Publications
Books
Book Chapters
Journal Papers
Programming Code
Working Papers
Google Scholar Citation Page
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. (2012). Annals of Statistics 40, 1024-1060. |
| Ledoit, O. and Wolf, M. (2011). Wilmott Magazine, September, 86-89. |
| Romano, J.P., Shaikh, A.M., and Wolf, M. (2011). International Journal of Biostatistics 7, Issue 1, Article 12. |
| Romano, J.P., Shaikh, A.M., and Wolf, M. (2010). Annual Review of Economics 2, 75-104. |
| Romano, J.P. and Wolf, M. (2010). Annals of Statistics 38, 598-633. |
| Bittman, R.M., Romano, J.P., Vallarino, C., and Wolf, M. (2009). Biometrika 96, 399-410. |
| Romano, J.P., Shaikh, A.M., and Wolf, M. (2008). (Invited Paper with discussion), TEST 17, 417-442. |
| Ledoit, O. and Wolf, M. (2008). Journal of Empirical Finance 15, 850-859. |
| Romano, J.P., Shaikh, A.M., and Wolf, M. (2008). Econometric Theory 24, 404-447. |
| Afshartous, D. and Wolf, M. (2007). Journal of the Royal Statistical Society, Series A 170, 1035-1059. |
| Romano, J.P. and Wolf, M. (2007). Annals of Statistics 35, 1378-1408. |
| Wolf, M. (2007). Wilmott Magazine, January, 76-81. |
| Romano, J.P. and Wolf, M. (2006). Journal of Nonparametric Statistics 18, 199-214. |
| Romano, J.P. and Wolf, M. (2005). Econometrica 73, 1237-1282. |
| Gonzalo, J. and Wolf, M. (2005). Journal of Econometrics 127, 201-224. |
| Romano, J.P. and Wolf, M. (2005). Journal of the American Statistical Association 100, 94-108. |
| Ledoit, O. and Wolf, M. (2004). Journal of Portfolio Management 30, Volume 4, 110-119. |
| Politis, D.N., Romano, J.P., and Wolf M. (2004). Journal of Time Series Analysis 25, 251-263. |
| Kokoszka, P. and Wolf, M. (2004). Journal of Time Series Analysis 25, 217-234. |
| Ledoit, O. and Wolf, M. (2004). Journal of Multivariate Analysis 88, 365-411. |
| Ledoit, O. and Wolf, M. (2003). Journal of Empirical Finance 10, 603-621. |
| Ledoit, O., Santa-Clara, P., and Wolf, M. (2003). Review of Economics and Statistics 85, 735-747. |
| Ledoit, O. and Wolf, M. (2002). Annals of Statistics 30, 1081-1102. |
| Romano, J.P. and Wolf, M. (2002). Communications in Statististics - Theory and Methods 31, 1231-125 |
| Politis, D.N., Romano, J.P., and Wolf, M. (2001). Statistica Sinica 11, 1105-1124. |
| Delgado, M., Rodriguez-Poo, J., and Wolf, M. (2001). Economics Letters 73, 241-250. |
| Romano, J.P. and Wolf, M. (2001). Econometrica 69, 1283-1314. |
| Politis, D.N., Romano, J.P., and Wolf, M. (2000). Communications in Statististics - Theory and Methods 29, 1741-1758. |
| Romano, J.P. and Wolf, M. (2000). Annals of Statistics 28, 756-778. |
| Romano, J.P. and Wolf, M. (2000). Statistics and Probability Letters 47, 115-124. |
| Wolf, M. (2000). Journal of Business and Economic Statistics 18, 18-30. |
| Romano, J.P. and Wolf, M. (1999). Metrika 50, 55-69. |
| Politis, D.N., Romano, J.P., and Wolf, M. (1999). Journal of Statistical Planning and Inference 79, 179-191. |
| Politis, D.N., Romano, J.P., and Wolf, M. (1997). Journal of Econometrics 81, 281-317. |
Programming Code
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Ledoit, O. and Wolf, M. (2011). Robust performance hypothesis testing with the variance. Wilmott magazine, September, 86-89. |
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Ledoit, O. and Wolf, M. (2008). Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance 15, 850-859. |
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Romano, J.P., Shaikh, A.M., and Wolf M. (2008). Formalized data snooping based on generalized error rates. Econometric Theory 24(2), 404-447. |
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Ledoit, O. and Wolf, M. (2004). Honey, I shrunk the sample covariance matrix. Journal of Portfolio Management 30, Volume 4, 110-119. |
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Ledoit, O. and Wolf, M. (2004). A well-conditioned estimator for large-dimensional covariance matrices. Journal of Multivariate Analysis 88, 365-411. |
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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. |
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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. |