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

Romano, J.P. and Wolf, M. (2016). Efficient computation of adjusted p-values for resampling-based stepdown multiple testing. Statistics & Probability Letters 113, 38-40. (PDF, 348 KB)
Ledoit, O. and Wolf, M. (2015). Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions. Journal of Multivariate Analysis 139, 360-384. (PDF, 885 KB)
Wolf, M. and Wunderli, D. (2015). Bootstrap joint prediction regions. Journal of Time Series Analysis 36, 352-376. (PDF, 390 KB)
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. Customer Needs and Solutions 1, 263-276. (PDF, 344 KB)
Romano, J.P., Shaikh, A.M., and Wolf, M. (2014). A practical two-step method for testing moment inequalities. Econometrica 82, 1979-2002. (PDF, 271 KB)Supplement (PDF, 99 KB)
Romano, J.P. and Wolf, M. (2013). Testing for monotonicity in expected asset returns. Journal of Empirical Finance 23, 93-116. (PDF, 809 KB)
Ledoit, O. and Wolf, M. (2012). Nonlinear shrinkage estimation of large-dimensional covariance matrices. Annals of Statistics 40, 1024-1060. (PDF, 575 KB)Supplement. (PDF, 209 KB)
Ledoit, O. and Wolf, M. (2011). Robust performance hypothesis testing with the variance. Wilmott Magazine, September, 86-89. (PDF, 511 KB)
Romano, J.P., Shaikh, A.M., and Wolf, M. (2011). Consonance and the closure method in multiple testing. International Journal of Biostatistics 7, Issue 1, Article 12. (PDF, 1016 KB)
Romano, J.P., Shaikh, A.M., and Wolf, M. (2010). Hypothesis testing in econometrics. Annual Review of Economics 2, 75-104. (PDF, 697 KB)
Romano, J.P. and Wolf, M. (2010). Balanced control of generalized error rates. Annals of Statistics 38, 598-633. (PDF, 307 KB)
Bittman, R.M., Romano, J.P., Vallarino, C., and Wolf, M. (2009). Optimal testing of multiple hypotheses with common effect direction. Biometrika 96, 399-410. (PDF, 159 KB)
Romano, J.P., Shaikh, A.M., and Wolf, M. (2008). Control of the false discovery rate under dependence using the bootstrap and subsampling. (Invited Paper with discussion), TEST 17, 417-442. (PDF, 871 KB)
Ledoit, O. and Wolf, M. (2008). Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance 15, 850-859. (PDF, 301 KB)
Romano, J.P., Shaikh, A.M., and Wolf, M. (2008). Formalized data snooping based on generalized error rates. Econometric Theory 24, 404-447. (PDF, 358 KB)
Afshartous, D. and Wolf, M. (2007). Avoiding data snooping in multilevel and mixed effects models. Journal of the Royal Statistical Society, Series A 170, 1035-1059. (PDF, 648 KB)
Romano, J.P. and Wolf, M. (2007). Control of generalized error rates in multiple testing. Annals of Statistics 35, 1378-1408. (PDF, 304 KB)
Wolf, M. (2007). Resampling vs. shrinkage for benchmarked managers. Wilmott Magazine, January, 76-81. (PDF, 99 KB)
Romano, J.P. and Wolf, M. (2006). Improved nonparametric confidence intervals in time series regressions. Journal of Nonparametric Statistics 18, 199-214. (PDF, 192 KB)
Romano, J.P. and Wolf, M. (2005). Stepwise multiple testing as formalized data snooping. Econometrica 73, 1237-1282. (PDF, 308 KB)
Gonzalo, J. and Wolf, M. (2005). Subsampling inference in threshold autoregressive models. Journal of Econometrics 127, 201-224. (PDF, 391 KB)
Romano, J.P. and Wolf, M. (2005). Exact and approximate stepdown methods for multiple hypothesis testing. Journal of the American Statistical Association 100, 94-108. (PDF, 354 KB)
Ledoit, O. and Wolf, M. (2004). Honey, I shrunk the sample covariance matrix. Journal of Portfolio Management 30, Volume 4, 110-119. (PDF, 162 KB)
Politis, D.N., Romano, J.P., and Wolf M. (2004). Inference for autocorrelations in the possible presence of a unit root. Journal of Time Series Analysis 25, 251-263. (PDF, 141 KB)
Kokoszka, P. and Wolf, M. (2004). Subsampling the mean of heavy-tailed dependent observations. Journal of Time Series Analysis 25, 217-234. (PDF, 178 KB)
Ledoit, O. and Wolf, M. (2004). A well-conditioned estimator for large-dimensional covariance matrices. Journal of Multivariate Analysis 88, 365-411. (PDF, 494 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. (PDF, 193 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. (PDF, 225 KB)
Ledoit, O. and Wolf, M. (2002). Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size. Annals of Statistics 30, 1081-1102. (PDF, 190 KB)
Romano, J.P. and Wolf, M. (2002). Explicit nonparametric confidence intervals for the variance with guaranteed coverage. Communications in Statististics - Theory and Methods 31, 1231-125 (PDF, 123 KB)
Politis, D.N., Romano, J.P., and Wolf, M. (2001). On the asymptotic theory of subsampling. Statistica Sinica 11, 1105-1124. (PDF, 220 KB)
Delgado, M., Rodriguez-Poo, J., and Wolf, M. (2001). Subsampling inference in cube root asymptotics with an application to Manski'smaximum score estimator. Economics Letters 73, 241-250. (PDF, 72 KB)
Romano, J.P. and Wolf, M. (2001). Subsampling intervals in autoregressive models with linear time trend. Econometrica 69, 1283-1314. (PDF, 383 KB)
Politis, D.N., Romano, J.P., and Wolf, M. (2000). Subsampling, symmetrization, and robust interpolation. Communications in Statististics - Theory and Methods 29, 1741-1758. (PDF, 129 KB)
Romano, J.P. and Wolf, M. (2000). Finite sample nonparametric inference and large sample efficiency. Annals of Statistics 28, 756-778. (PDF, 185 KB)
Romano, J.P. and Wolf, M. (2000). A more general Central Limit Theorem for 'm'-dependent random variables with unbounded m. Statistics and Probability Letters 47, 115-124. (PDF, 108 KB)
Wolf, M. (2000). Stock returns and dividend yields revisited: A new way to look at an old problem. Journal of Business and Economic Statistics 18, 18-30. (PDF, 540 KB)
Romano, J.P. and Wolf, M. (1999). Inference for the mean in the heavy-tailed case. Metrika 50, 55-69. (PDF, 141 KB)
Politis, D.N., Romano, J.P., and Wolf, M. (1999). Weak convergence of dependent empirical measures with application to subsampling and confidence bands. Journal of Statistical Planning and Inference 79, 179-191. (PDF, 100 KB)
Politis, D.N., Romano, J.P., and Wolf, M. (1997). Subsampling for heteroskedastic time series. Journal of Econometrics 81, 281-317. (PDF, 2358 KB)

Programming Code

Romano, J.P. and Wolf, M. (2016).
Efficient computation of adjusted p-values for resampling-based stepdown multiple testing.
Statistics & Probability Letters 113, 38-40.
R code (ZIP, 10 KB)Matlab code (ZIP, 5 KB)
Ledoit O. and Wolf, M. (2016).
Numerical implementation of the QuEST function.
Working Paper No. 215, Department of Economics, University of Zurich.
Matlab code (ZIP, 467 KB)

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, 16 KB)Matlab code (ZIP, 5 KB)

Ledoit, O. and Wolf, M. (2011).
Robust performance hypothesis testing with the variance.
Wilmott magazine, September, 86-89.
R code (ZIP, 46 KB)Matlab Code (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, 69 KB)Matlab code (ZIP, 31 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, 4 KB)Matlab code (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, 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, 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)
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, 7 KB)

Working Papers