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Many applied problems require a covariance matrix estimator that is not only invertible, but also well-conditioned (that is, inverting it does not amplify estimation error). For largedimensionalâ€¦ (More)

This paper proposes to estimate the covariance matrix of stock returns by an optimally weighted average of two existing estimators: the sample covariance matrix and single-index covariance matrix.â€¦ (More)

- Ravi Jagannathan, Tongshu Ma, +10 authors Jay A. Shanken
- 2002

Green and Hollifield (1992) argue that the presence of a dominant factor is why we observe extreme negative weights in mean-variance-efficient portfolios constructed using sample moments. In thatâ€¦ (More)

This paper analyzes whether standard covariance matrix tests work when dimensionality is large, and in particular larger than sample size. In the latter case, the singularity of the sample covarianceâ€¦ (More)

The central message of this paper is that nobody should be using the sample covariance matrix for the purpose of portfolio optimization. It contains estimation error of the kind most likely toâ€¦ (More)

In this paper we develop an approach to asset pricing in incomplete markets that gives the modeller the flexibility to control the tradeoff between the precision of equilibrium models and theâ€¦ (More)

- Olivier Ledoit, Pedro Santa-Clara, Michael O Wolf
- 2002

This paper offers a new approach to estimating time-varying covariance matrices in the framework of the diagonal-vech version of the multivariate GARCH(1,1) model. Our method is numerically feasibleâ€¦ (More)

- Olivier Ledoit, Sandrine PÃ©chÃ©
- 2009

We consider sample covariance matrices SN = 1 pÎ£ 1/2 N XNX âˆ— NÎ£ 1/2 N where XN is a N Ã— p real or complex matrix with i.i.d. entries with finite 12 moment and Î£N is aNÃ—N positive definite matrix. Inâ€¦ (More)

- Antonio Bernardo, Mark Britten-Jones, David Hirshleifer, Olivier Ledoit, Mary Ellen Nichols, Ivo Welch
- 2000

The paper shows that the buy or sell recommendations of security analysts have a signi"cant positive in#uence on the recommendations of the next two analysts. This in#uence can be traced toâ€¦ (More)

- Geert Bekaert, Michael Brennan, +6 authors Francis A. Longsta

Empirical researchers have frequently rejected the expectations hypothesis. The expectations hypothesis, however, has seldom, if ever, been tested at the extreme short end of the term structure whereâ€¦ (More)