| A well-conditioned estimator for large-dimensional covariance matrices O Ledoit, M Wolf Journal of multivariate analysis 88 (2), 365-411, 2004 | 3377 | 2004 |
| Improved estimation of the covariance matrix of stock returns with an application to portfolio selection O Ledoit, M Wolf Journal of empirical finance 10 (5), 603-621, 2003 | 2164 | 2003 |
| Honey, I shrunk the sample covariance matrix O Ledoit, M Wolf The Journal of Portfolio Management 30 (4), 110-119, 2004 | 1739 | 2004 |
| Robust performance hypothesis testing with the Sharpe ratio O Ledoit, M Wolf Journal of Empirical Finance 15 (5), 850-859, 2008 | 1181 | 2008 |
| Crashes as critical points A Johansen, O Ledoit, D Sornette International Journal of Theoretical and Applied Finance 3 (02), 219-255, 2000 | 657 | 2000 |
| Gain, loss, and asset pricing AE Bernardo, O Ledoit Journal of political economy 108 (1), 144-172, 2000 | 602 | 2000 |
| Nonlinear shrinkage estimation of large-dimensional covariance matrices O Ledoit, M Wolf | 601 | 2012 |
| Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size O Ledoit, M Wolf The Annals of Statistics 30 (4), 1081-1102, 2002 | 493 | 2002 |
| Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks O Ledoit, M Wolf The Review of Financial Studies 30 (12), 4349-4388, 2017 | 414 | 2017 |
| Flexible multivariate GARCH modeling with an application to international stock markets O Ledoit, P Santa-Clara, M Wolf Review of Economics and Statistics 85 (3), 735-747, 2003 | 367 | 2003 |
| Predicting financial crashes using discrete scale invariance A Johansen, D Sornette, L Olivier The Journal of Risk 1 (4), 5-32, 1999 | 366 | 1999 |
| Large dynamic covariance matrices RF Engle, O Ledoit, M Wolf Journal of Business & Economic Statistics 37 (2), 363-375, 2019 | 334 | 2019 |
| Eigenvectors of some large sample covariance matrix ensembles O Ledoit, S Péché Probability Theory and Related Fields 151 (1), 233-264, 2011 | 295 | 2011 |
| Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions O Ledoit, M Wolf Journal of Multivariate Analysis 139, 360-384, 2015 | 222 | 2015 |
| Analytical nonlinear shrinkage of large-dimensional covariance matrices O Ledoit, M Wolf The Annals of Statistics 48 (5), 3043-3065, 2020 | 192 | 2020 |
| Robust performances hypothesis testing with the variance O Ledoit, M Wolf Wilmott 2011 (55), 86-89, 2011 | 174 | 2011 |
| The power of (non-) linear shrinking: A review and guide to covariance matrix estimation O Ledoit, M Wolf Journal of Financial Econometrics 20 (1), 187-218, 2022 | 165 | 2022 |
| Factor models for portfolio selection in large dimensions: The good, the better and the ugly G De Nard, O Ledoit, M Wolf Journal of Financial Econometrics 19 (2), 236-257, 2021 | 142 | 2021 |
| Relative pricing of options with stochastic volatility O Ledoit, P Santa-Clara, S Yan | 138 | 2002 |
| Optimal estimation of a large-dimensional covariance matrix under Stein’s loss O Ledoit, M Wolf | 101 | 2018 |
Michael WolfUniversity of ZurichCorreu electrònic verificat a econ.uzh.ch
