Publications

Books

Politis, D.N., Romano, J.P., and Wolf, M. (1999).
Subsampling. Springer, New York.

Book Chapters

Wolf, M. and Wunderli, D. (2011).
Fund-of-funds construction by statistical multiple testing methods.
In: Scherer, B. and Winston, K. (eds.), The Oxford Handbook of Quantitative Asset Management, 116-135.
Oxford University Press, Oxford.

Journal Papers

Ledoit, O. and Wolf, M. (2015).

Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions.  (PDF, 885 KB)

Journal of Multivariate Analysis 139, 360-384.

Wolf, M. and Wunderli, D. (2015).

Bootstrap joint prediction regions.  (PDF, 390 KB)

Journal of Time Series Analysis 36, 352-376.

Bell, D.R., Ledoit, O., and Wolf, M. (2014).

A new portfolio formation approach to mispricing of marketing performance indicators: an application to customer satisfaction.  (PDF, 344 KB)

Customer Needs and Solutions 1, 263-276.

Romano, J.P., Shaikh, A.M., and Wolf, M. (2014).

A practical two-step method for testing moment inequalities.  (PDF, 271 KB)

Econometrica 82, 1979-2002.Supplement (PDF, 99 KB)

Romano, J.P. and Wolf, M. (2013).

Testing for monotonicity in expected asset returns.  (PDF, 809 KB)

Journal of Empirical Finance 23, 93-116.

Ledoit, O. and Wolf, M. (2012).

Nonlinear shrinkage estimation of large-dimensional covariance matrices. (PDF, 575 KB)

Annals of Statistics 40, 1024-1060.Supplement (PDF, 209 KB)

Ledoit, O. and Wolf, M. (2011).

Robust performance hypothesis testing with the variance.  (PDF, 115 KB)

Wilmott Magazine, September, 86-89.

Romano, J.P., Shaikh, A.M., and Wolf, M. (2011).

Consonance and the closure method in multiple testing.  (PDF, 1016 KB)

International Journal of Biostatistics 7, Issue 1, Article 12.

Romano, J.P., Shaikh, A.M., and Wolf, M. (2010).

Hypothesis testing in econometrics.  (PDF, 697 KB)

Annual Review of Economics 2, 75-104.

Romano, J.P. and Wolf, M. (2010).

Balanced control of generalized error rates.  (PDF, 307 KB)

Annals of Statistics 38, 598-633.

Bittman, R.M., Romano, J.P., Vallarino, C., and Wolf, M. (2009).

Optimal testing of multiple hypotheses with common effect direction.  (PDF, 159 KB)

Biometrika 96, 399-410.

Romano, J.P., Shaikh, A.M., and Wolf, M. (2008).

Control of the false discovery rate under dependence using the bootstrap and subsampling.  (PDF, 871 KB)

(Invited Paper with discussion), TEST 17, 417-442.

Ledoit, O. and Wolf, M. (2008).

Robust performance hypothesis testing with the Sharpe ratio.  (PDF, 301 KB)

Journal of Empirical Finance 15, 850-859.

Romano, J.P., Shaikh, A.M., and Wolf, M. (2008).

Formalized data snooping based on generalized error rates.  (PDF, 358 KB)

Econometric Theory 24, 404-447.

Afshartous, D. and Wolf, M. (2007).

Avoiding data snooping in multilevel and mixed effects models.  (PDF, 648 KB)

Journal of the Royal Statistical Society, Series A 170, 1035-1059.

Romano, J.P. and Wolf, M. (2007).

Control of generalized error rates in multiple testing.  (PDF, 304 KB)

Annals of Statistics 35, 1378-1408.

Wolf, M. (2007).

Resampling vs. shrinkage for benchmarked managers.  (PDF, 99 KB)

Wilmott Magazine, January, 76-81.

Romano, J.P. and Wolf, M. (2006).

Improved nonparametric confidence intervals in time series regressions. (PDF, 192 KB)

Journal of Nonparametric Statistics 18, 199-214.

Romano, J.P. and Wolf, M. (2005).

Stepwise multiple testing as formalized data snooping.  (PDF, 308 KB)

Econometrica 73, 1237-1282.

Gonzalo, J. and Wolf, M. (2005).

Subsampling inference in threshold autoregressive models.  (PDF, 391 KB)

Journal of Econometrics 127, 201-224.

Romano, J.P. and Wolf, M. (2005).

Exact and approximate stepdown methods for multiple hypothesis testing.  (PDF, 354 KB)

Journal of the American Statistical Association 100, 94-108.

Ledoit, O. and Wolf, M. (2004).

Honey, I shrunk the sample covariance matrix. (PDF, 162 KB)

Journal of Portfolio Management 30, Volume 4, 110-119.

Politis, D.N., Romano, J.P., and Wolf M. (2004).

Inference for autocorrelations in the possible presence of a unit root.  (PDF, 141 KB)

Journal of Time Series Analysis 25, 251-263.

Kokoszka, P. and Wolf, M. (2004). Subsampling the mean of heavy-tailed dependent observations.  (PDF, 178 KB)

Journal of Time Series Analysis 25, 217-234.

Ledoit, O. and Wolf, M. (2004).

A well-conditioned estimator for large-dimensional covariance matrices.  (PDF, 494 KB)

Journal of Multivariate Analysis 88, 365-411.

Ledoit, O. and Wolf, M. (2003).

Improved estimation of the covariance matrix of stock returns with an application to portfolio selection.  (PDF, 193 KB)

Journal of Empirical Finance 10, 603-621.

Ledoit, O., Santa-Clara, P., and Wolf, M. (2003).

Flexible multivariate GARCH modeling with an application to international stock markets.  (PDF, 225 KB)

Review of Economics and Statistics 85, 735-747

Ledoit, O. and Wolf, M. (2002).

Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size.  (PDF, 190 KB)

Annals of Statistics 30, 1081-1102.

Romano, J.P. and Wolf, M. (2002).

Explicit nonparametric confidence intervals for the variance with guaranteed coverage.  (PDF, 123 KB)

Communications in Statististics - Theory and Methods 31, 1231-125.

Politis, D.N., Romano, J.P., and Wolf, M. (2001).

On the asymptotic theory of subsampling.  (PDF, 220 KB)

Statistica Sinica 11, 1105-1124.

Delgado, M., Rodriguez-Poo, J., and Wolf, M. (2001).

Subsampling inference in cube root asymptotics with an application to Manski'smaximum score estimator.  (PDF, 72 KB)

Economics Letters 73, 241-250.

Romano, J.P. and Wolf, M. (2001).

Subsampling intervals in autoregressive models with linear time trend.  (PDF, 383 KB)

Econometrica 69, 1283-1314.

Politis, D.N., Romano, J.P., and Wolf, M. (2000).

Subsampling, symmetrization, and robust interpolation.  (PDF, 129 KB)

Communications in Statististics - Theory and Methods 29, 1741-1758.

Romano, J.P. and Wolf, M. (2000).

Finite sample nonparametric inference and large sample efficiency. (PDF, 185 KB)

Annals of Statistics 28, 756-778.

Romano, J.P. and Wolf, M. (2000).

A more general Central Limit Theorem for 'm'-dependent random variables with unbounded m.  (PDF, 108 KB)

Statistics and Probability Letters 47, 115-124.

Wolf, M. (2000).

Stock returns and dividend yields revisited: A new way to look at an old problem.  (PDF, 540 KB)

Journal of Business and Economic Statistics 18, 18-30.

Romano, J.P. and Wolf, M. (1999).

Inference for the mean in the heavy-tailed case.  (PDF, 141 KB)

Metrika 50, 55-69.

Politis, D.N., Romano, J.P., and Wolf, M. (1999).

Weak convergence of dependent empirical measures with application to subsampling and confidence bands.  (PDF, 100 KB)

Journal of Statistical Planning and Inference 79, 179-191.

Politis, D.N., Romano, J.P., and Wolf, M. (1997).

Subsampling for heteroskedastic time series.  (PDF, 2358 KB)

Journal of Econometrics 81, 281-317.

Programming Code

Romano, J.P., Shaikh, A.M., and Wolf, M. (2014).
A practical two-step method for testing moment inequalities.
Econometrica 82, 1979-2002. R code (ZIP, 17 KB) (ZIP, 16 KB)Matlab code (ZIP, 6 KB) (ZIP, 5 KB)
Ledoit, O. and Wolf, M. (2011).
Robust performance hypothesis testing with the variance.
Wilmott magazine, September, 86-89. R code (ZIP, 48 KB) (ZIP, 46 KB)Matlab Code (ZIP, 155 KB) (ZIP, 151 KB)
Ledoit, O. and Wolf, M. (2008).
Robust performance hypothesis testing with the Sharpe ratio.
Journal of Empirical Finance 15, 850-859. R code (ZIP, 72 KB) (ZIP, 69 KB)Matlab code (ZIP, 20 KB) (ZIP, 19 KB)
Romano, J.P., Shaikh, A.M., and Wolf M. (2008).
Formalized data snooping based on generalized error rates.
Econometric Theory 24(2), 404-447.
R code (ZIP, 5 KB) (ZIP, 4 KB)Matlab code (ZIP, 3.13 MB) (ZIP, 3055 KB)
Ledoit, O. and Wolf, M. (2004).
Honey, I shrunk the sample covariance matrix.
Journal of Portfolio Management 30, Volume 4, 110-119. Matlab code (ZIP, 2 KB) (ZIP, 1 KB)
Ledoit, O. and Wolf, M. (2004).
A well-conditioned estimator for large-dimensional covariance matrices.
Journal of Multivariate Analysis 88, 365-411. Matlab code (ZIP, 2 KB) (ZIP, 1 KB)
Ledoit, O. and Wolf, M. (2003).
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection.
Journal of Empirical Finance 10, 603-621. Matlab code (ZIP, 2 KB) (ZIP, 2 KB)
Ledoit, O., Santa-Clara, P., and Wolf, M. (2003).
Flexible multivariate GARCH modeling with an application to international stock markets.
Review of Economics and Statistics 85, 735-747. Matlab code (ZIP, 8 KB) (ZIP, 7 KB)

Working Papers