavy‐tailed dependent observations,
Piotr Kokoszka and Michael Wolf, in Journal of Time Series Analysis (2004)

Avoiding ‘data snooping’ in multilevel and mixed effects models,
David Afshartous and Michael Wolf, in Journal of the Royal Statistical Society Series A (2007)

Agricultural Productivity Across Prussia During the Industrial Revolution: A Thünen Perspective,
Michael Kopsidis and Nikolaus Wolf, in The Journal of Economic History (2012)

Agricultural Productivity Across Prussia During the Industrial Revolution: A ThŸnen Perspective,
Michael Kopsidis and Nikolaus Wolf, from European Historical Economics Society (EHES) (2012)
Keywords: Prussia, Agricultural Productivity, Industrialisation, Market Access

The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation,
Olivier Ledoit and Michael Wolf, in Journal of Financial Econometrics (2022)
Keywords: dynamic conditional correlations, factor models, large-dimensional asymptotics, Markowitz’s portfolio selection, rotation equivariance

A well conditioned estimator for large dimensional covariance matrices,
Olivier Ledoit and Michael Wolf, from Universidad Carlos III de Madrid. Departamento de Estadística (2000)
Keywords: Covariance matrix estimation

Improved estimation of the covariance matrix of stock returns with an application to portfolio selection,
Olivier Ledoit and Michael Wolf, from Universidad Carlos III de Madrid. Departamento de Estadística (2000)
Keywords: Covariance matrix estimation

Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks,
Olivier Ledoit and Michael Wolf, in The Review of Financial Studies (2017)

Improved estimation of the covariance matrix of stock returns with an application to portfolio selection,
Olivier Ledoit and Michael Wolf, in Journal of Empirical Finance (2003)

Privatising national oil companies: Assessing the impact on firm performance,
Christian Wolf and Michael Pollitt, from Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2008)
Keywords: Privatisation, ownership, corporate performance, anticipation, oil and gas industry

The Welfare Implications of Oil Privatisation: A Cost-Benefit Analysis of Norway's Statoil,
Christian Wolf and Michael Pollitt, from Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2009)
Keywords: Privatisation, Cost-Benefit, Welfare, Oil and Gas, Norway

Subsampling inference in threshold autoregressive models,
Jesus Gonzalo and Michael Wolf, in Journal of Econometrics (2005)

Subsampling inference in threshold autoregressive models,
Jesus Gonzalo and Michael Wolf, from Department of Economics and Business, Universitat Pompeu Fabra (2001)
Keywords: Confidence intervals, continuity, subsampling, threshold autoregressive models, regime shifts

Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size,
Olivier Ledoit and Michael Wolf, from Department of Economics and Business, Universitat Pompeu Fabra (2001)
Keywords: Concentration asymptotics, equality test, sphericity test

Improved estimation of the covariance matrix of stock returns with an application to portofolio selection,
Olivier Ledoit and Michael Wolf, from Department of Economics and Business, Universitat Pompeu Fabra (2001)
Keywords: Covariance matrix estimation, factor models, portofolio selection, shrinkage

Subsampling the mean of heavy-tailed dependent observations,
Piotr Kokoszka and Michael Wolf, from Department of Economics and Business, Universitat Pompeu Fabra (2002)
Keywords: Heavy tails, linear time series, subsampling

Honey, I shrunk the sample covariance matrix,
Olivier Ledoit and Michael Wolf, from Department of Economics and Business, Universitat Pompeu Fabra (2003)
Keywords: Covariance matrix, Markovitz optimization, shrinkage, tracking error

Exact and approximate stepdown methods for multiple hypothesis testing,
Joseph Romano and Michael Wolf, from Department of Economics and Business, Universitat Pompeu Fabra (2003)
Keywords: Bootstrap, familywise error rate, multiple testing, permutation test, randomization test, stepdown procedure, subsampling

Privatising national oil companies: Assessing the impact on firm performance,
Christian Wolf and Michael Pollitt, from Faculty of Economics, University of Cambridge (2008)
Keywords: Privatisation, ownership, corporate performance, anticipation, oil and gas industry

The Welfare Implications of Oil Privatisation: A Cost-Benefit Analysis of Norway’s Statoil,
Christian Wolf and Michael Pollitt, from Faculty of Economics, University of Cambridge (2009)
Keywords: Privatisation, Cost-Benefit, Welfare, Oil and Gas, Norway

Honey, I Shrunk the Sample Covariance Matrix,
Olivier Ledoit and Michael Wolf, from Barcelona School of Economics (2003)
Keywords: Covariance matrix, markowitz optimization, shrinkage, tracking error

Balanced bootstrap joint confidence bands for structural impulse response functions,
Stefan Bruder and Michael Wolf, from Department of Economics - University of Zurich (2018)
Keywords: Bootstrap, impulse response functions, joint confidence bands, vector autoregressive process

Bootstrap joint prediction regions,
Michael Wolf and Dan Wunderli, from Department of Economics - University of Zurich (2013)
Keywords: Generalized error rates, path forecast, simultaneous prediction intervals

Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions,
Olivier Ledoit and Michael Wolf, from Department of Economics - University of Zurich (2013)
Keywords: Large-dimensional asymptotics, covariance matrix eigenvalues, nonlinear shrinkage, principal component analysis

Optimal estimation of a large-dimensional covariance matrix under Stein’s loss,
Olivier Ledoit and Michael Wolf, from Department of Economics - University of Zurich (2017)
Keywords: Large-dimensional asymptotics, nonlinear shrinkage estimation, random matrix theory, rotation equivariance, Stein’s loss

Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks,
Olivier Ledoit and Michael Wolf, from Department of Economics - University of Zurich (2017)
Keywords: Large-dimensional asymptotics, Markowitz portfolio selection, nonlinear shrinkage

The (possible) effect of plain packaging on the smoking prevalence of minors in Australia: a trend analysis,
Ashok Kaul and Michael Wolf, from Department of Economics - University of Zurich (2014)
Keywords: Plain packaging, smoking prevalence, treatment effect, trend analysis

The (possible) effect of plain packaging on smoking prevalence in Australia: a trend analysis,
Ashok Kaul and Michael Wolf, from Department of Economics - University of Zurich (2014)
Keywords: Plain packaging, smoking prevalence, treatment effect, trend analysis

Numerical implementation of the QuEST function,
Olivier Ledoit and Michael Wolf, from Department of Economics - University of Zurich (2017)
Keywords: Large-dimensional asymptotics, numerical optimization, random matrix theory, spectrum estimation

Analytical nonlinear shrinkage of large-dimensional covariance matrices,
Olivier Ledoit and Michael Wolf, from Department of Economics - University of Zurich (2018)
Keywords: Kernel estimation, Hilbert transform, large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance

Robust performance hypothesis testing with smooth functions of population moments,
Olivier Ledoit and Michael Wolf, from Department of Economics - University of Zurich (2018)
Keywords: Bootstrap, HAC inference, kurtosis, Sharpe ratio, sknewness, variance

The power of (non-)linear shrinking: a review and guide to covariance matrix estimation,
Olivier Ledoit and Michael Wolf, from Department of Economics - University of Zurich (2020)
Keywords: Dynamic conditional correlations, factor models, large-dimensional asymptotics, Markowitz portfolio selection, rotation equivariance

Shrinkage estimation of large covariance matrices: keep it simple, statistician?,
Olivier Ledoit and Michael Wolf, from Department of Economics - University of Zurich (2021)
Keywords: Large-dimensional asymptotics, random matrix theory, rotation equivariance

Quadratic shrinkage for large covariance matrices,
Olivier Ledoit and Michael Wolf, from Department of Economics - University of Zurich (2020)
Keywords: Inverse shrinkage, Hilbert transform, large-dimensional asymptotics, signal amplitude, Stein shrinkage

Markowitz portfolios under transaction costs,
Olivier Ledoit and Michael Wolf, from Department of Economics - University of Zurich (2024)
Keywords: Covariance matrix estimation, mean-variance efficiency, multivariate GARCH, portfolio selection, transaction costs

Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions,
Stefan Bruder and Michael Wolf, in Journal of Time Series Analysis (2018)

Heterogeneity matters: Contact structure and individual variation shape epidemic dynamics,
Gerrit Großmann, Michael Backenköhler and Verena Wolf, in PLOS ONE (2021)

Strong codetermination - stable companies: An empirical analysis in lights of the recent financial crisis,
Marc Steffen Rapp and Wolf Michael, from Hans-Böckler-Stiftung, Düsseldorf (2019)

Starke Mitbestimmung, stabile Unternehmen: Eine empirische Analyse vor dem Hintergrund der Finanz- und Wirtschaftskrise,
Marc Steffen Rapp and Wolf Michael, from Hans-Böckler-Stiftung, Düsseldorf (2019)

Is the Juice Worth the Squeeze? A Benefit/Cost Analysis of the District of Columbia Opportunity Scholarship Program,
Patrick J. Wolf and Michael McShane, in Education Finance and Policy (2013)
Keywords: voucher programs, scholarship programs, DC Opportunity Scholarship Program, District of Columbia

Regional Entrepreneurial Opportunities in the Biotech Industry: Exploring the Transition from Award-winning Nascent Entrepreneurs to Real Start-ups,
Harald Wolf, Claus Michelsen and Michael Schwartz, from Halle Institute for Economic Research (IWH) (2010)
Keywords: Nascent entrepreneurship, entrepreneurial opportunities, start-ups, regional environment, biotechnology, R&D, Nascent entrepreneurship, entrepreneurial opportunities, Unternehmensgründungen, regionale Rahmenbedingungen, Biotechnologie, FuE

Feed control of anaerobic digestion processes for renewable energy production: A review,
Daniel Gaida, Christian Wolf and Michael Bongards, in Renewable and Sustainable Energy Reviews (2017)
Keywords: Anaerobic digestion; Biogas; Feed control; Review; Wastewater treatment;

A more general central limit theorem for m-dependent random variables with unbounded m,
Joseph P. Romano and Michael Wolf, in Statistics & Probability Letters (2000)
Keywords: Central limit theorem m-dependent random variables

Resurrecting weighted least squares,
Joseph P. Romano and Michael Wolf, in Journal of Econometrics (2017)
Keywords: Conditional heteroskedasticity; HC standard errors; Weighted least squares;

Testing for monotonicity in expected asset returns,
Joseph P. Romano and Michael Wolf, in Journal of Empirical Finance (2013)
Keywords: Bootstrap; CAPM; Monotonicity tests; Non-monotonic relations;

Control of Generalized Error Rates in Multiple Testing,
Joseph P. Romano and Michael Wolf, from Institute for Empirical Research in Economics - University of Zurich
Keywords: Bootstrap, False Discovery Proportion, False Discovery Rate, Generalized Familywise Error Rates, Multiple Testing, Stepdown Procedure.

Balanced Control of Generalized Error Rates,
Joseph P. Romano and Michael Wolf, from Institute for Empirical Research in Economics - University of Zurich (2008)
Keywords: Bootstrap, False Discovery Proportion, Generalized familywise error rate, Multiple Testing, Stepdown procedure

Subsampling Intervals in Autoregressive Models with Linear Time Trend,
Joseph P Romano and Michael Wolf, in Econometrica (2001)

Improved Nonparametric Confidence Intervals in Time Series Regressions,
Joseph P. Romano and Michael Wolf, from Institute for Empirical Research in Economics - University of Zurich (2006)
Keywords: Bootstrap, Confidence Intervals, Studentization, Time Series Regressions, Prewhitening

Regional Entrepreneurial Opportunities in the Biotech Industry: Exploring the Transition from Award-Winning Nascent Entrepreneurs to Real Start-Ups,
Claus Michelsen, Harald Wolf and Michael Schwartz, in European Planning Studies (2013)

Stepwise Multiple Testing as Formalized Data Snooping,
Joseph P. Romano and Michael Wolf, in Econometrica (2005)

Hedging Forecast Combinations With an Application to the Random Forest,
Elliot Beck, Damian Kozbur and Michael Wolf, from arXiv.org (2023)

Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing,
Joseph P. Romano and Michael Wolf, in Journal of the American Statistical Association (2005)

Efficient computation of adjusted p-values for resampling-based stepdown multiple testing,
Joseph P. Romano and Michael Wolf, in Statistics & Probability Letters (2016)
Keywords: Adjusted p-values; Multiple testing; Resampling; Stepdown procedure;

Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies,
Olivier Ledoit, Michael Wolf and Zhao Zhao, in Journal of Financial Econometrics (2019)
Keywords: cross-section of returns, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage

Subsampling inference in cube root asymptotics with an application to manski's maximum score estimator,
Juan M. Rodríguez Poo and Michael Wolf, from Universidad Carlos III de Madrid. Departamento de Estadística (2000)
Keywords: Subsampling

Subsampling confidence intervals for the autoregressive root,
Joseph P. Romano and Michael Wolf, from Universidad Carlos III de Madrid. Departamento de Estadística (1998)
Keywords: Autoregressive Time Series

Finite sample nonparametric inference and large sample efficiency,
Joseph P. Romano and Michael Wolf, from Universidad Carlos III de Madrid. Departamento de Estadística (1998)
Keywords: Confidence intervals

Subsampling intervals in autoregressive models with linear time trend,
Joseph P. Romano and Michael Wolf, from Universidad Carlos III de Madrid. Departamento de Estadística (1999)
Keywords: Autoregressive time series

Improved nonparametric confidence intervals in time series regressions,
Joseph P. Romano and Michael Wolf, from Universidad Carlos III de Madrid. Departamento de Estadística (2001)

Explicit nonparametric confidence intervals for the variance with guaranteed coverage,
Joseph P. Romano and Michael Wolf, from Universidad Carlos III de Madrid. Departamento de Estadística (2001)

Large Dynamic Covariance Matrices,
Robert Engle, Olivier Ledoit and Michael Wolf, in Journal of Business & Economic Statistics (2019)

Capital Structure and Labour Demand: Investigations Using German Micro Data,
Michael Funke, Wolf Maurer and Holger Strulik, from Hamburg University, Department of Economics (1998)
Keywords: Labour Demand; Panel Data

Capital Structure and Labour Demand: Investigations Using German Micro Data,
Michael Funke, Wolf Maurer and Holger Strulik, in Oxford Bulletin of Economics and Statistics (1999)

Single-firm inference in event studies via the permutation test,
Phuong Anh Nguyen and Michael Wolf, in Empirical Economics (2024)
Keywords: Cumulative abnormal return, Event study, Permutation test

Editorial,
Michael-Jörg Oesterle and Joachim Wolf, in Management International Review (2010)

50 Years of Management International Review and IB/IM Research,
Michael-Jörg Oesterle and Joachim Wolf, in Management International Review (2011)
Keywords: History of MIR, Past and future developments of IB/IM research, Further qualitative and quantitative empirical studies

Control of the false discovery rate under dependence using the bootstrap and subsampling,
Joseph Romano, Azeem Shaikh and Michael Wolf, in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (2008)
Keywords: Bootstrap, Subsampling, False discovery rate, Multiple testing, Stepdown procedure, 62G09, 62G10, 62G20, 62H15,

Rejoinder on: Control of the false discovery rate under dependence using the bootstrap and subsampling,
Joseph Romano, Azeem Shaikh and Michael Wolf, in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (2008)

Cognitive ability and strategic sophistication,
Jeffrey Carpenter, Michael Graham and Jesse Wolf, in Games and Economic Behavior (2013)

CSR as a Driver of Innovation at Swiss Post,
Anne Wolf, Michael Heim and Lorenz Wyss, from Springer (2018)
Keywords: Corporate Social Responsibility (CSR), Mail Carrier, Swiss Soil, Gentle Push, Systemic Change Process

Improved nonparametric confidence intervals in time series regressions,
Joseph P. Romano and Michael Wolf, from Department of Economics and Business, Universitat Pompeu Fabra (2002)
Keywords: Bootstrap, confidence intervals, studentization, time series regressions, prewhitening

Stepwise multiple testing as formalized data snooping,
Joseph P. Romano and Michael Wolf, from Department of Economics and Business, Universitat Pompeu Fabra (2003)
Keywords: Bootstrap, data snooping, familywise error, multiple testing, step-down method

Stepwise Multiple Testing as Formalized Data Snooping,
Joseph P. Romano and Michael Wolf, from Barcelona School of Economics (2003)
Keywords: Bootstrap, data snooping, familywise error, multiple testing, step-down method

Testing for monotonicity in expected asset returns,
Joseph P. Romano and Michael Wolf, from Department of Economics - University of Zurich (2013)
Keywords: Bootstrap, CAPM, monotonicity tests, non-monotonic relations

Resurrecting weighted least squares,
Joseph P. Romano and Michael Wolf, from Department of Economics - University of Zurich (2016)
Keywords: Conditional heteroskedasticity, HC standard errors, weighted least squares

Efficient computation of adjusted p-values for resampling-based stepdown multiple testing,
Joseph P. Romano and Michael Wolf, from Department of Economics - University of Zurich (2016)
Keywords: Adjusted p-values, multiple testing, resampling, stepdown procedure

Large dynamic covariance matrices,
Robert Engle, Olivier Ledoit and Michael Wolf, from Department of Economics - University of Zurich (2017)
Keywords: Composite likelihood, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage.

Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies,
Olivier Ledoit, Michael Wolf and Zhao Zhao, from Department of Economics - University of Zurich (2018)
Keywords: Cross-section of returns, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage