Michael Wolf
Personal Details
First Name: | Michael |
Middle Name: | |
Last Name: | Wolf |
Suffix: | |
RePEc Short-ID: | pwo206 |
[This author has chosen not to make the email address public] | |
http://www.econ.uzh.ch/faculty/wolf.html | |
Department of Economics University of Zurich Zürichbergstrasse 14 CH-8032 Zurich | |
Terminal Degree: | 1996 Department of Economics; Stanford University (from RePEc Genealogy) |
Affiliation
Institut für Volkswirtschaftslehre
Wirtschaftswissenschaftliche Fakutält
Universität Zürich
Zürich, Switzerlandhttp://www.econ.uzh.ch/
RePEc:edi:seizhch (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- David R. Bell & Olivier Ledoit & Michael Wolf, 2023. "A novel estimator of earth's curvature (allowing for inference as well)," ECON - Working Papers 431, Department of Economics - University of Zurich, revised Sep 2023.
- Elliot Beck & Gianluca De Nard & Michael Wolf, 2023.
"Improved inference in financial factor models,"
ECON - Working Papers
430, Department of Economics - University of Zurich.
- Beck, Elliot & De Nard, Gianluca & Wolf, Michael, 2023. "Improved inference in financial factor models," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 364-379.
- Phuong Anh Nguyen & Michael Wolf, 2023. "Single-firm inference in event studies via the permutation test," ECON - Working Papers 425, Department of Economics - University of Zurich, revised Nov 2023.
- Olivier Ledoit & Michael Wolf, 2022. "Markowitz portfolios under transaction costs," ECON - Working Papers 420, Department of Economics - University of Zurich, revised Sep 2024.
- Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf, 2020.
"Large dynamic covariance matrices: enhancements based on intraday data,"
ECON - Working Papers
356, Department of Economics - University of Zurich, revised Jan 2022.
- De Nard, Gianluca & Engle, Robert F. & Ledoit, Olivier & Wolf, Michael, 2022. "Large dynamic covariance matrices: Enhancements based on intraday data," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Olivier Ledoit & Michael Wolf, 2019. "Quadratic shrinkage for large covariance matrices," ECON - Working Papers 335, Department of Economics - University of Zurich, revised Dec 2020.
- Olivier Ledoit & Michael Wolf, 2019. "The power of (non-)linear shrinking: a review and guide to covariance matrix estimation," ECON - Working Papers 323, Department of Economics - University of Zurich, revised Feb 2020.
- Olivier Ledoit & Michael Wolf, 2019. "Shrinkage estimation of large covariance matrices: keep it simple, statistician?," ECON - Working Papers 327, Department of Economics - University of Zurich, revised Jun 2021.
- Gianluca De Nard & Olivier Ledoit & Michael Wolf, 2018. "Factor models for portfolio selection in large dimensions: the good, the better and the ugly," ECON - Working Papers 290, Department of Economics - University of Zurich, revised Dec 2018.
- Olivier Ledoit & Michael Wolf, 2018. "Robust performance hypothesis testing with smooth functions of population moments," ECON - Working Papers 305, Department of Economics - University of Zurich.
- Olivier Ledoit & Michael Wolf, 2017. "Analytical nonlinear shrinkage of large-dimensional covariance matrices," ECON - Working Papers 264, Department of Economics - University of Zurich, revised Nov 2018.
- Stefan Bruder & Michael Wolf, 2017.
"Balanced bootstrap joint confidence bands for structural impulse response functions,"
ECON - Working Papers
246, Department of Economics - University of Zurich, revised Jan 2018.
- Stefan Bruder & Michael Wolf, 2018. "Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(5), pages 641-664, September.
- Joseph P. Romano & Michael Wolf, 2017. "Multiple testing of one-sided hypotheses: combining Bonferroni and the bootstrap," ECON - Working Papers 254, Department of Economics - University of Zurich.
- Olivier Ledoit & Michael Wolf, 2016.
"Numerical implementation of the QuEST function,"
ECON - Working Papers
215, Department of Economics - University of Zurich, revised Jan 2017.
- Ledoit, Olivier & Wolf, Michael, 2017. "Numerical implementation of the QuEST function," Computational Statistics & Data Analysis, Elsevier, vol. 115(C), pages 199-223.
- Olivier Ledoit & Michael Wolf & Zhao Zhao, 2016. "Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies," ECON - Working Papers 238, Department of Economics - University of Zurich, revised May 2018.
- Cyrus J. DiCiccio & Joseph P. Romano & Michael Wolf, 2016. "Improving weighted least squares inference," ECON - Working Papers 232, Department of Economics - University of Zurich, revised Nov 2017.
- Joseph P. Romano & Michael Wolf, 2016.
"Efficient computation of adjusted p-values for resampling-based stepdown multiple testing,"
ECON - Working Papers
219, Department of Economics - University of Zurich.
- Romano, Joseph P. & Wolf, Michael, 2016. "Efficient computation of adjusted p-values for resampling-based stepdown multiple testing," Statistics & Probability Letters, Elsevier, vol. 113(C), pages 38-40.
- Robert F. Engle & Olivier Ledoit & Michael Wolf, 2016.
"Large dynamic covariance matrices,"
ECON - Working Papers
231, Department of Economics - University of Zurich, revised Apr 2017.
- Robert F. Engle & Olivier Ledoit & Michael Wolf, 2019. "Large Dynamic Covariance Matrices," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(2), pages 363-375, April.
- Ashok Kaul & Michael Wolf, 2014. "The (possible) effect of plain packaging on smoking prevalence in Australia: a trend analysis," ECON - Working Papers 165, Department of Economics - University of Zurich.
- Joseph P. Romano & Michael Wolf, 2014.
"Resurrecting weighted least squares,"
ECON - Working Papers
172, Department of Economics - University of Zurich, revised Oct 2016.
- Romano, Joseph P. & Wolf, Michael, 2017. "Resurrecting weighted least squares," Journal of Econometrics, Elsevier, vol. 197(1), pages 1-19.
- Ashok Kaul & Michael Wolf, 2014. "The (possible) effect of plain packaging on the smoking prevalence of minors in Australia: a trend analysis," ECON - Working Papers 149, Department of Economics - University of Zurich, revised May 2014.
- Olivier Ledoit & Michael Wolf, 2014. "Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks," ECON - Working Papers 137, Department of Economics - University of Zurich, revised Feb 2017.
- Olivier Ledoit & Michael Wolf, 2013. "Optimal estimation of a large-dimensional covariance matrix under Stein’s loss," ECON - Working Papers 122, Department of Economics - University of Zurich, revised Mar 2017.
- Olivier Ledoit & Michael Wolf, 2013.
"Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions,"
ECON - Working Papers
105, Department of Economics - University of Zurich, revised Jul 2013.
- Ledoit, Olivier & Wolf, Michael, 2015. "Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 360-384.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2012.
"A practical two-step method for testing moment inequalities,"
ECON - Working Papers
090, Department of Economics - University of Zurich, revised Apr 2014.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2014. "A Practical Two‐Step Method for Testing Moment Inequalities," Econometrica, Econometric Society, vol. 82, pages 1979-2002, September.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2014. "A Practical Two‐Step Method for Testing Moment Inequalities," Econometrica, Econometric Society, vol. 82(5), pages 1979-2002, September.
- David R. Bell & Olivier Ledoit & Michael Wolf, 2012. "A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction," ECON - Working Papers 079, Department of Economics - University of Zurich, revised Dec 2013.
- Michael Wolf & Dan Wunderli, 2012. "Bootstrap joint prediction regions," ECON - Working Papers 064, Department of Economics - University of Zurich, revised May 2013.
- Joseph P. Romano & Michael Wolf, 2011. "Testing for monotonicity in expected asset returns," ECON - Working Papers 017, Department of Economics - University of Zurich, revised Jan 2013.
- Olivier Ledoit & Michael Wolf, 2011. "Nonlinear shrinkage estimation of large-dimensional covariance matrices," IEW - Working Papers 515, Institute for Empirical Research in Economics - University of Zurich.
- Olivier Ledoit & Michael Wolf, 2010. "Robust performance hypothesis testing with the variance," IEW - Working Papers 516, Institute for Empirical Research in Economics - University of Zurich.
- Michael Wolf & Dan Wunderli, 2009. "Fund-of-funds construction by statistical multiple testing methods," IEW - Working Papers 445, Institute for Empirical Research in Economics - University of Zurich.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2009.
"Hypothesis testing in econometrics,"
IEW - Working Papers
444, Institute for Empirical Research in Economics - University of Zurich.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2010. "Hypothesis Testing in Econometrics," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 75-104, September.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2009.
"Consonance and the closure method in multiple testing,"
IEW - Working Papers
446, Institute for Empirical Research in Economics - University of Zurich.
- Romano Joseph P. & Shaikh Azeem & Wolf Michael, 2011. "Consonance and the Closure Method in Multiple Testing," The International Journal of Biostatistics, De Gruyter, vol. 7(1), pages 1-25, February.
- Joseph P. Romano & Michael Wolf, 2008. "Balanced Control of Generalized Error Rates," IEW - Working Papers 379, Institute for Empirical Research in Economics - University of Zurich.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2008.
"Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling,"
IEW - Working Papers
337, Institute for Empirical Research in Economics - University of Zurich.
- Joseph Romano & Azeem Shaikh & Michael Wolf, 2008. "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, vol. 17(3), pages 417-442, November.
- Richard M. Bittman & Joseph P. Romano & Carlos Vallarino & Michael Wolf, 2008.
"Optimal testing of multiple hypotheses with common effect direction,"
IEW - Working Papers
307, Institute for Empirical Research in Economics - University of Zurich.
- Richard M. Bittman & Joseph P. Romano & Carlos Vallarino & Michael Wolf, 2009. "Optimal testing of multiple hypotheses with common effect direction," Biometrika, Biometrika Trust, vol. 96(2), pages 399-410.
- Oliver Ledoit & Michael Wolf, 2008.
"Robust Performance Hypothesis Testing with the Sharpe Ratio,"
IEW - Working Papers
320, Institute for Empirical Research in Economics - University of Zurich.
- Ledoit, Oliver & Wolf, Michael, 2008. "Robust performance hypothesis testing with the Sharpe ratio," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 850-859, December.
- Michael Wolf, 2006. "Resampling vs. Shrinkage for Benchmarked Managers," IEW - Working Papers 263, Institute for Empirical Research in Economics - University of Zurich.
- David Afshartous & Michael Wolf, 2005.
"Avoiding Data Snooping in Multilevel and Mixed Effects Models,"
IEW - Working Papers
260, Institute for Empirical Research in Economics - University of Zurich.
- David Afshartous & Michael Wolf, 2007. "Avoiding ‘data snooping’ in multilevel and mixed effects models," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 170(4), pages 1035-1059, October.
- Joseph P & Romano & Azeem M. Shaikh & Michael Wolf, 2005.
"Formalized Data Snooping Based on Generalized Error Rates,"
IEW - Working Papers
259, Institute for Empirical Research in Economics - University of Zurich.
- Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008. "Formalized Data Snooping Based On Generalized Error Rates," Econometric Theory, Cambridge University Press, vol. 24(2), pages 404-447, April.
- Joseph P. Romano & Michael Wolf, 2003.
"Stepwise Multiple Testing as Formalized Data Snooping,"
Working Papers
17, Barcelona School of Economics.
- Joseph P. Romano & Michael Wolf, 2005. "Stepwise Multiple Testing as Formalized Data Snooping," Econometrica, Econometric Society, vol. 73(4), pages 1237-1282, July.
- Joseph P. Romano & Michael Wolf, 2003. "Stepwise multiple testing as formalized data snooping," Economics Working Papers 712, Department of Economics and Business, Universitat Pompeu Fabra.
- Olivier Ledoit & Michael Wolf, 2003.
"Honey, I Shrunk the Sample Covariance Matrix,"
Working Papers
92, Barcelona School of Economics.
- Olivier Ledoit & Michael Wolf, 2003. "Honey, I shrunk the sample covariance matrix," Economics Working Papers 691, Department of Economics and Business, Universitat Pompeu Fabra.
- Joseph Romano & Michael Wolf, 2003.
"Exact and approximate stepdown methods for multiple hypothesis testing,"
Economics Working Papers
727, Department of Economics and Business, Universitat Pompeu Fabra.
- Joseph P. Romano & Michael Wolf, 2005. "Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 94-108, March.
- Piotr Kokoszka & Michael Wolf, 2002. "Subsampling the mean of heavy-tailed dependent observations," Economics Working Papers 600, Department of Economics and Business, Universitat Pompeu Fabra.
- Romano, Joseph P. & Wolf, Michael, 2001.
"Improved nonparametric confidence intervals in time series regressions,"
DES - Working Papers. Statistics and Econometrics. WS
ws010201, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Joseph P. Romano & Michael Wolf, 2006. "Improved Nonparametric Confidence Intervals in Time Series Regressions," IEW - Working Papers 273, Institute for Empirical Research in Economics - University of Zurich.
- Joseph P. Romano & Michael Wolf, 2002. "Improved nonparametric confidence intervals in time series regressions," Economics Working Papers 635, Department of Economics and Business, Universitat Pompeu Fabra.
- Jesús Gonzalo & Michael Wolf, 2001.
"Subsampling inference in threshold autoregressive models,"
Economics Working Papers
573, Department of Economics and Business, Universitat Pompeu Fabra.
- Gonzalo, Jesus & Wolf, Michael, 2005. "Subsampling inference in threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 127(2), pages 201-224, August.
- Olivier Ledoit & Michael Wolf, 2001. "Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size," Economics Working Papers 575, Department of Economics and Business, Universitat Pompeu Fabra.
- Romano, Joseph P. & Wolf, Michael, 2001. "Explicit nonparametric confidence intervals for the variance with guaranteed coverage," DES - Working Papers. Statistics and Econometrics. WS ws010302, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ledoit, Olivier & Wolf, Michael, 2000.
"A well conditioned estimator for large dimensional covariance matrices,"
DES - Working Papers. Statistics and Econometrics. WS
10087, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
- Rodríguez Poo, Juan M. & Wolf, Michael, 2000.
"Subsampling inference in cube root asymptotics with an application to manski's maximum score estimator,"
DES - Working Papers. Statistics and Econometrics. WS
10110, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Delgado, Miguel A. & Rodriguez-Poo, Juan M. & Wolf, Michael, 2001. "Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator," Economics Letters, Elsevier, vol. 73(2), pages 241-250, November.
- Ledoit, Olivier & Wolf, Michael, 2000.
"Improved estimation of the covariance matrix of stock returns with an application to portfolio selection,"
DES - Working Papers. Statistics and Econometrics. WS
10089, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ledoit, Olivier & Wolf, Michael, 2003. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 603-621, December.
- Olivier Ledoit & Michael Wolf, 2001. "Improved estimation of the covariance matrix of stock returns with an application to portofolio selection," Economics Working Papers 586, Department of Economics and Business, Universitat Pompeu Fabra.
- Romano, Joseph P. & Wolf, Michael, 1999.
"Subsampling intervals in autoregressive models with linear time trend,"
DES - Working Papers. Statistics and Econometrics. WS
6400, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Romano, Joseph P & Wolf, Michael, 2001. "Subsampling Intervals in Autoregressive Models with Linear Time Trend," Econometrica, Econometric Society, vol. 69(5), pages 1283-1314, September.
- Politis, Dimitris N. & Romano, Joseph P. & Wolf, Michael, 1999. "On the asymptotic theory of subsampling," DES - Working Papers. Statistics and Econometrics. WS 6334, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Politis, Dimitris N. & Wolf, Michael & Romano, Joseph P., 1999. "Subsampling, symmetrization, and robust interpolation," DES - Working Papers. Statistics and Econometrics. WS 6343, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ledoit, Olivier & Santa-Clara, Pedro & Wolf, Michael, 1999.
"Flexible Multivariate GARCH Modeling With an Application to International Stock Markets,"
University of California at Los Angeles, Anderson Graduate School of Management
qt93s6p8gb, Anderson Graduate School of Management, UCLA.
- Olivier Ledoit & Pedro Santa-Clara & Michael Wolf, 2003. "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 735-747, August.
- Olivier Ledoit & Pedro Santa Clara & Michael Wolf, 2001. "Flexible multivariate GARCH modeling with an application to international stock markets," Economics Working Papers 578, Department of Economics and Business, Universitat Pompeu Fabra.
- Romano, Joseph P. & Wolf, Michael, 1998. "Finite sample nonparametric inference and large sample efficiency," DES - Working Papers. Statistics and Econometrics. WS 6269, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Romano, Joseph P. & Wolf, Michael, 1998. "Subsampling confidence intervals for the autoregressive root," DES - Working Papers. Statistics and Econometrics. WS 6268, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Joseph P. Romano & Michael Wolf, "undated". "Control of Generalized Error Rates in Multiple Testing," IEW - Working Papers 245, Institute for Empirical Research in Economics - University of Zurich.
Articles
- Damian Clarke & Joseph P. Romano & Michael Wolf, 2020.
"The Romano–Wolf multiple-hypothesis correction in Stata,"
Stata Journal, StataCorp LP, vol. 20(4), pages 812-843, December.
- Clarke, Damian & Romano, Joseph P. & Wolf, Michael, 2019. "The Romano-Wolf Multiple Hypothesis Correction in Stata," IZA Discussion Papers 12845, Institute of Labor Economics (IZA).
- Romano, Joseph P. & Wolf, Michael, 2017.
"Resurrecting weighted least squares,"
Journal of Econometrics, Elsevier, vol. 197(1), pages 1-19.
- Joseph P. Romano & Michael Wolf, 2014. "Resurrecting weighted least squares," ECON - Working Papers 172, Department of Economics - University of Zurich, revised Oct 2016.
- Romano, Joseph P. & Wolf, Michael, 2016.
"Efficient computation of adjusted p-values for resampling-based stepdown multiple testing,"
Statistics & Probability Letters, Elsevier, vol. 113(C), pages 38-40.
- Joseph P. Romano & Michael Wolf, 2016. "Efficient computation of adjusted p-values for resampling-based stepdown multiple testing," ECON - Working Papers 219, Department of Economics - University of Zurich.
- Ledoit, Olivier & Wolf, Michael, 2015.
"Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions,"
Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 360-384.
- Olivier Ledoit & Michael Wolf, 2013. "Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions," ECON - Working Papers 105, Department of Economics - University of Zurich, revised Jul 2013.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2014.
"A Practical Two‐Step Method for Testing Moment Inequalities,"
Econometrica, Econometric Society, vol. 82, pages 1979-2002, September.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2014. "A Practical Two‐Step Method for Testing Moment Inequalities," Econometrica, Econometric Society, vol. 82(5), pages 1979-2002, September.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2012. "A practical two-step method for testing moment inequalities," ECON - Working Papers 090, Department of Economics - University of Zurich, revised Apr 2014.
- Romano Joseph P. & Shaikh Azeem & Wolf Michael, 2011.
"Consonance and the Closure Method in Multiple Testing,"
The International Journal of Biostatistics, De Gruyter, vol. 7(1), pages 1-25, February.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2009. "Consonance and the closure method in multiple testing," IEW - Working Papers 446, Institute for Empirical Research in Economics - University of Zurich.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2010.
"Hypothesis Testing in Econometrics,"
Annual Review of Economics, Annual Reviews, vol. 2(1), pages 75-104, September.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2009. "Hypothesis testing in econometrics," IEW - Working Papers 444, Institute for Empirical Research in Economics - University of Zurich.
- Richard M. Bittman & Joseph P. Romano & Carlos Vallarino & Michael Wolf, 2009.
"Optimal testing of multiple hypotheses with common effect direction,"
Biometrika, Biometrika Trust, vol. 96(2), pages 399-410.
- Richard M. Bittman & Joseph P. Romano & Carlos Vallarino & Michael Wolf, 2008. "Optimal testing of multiple hypotheses with common effect direction," IEW - Working Papers 307, Institute for Empirical Research in Economics - University of Zurich.
- Joseph Romano & Azeem Shaikh & Michael Wolf, 2008.
"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, vol. 17(3), pages 417-442, November.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2008. "Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling," IEW - Working Papers 337, Institute for Empirical Research in Economics - University of Zurich.
- Ledoit, Oliver & Wolf, Michael, 2008.
"Robust performance hypothesis testing with the Sharpe ratio,"
Journal of Empirical Finance, Elsevier, vol. 15(5), pages 850-859, December.
- Oliver Ledoit & Michael Wolf, 2008. "Robust Performance Hypothesis Testing with the Sharpe Ratio," IEW - Working Papers 320, Institute for Empirical Research in Economics - University of Zurich.
- Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008.
"Formalized Data Snooping Based On Generalized Error Rates,"
Econometric Theory, Cambridge University Press, vol. 24(2), pages 404-447, April.
- Joseph P & Romano & Azeem M. Shaikh & Michael Wolf, 2005. "Formalized Data Snooping Based on Generalized Error Rates," IEW - Working Papers 259, Institute for Empirical Research in Economics - University of Zurich.
- Joseph Romano & Azeem Shaikh & Michael Wolf, 2008. "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, vol. 17(3), pages 461-471, November.
- David Afshartous & Michael Wolf, 2007.
"Avoiding ‘data snooping’ in multilevel and mixed effects models,"
Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 170(4), pages 1035-1059, October.
- David Afshartous & Michael Wolf, 2005. "Avoiding Data Snooping in Multilevel and Mixed Effects Models," IEW - Working Papers 260, Institute for Empirical Research in Economics - University of Zurich.
- Joseph P. Romano & Michael Wolf, 2005.
"Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing,"
Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 94-108, March.
- Joseph Romano & Michael Wolf, 2003. "Exact and approximate stepdown methods for multiple hypothesis testing," Economics Working Papers 727, Department of Economics and Business, Universitat Pompeu Fabra.
- Gonzalo, Jesus & Wolf, Michael, 2005.
"Subsampling inference in threshold autoregressive models,"
Journal of Econometrics, Elsevier, vol. 127(2), pages 201-224, August.
- Jesús Gonzalo & Michael Wolf, 2001. "Subsampling inference in threshold autoregressive models," Economics Working Papers 573, Department of Economics and Business, Universitat Pompeu Fabra.
- Joseph P. Romano & Michael Wolf, 2005.
"Stepwise Multiple Testing as Formalized Data Snooping,"
Econometrica, Econometric Society, vol. 73(4), pages 1237-1282, July.
- Joseph P. Romano & Michael Wolf, 2003. "Stepwise Multiple Testing as Formalized Data Snooping," Working Papers 17, Barcelona School of Economics.
- Joseph P. Romano & Michael Wolf, 2003. "Stepwise multiple testing as formalized data snooping," Economics Working Papers 712, Department of Economics and Business, Universitat Pompeu Fabra.
- Ledoit, Olivier & Wolf, Michael, 2004.
"A well-conditioned estimator for large-dimensional covariance matrices,"
Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
- Ledoit, Olivier & Wolf, Michael, 2000. "A well conditioned estimator for large dimensional covariance matrices," DES - Working Papers. Statistics and Econometrics. WS 10087, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Dimitris N. Politis & Joseph P. Romano & Michael Wolf, 2004. "Inference for Autocorrelations in the Possible Presence of a Unit Root," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 251-263, March.
- Ledoit, Olivier & Wolf, Michael, 2003.
"Improved estimation of the covariance matrix of stock returns with an application to portfolio selection,"
Journal of Empirical Finance, Elsevier, vol. 10(5), pages 603-621, December.
- Olivier Ledoit & Michael Wolf, 2001. "Improved estimation of the covariance matrix of stock returns with an application to portofolio selection," Economics Working Papers 586, Department of Economics and Business, Universitat Pompeu Fabra.
- Ledoit, Olivier & Wolf, Michael, 2000. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," DES - Working Papers. Statistics and Econometrics. WS 10089, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Olivier Ledoit & Pedro Santa-Clara & Michael Wolf, 2003.
"Flexible Multivariate GARCH Modeling with an Application to International Stock Markets,"
The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 735-747, August.
- Ledoit, Olivier & Santa-Clara, Pedro & Wolf, Michael, 1999. "Flexible Multivariate GARCH Modeling With an Application to International Stock Markets," University of California at Los Angeles, Anderson Graduate School of Management qt93s6p8gb, Anderson Graduate School of Management, UCLA.
- Olivier Ledoit & Pedro Santa Clara & Michael Wolf, 2001. "Flexible multivariate GARCH modeling with an application to international stock markets," Economics Working Papers 578, Department of Economics and Business, Universitat Pompeu Fabra.
- Romano, Joseph P & Wolf, Michael, 2001.
"Subsampling Intervals in Autoregressive Models with Linear Time Trend,"
Econometrica, Econometric Society, vol. 69(5), pages 1283-1314, September.
- Romano, Joseph P. & Wolf, Michael, 1999. "Subsampling intervals in autoregressive models with linear time trend," DES - Working Papers. Statistics and Econometrics. WS 6400, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Delgado, Miguel A. & Rodriguez-Poo, Juan M. & Wolf, Michael, 2001.
"Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator,"
Economics Letters, Elsevier, vol. 73(2), pages 241-250, November.
- Rodríguez Poo, Juan M. & Wolf, Michael, 2000. "Subsampling inference in cube root asymptotics with an application to manski's maximum score estimator," DES - Working Papers. Statistics and Econometrics. WS 10110, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Romano, Joseph P. & Wolf, Michael, 2000. "A more general central limit theorem for m-dependent random variables with unbounded m," Statistics & Probability Letters, Elsevier, vol. 47(2), pages 115-124, April.
- Wolf, Michael, 2000. "Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 18-30, January.
- Politis, D. N. & Romano, Joseph P. & Wolf, Michael, 1997. "Subsampling for heteroskedastic time series," Journal of Econometrics, Elsevier, vol. 81(2), pages 281-317, December.
Chapters
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2010. "multiple testing," The New Palgrave Dictionary of Economics,, Palgrave Macmillan.
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- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
- h-index
- Number of Registered Citing Authors
- Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
- Number of Journal Pages, Weighted by Simple Impact Factor
- Number of Journal Pages, Weighted by Recursive Impact Factor
- Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
- Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
- Number of Abstract Views in RePEc Services over the past 12 months
- Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
- Euclidian citation score
- Breadth of citations across fields
- Wu-Index
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 47 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (45) 2001-10-29 2001-11-27 2001-11-27 2001-12-19 2002-02-22 2002-08-16 2004-05-16 2004-05-16 2004-05-16 2005-06-05 2006-01-24 2006-01-24 2006-01-24 2006-02-26 2008-02-09 2008-02-09 2008-09-05 2008-10-28 2009-10-03 2009-10-03 2009-10-03 2010-10-23 2010-10-23 2011-05-14 2012-03-08 2012-09-09 2013-01-26 2013-05-24 2014-02-02 2014-09-29 2016-02-29 2016-03-17 2016-08-07 2016-08-21 2016-12-11 2017-04-09 2017-08-13 2017-10-08 2018-07-09 2018-11-05 2019-05-13 2019-11-18 2020-08-17 2023-02-27 2023-04-10. Author is listed
- NEP-ETS: Econometric Time Series (16) 2001-10-29 2001-11-27 2001-11-27 2001-12-19 2002-02-15 2002-08-16 2005-06-05 2006-02-26 2012-03-08 2016-08-07 2017-04-09 2018-07-09 2018-11-05 2019-05-13 2020-08-17 2023-04-10. Author is listed
- NEP-ORE: Operations Research (9) 2008-02-09 2009-10-03 2010-10-23 2014-09-29 2016-08-07 2018-07-09 2019-05-13 2019-07-29 2019-11-18. Author is listed
- NEP-FMK: Financial Markets (3) 2001-11-27 2001-12-19 2022-11-21
- NEP-ENT: Entrepreneurship (2) 2001-11-27 2001-11-27
- NEP-FIN: Finance (2) 2004-05-16 2004-05-26
- NEP-NET: Network Economics (2) 2001-11-27 2001-11-27
- NEP-CSE: Economics of Strategic Management (1) 2016-08-07
- NEP-FOR: Forecasting (1) 2012-03-08
- NEP-GER: German Papers (1) 2014-09-29
- NEP-IAS: Insurance Economics (1) 2002-02-15
- NEP-KNM: Knowledge Management and Knowledge Economy (1) 2018-07-09
- NEP-MAC: Macroeconomics (1) 2005-06-05
- NEP-PKE: Post Keynesian Economics (1) 2002-02-15
- NEP-RMG: Risk Management (1) 2016-08-07
Corrections
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