European University Institute Library
Ledoit, Olivier
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Ledoit, Olivier
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Ledoit, Olivier
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A well-conditioned estimator for large dimensional matrices
Improved estimation of the covariance matrix of stock returns with an application to portofolio selection
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
Flexible multivariate GARCH modeling with an application to international stock markets
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
Honey, i shrunk the sample covariance matrix
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