Department of Economics

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Zurich Graduate School of Economics  

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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. (2013). Journal of Empirical Finance 23, 93-116.
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

Ledoit, O. and Wolf, M. (2011).
Robust performance hypothesis testing with the variance.
Wilmott magazine, September, 86-89.
Ledoit, O. and Wolf, M. (2008).
Robust performance hypothesis testing with the Sharpe ratio.
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.
Econometric Theory 24(2), 404-447.
Ledoit, O. and Wolf, M. (2004).
Honey, I shrunk the sample covariance matrix.
Journal of Portfolio Management 30, Volume 4, 110-119.
Ledoit, O. and Wolf, M. (2004).
A well-conditioned estimator for large-dimensional covariance matrices.
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.
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.
Review of Economics and Statistics 85, 735-747.

Working Papers

Google Scholar Citation Page