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Browsing by Author "Ledoit, Olivier"

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Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

Ledoit, Olivier; Santa-Clara, Pedro; Wolf, Michael (2005)
Honey, I Shrunk the Sample Covariance Matrix

Ledoit, Olivier; Wolf, Michael (2005)
Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portofolio Selection

Ledoit, Olivier; Wolf, Michael (2005)
Some Hypothesis Tests for the Covariance Matrix when the Dimension is Large Compared to the Sample Size

Ledoit, Olivier; Wolf, Michael (2005)

Now showing documents 1-4 of 4

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