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Michael Wolf

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Personal Details

First Name: Michael
Middle Name:
Last Name: Wolf
Suffix:

RePEc Short-ID: pwo206

Email:
Homepage: http://www.econ.uzh.ch/faculty/wolf.html
Postal Address: Department of Economics University of Zurich Wilfriedstrasse 6 CH-8032 Zurich
Phone:

Affiliation

Institut für Volkswirtschaftslehre
Wirtschaftswissenschaftliche Fakutät
Universität Zürich
Location: Zürich, Switzerland
Homepage: http://www.econ.uzh.ch/
Email:
Phone: +41-1-634 22 05
Fax: +41-1-634 49 07
Postal: Blümlisalpstrasse 10, CH-8006 Zürich
Handle: RePEc:edi:seizhch (more details at EDIRC)

Works

as in new window

Working papers

  1. Ashok Kaul & Michael Wolf, 2014. "The (possible) effect of plain packaging on smoking prevalence in Australia: a trend analysis," ECON - Working Papers 165, Department of Economics - University of Zurich.
  2. Olivier Ledoit & Michael Wolf, 2014. "Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks," ECON - Working Papers 137, Department of Economics - University of Zurich.
  3. Ashok Kaul & Michael Wolf, 2014. "The (possible) effect of plain packaging on the smoking prevalence of minors in Australia: a trend analysis," ECON - Working Papers 149, Department of Economics - University of Zurich, revised May 2014.
  4. Olivier Ledoit & Michael Wolf, 2013. "Optimal estimation of a large-dimensional covariance matrix under Stein’s loss," ECON - Working Papers 122, Department of Economics - University of Zurich, revised Dec 2013.
  5. Olivier Ledoit & Michael Wolf, 2013. "Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions," ECON - Working Papers 105, Department of Economics - University of Zurich, revised Jul 2013.
  6. David R. Bell & Olivier Ledoit & Michael Wolf, 2012. "A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction," ECON - Working Papers 079, Department of Economics - University of Zurich, revised Dec 2013.
  7. Michael Wolf & Dan Wunderli, 2012. "Bootstrap joint prediction regions," ECON - Working Papers 064, Department of Economics - University of Zurich, revised May 2013.
  8. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2012. "A practical two-step method for testing moment inequalities," ECON - Working Papers 090, Department of Economics - University of Zurich, revised Apr 2014.
  9. Joseph P. Romano & Michael Wolf, 2011. "Testing for monotonicity in expected asset returns," ECON - Working Papers 017, Department of Economics - University of Zurich, revised Jan 2013.
  10. Olivier Ledoit & Michael Wolf, 2010. "Robust performance hypothesis testing with the variance," IEW - Working Papers 516, Institute for Empirical Research in Economics - University of Zurich.
  11. Olivier Ledoit & Michael Wolf, 2010. "Nonlinear shrinkage estimation of large-dimensional covariance matrices," IEW - Working Papers 515, Institute for Empirical Research in Economics - University of Zurich, revised Dec 2011.
  12. Michael Wolf & Dan Wunderli, 2009. "Fund-of-funds construction by statistical multiple testing methods," IEW - Working Papers 445, Institute for Empirical Research in Economics - University of Zurich.
  13. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2009. "Consonance and the closure method in multiple testing," IEW - Working Papers 446, Institute for Empirical Research in Economics - University of Zurich.
  14. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2009. "Hypothesis testing in econometrics," IEW - Working Papers 444, Institute for Empirical Research in Economics - University of Zurich.
  15. Oliver Ledoit & Michael Wolf, 2008. "Robust Performance Hypothesis Testing with the Sharpe Ratio," IEW - Working Papers 320, Institute for Empirical Research in Economics - University of Zurich.
  16. Richard M. Bittman & Joseph P. Romano & Carlos Vallarino & Michael Wolf, 2008. "Optimal testing of multiple hypotheses with common effect direction," IEW - Working Papers 307, Institute for Empirical Research in Economics - University of Zurich.
  17. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2008. "Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling," IEW - Working Papers 337, Institute for Empirical Research in Economics - University of Zurich.
  18. Joseph P. Romano & Michael Wolf, 2008. "Balanced Control of Generalized Error Rates," IEW - Working Papers 379, Institute for Empirical Research in Economics - University of Zurich.
  19. Michael Wolf, 2006. "Resampling vs. Shrinkage for Benchmarked Managers," IEW - Working Papers 263, Institute for Empirical Research in Economics - University of Zurich.
  20. David Afshartous & Michael Wolf, 2005. "Avoiding Data Snooping in Multilevel and Mixed Effects Models," IEW - Working Papers 260, Institute for Empirical Research in Economics - University of Zurich.
  21. Joseph P & Romano & Azeem M. Shaikh & Michael Wolf, 2005. "Formalized Data Snooping Based on Generalized Error Rates," IEW - Working Papers 259, Institute for Empirical Research in Economics - University of Zurich.
  22. Joseph Romano & Michael Wolf, 2003. "Exact and approximate stepdown methods for multiple hypothesis testing," Economics Working Papers 727, Department of Economics and Business, Universitat Pompeu Fabra.
  23. Olivier Ledoit & Michael Wolf, 2003. "Honey, I shrunk the sample covariance matrix," Economics Working Papers 691, Department of Economics and Business, Universitat Pompeu Fabra.
  24. Joseph P. Romano & Michael Wolf, 2003. "Stepwise multiple testing as formalized data snooping," Economics Working Papers 712, Department of Economics and Business, Universitat Pompeu Fabra.
  25. Piotr Kokoszka & Michael Wolf, 2002. "Subsampling the mean of heavy-tailed dependent observations," Economics Working Papers 600, Department of Economics and Business, Universitat Pompeu Fabra.
  26. Joseph P. Romano & Michael Wolf, 2002. "Improved nonparametric confidence intervals in time series regressions," Economics Working Papers 635, Department of Economics and Business, Universitat Pompeu Fabra.
  27. Jesús Gonzalo & Michael Wolf, 2001. "Subsampling inference in threshold autoregressive models," Economics Working Papers 573, Department of Economics and Business, Universitat Pompeu Fabra.
  28. Joseph P. Romano & Michael Wolf, 2001. "Explicit Nonparametric Confidence Intervals For The Variance With Guaranteed Coverage," Statistics and Econometrics Working Papers ws010302, Universidad Carlos III, Departamento de Estadística y Econometría.
  29. Olivier Ledoit & Michael Wolf, 2001. "Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size," Economics Working Papers 575, Department of Economics and Business, Universitat Pompeu Fabra.
  30. Olivier Ledoit & Michael Wolf, 2001. "Improved estimation of the covariance matrix of stock returns with an application to portofolio selection," Economics Working Papers 586, Department of Economics and Business, Universitat Pompeu Fabra.
  31. Ledoit, Olivier & Santa-Clara, Pedro & Wolf, Michael, 1999. "Flexible Multivariate GARCH Modeling With an Application to International Stock Markets," University of California at Los Angeles, Anderson Graduate School of Management qt93s6p8gb, Anderson Graduate School of Management, UCLA.
  32. Joseph P. Romano & Michael Wolf, . "Control of Generalized Error Rates in Multiple Testing," IEW - Working Papers 245, Institute for Empirical Research in Economics - University of Zurich.

Articles

  1. Romano Joseph P. & Shaikh Azeem & Wolf Michael, 2011. "Consonance and the Closure Method in Multiple Testing," The International Journal of Biostatistics, De Gruyter, vol. 7(1), pages 1-25, February.
  2. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2010. "Hypothesis Testing in Econometrics," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 75-104, 09.
  3. Richard M. Bittman & Joseph P. Romano & Carlos Vallarino & Michael Wolf, 2009. "Optimal testing of multiple hypotheses with common effect direction," Biometrika, Biometrika Trust, vol. 96(2), pages 399-410.
  4. Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008. "Formalized Data Snooping Based On Generalized Error Rates," Econometric Theory, Cambridge University Press, vol. 24(02), pages 404-447, April.
  5. Ledoit, Oliver & Wolf, Michael, 2008. "Robust performance hypothesis testing with the Sharpe ratio," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 850-859, December.
  6. Joseph Romano & Azeem Shaikh & Michael Wolf, 2008. "Control of the false discovery rate under dependence using the bootstrap and subsampling," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 17(3), pages 417-442, November.
  7. Joseph Romano & Azeem Shaikh & Michael Wolf, 2008. "Rejoinder on: Control of the false discovery rate under dependence using the bootstrap and subsampling," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 17(3), pages 461-471, November.
  8. David Afshartous & Michael Wolf, 2007. "Avoiding 'data snooping' in multilevel and mixed effects models," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 170(4), pages 1035-1059.
  9. Joseph P. Romano & Michael Wolf, 2005. "Stepwise Multiple Testing as Formalized Data Snooping," Econometrica, Econometric Society, vol. 73(4), pages 1237-1282, 07.
  10. Gonzalo, Jesus & Wolf, Michael, 2005. "Subsampling inference in threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 127(2), pages 201-224, August.
  11. Joseph P. Romano & Michael Wolf, 2005. "Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 94-108, March.
  12. Dimitris N. Politis & Joseph P. Romano & Michael Wolf, 2004. "Inference for Autocorrelations in the Possible Presence of a Unit Root," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 251-263, 03.
  13. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
  14. Ledoit, Olivier & Wolf, Michael, 2003. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 603-621, December.
  15. Olivier Ledoit & Pedro Santa-Clara & Michael Wolf, 2003. "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 735-747, August.
  16. Romano, Joseph P & Wolf, Michael, 2001. "Subsampling Intervals in Autoregressive Models with Linear Time Trend," Econometrica, Econometric Society, vol. 69(5), pages 1283-1314, September.
  17. Delgado, Miguel A. & Rodriguez-Poo, Juan M. & Wolf, Michael, 2001. "Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator," Economics Letters, Elsevier, vol. 73(2), pages 241-250, November.
  18. Wolf, Michael, 2000. "Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 18-30, January.
  19. Romano, Joseph P. & Wolf, Michael, 2000. "A more general central limit theorem for m-dependent random variables with unbounded m," Statistics & Probability Letters, Elsevier, vol. 47(2), pages 115-124, April.
  20. Politis, D. N. & Romano, Joseph P. & Wolf, Michael, 1997. "Subsampling for heteroskedastic time series," Journal of Econometrics, Elsevier, vol. 81(2), pages 281-317, December.

Chapters

  1. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2010. "multiple testing," The New Palgrave Dictionary of Economics, Palgrave Macmillan.

NEP Fields

31 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (29) 2001-10-29 2001-11-27 2001-11-27 2001-12-19 2002-02-22 2002-08-16 2004-05-16 2004-05-16 2004-05-16 2005-06-05 2006-01-24 2006-01-24 2006-01-24 2006-02-26 2008-02-09 2008-02-09 2008-09-05 2008-10-28 2009-10-03 2009-10-03 2009-10-03 2010-10-23 2010-10-23 2011-05-14 2012-03-08 2012-09-09 2013-01-26 2013-05-24 2014-02-02. Author is listed
  2. NEP-ENT: Entrepreneurship (2) 2001-11-27 2001-11-27
  3. NEP-ETS: Econometric Time Series (9) 2001-10-29 2001-11-27 2001-11-27 2001-12-19 2002-02-15 2002-08-16 2005-06-05 2006-02-26 2012-03-08. Author is listed
  4. NEP-FIN: Finance (2) 2004-05-16 2004-05-26
  5. NEP-FMK: Financial Markets (2) 2001-11-27 2001-12-19
  6. NEP-FOR: Forecasting (1) 2012-03-08
  7. NEP-IAS: Insurance Economics (1) 2002-02-15
  8. NEP-MAC: Macroeconomics (1) 2005-06-05
  9. NEP-NET: Network Economics (2) 2001-11-27 2001-11-27
  10. NEP-ORE: Operations Research (3) 2008-02-09 2009-10-03 2010-10-23
  11. NEP-PKE: Post Keynesian Economics (1) 2002-02-15

Statistics

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Simple Impact Factor
  2. Number of Distinct Works, Weighted by Recursive Impact Factor
  3. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  4. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  5. Number of Citations, Discounted by Citation Age
  6. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  7. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  8. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  9. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  10. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  11. Number of Journal Pages, Weighted by Simple Impact Factor
  12. Number of Journal Pages, Weighted by Recursive Impact Factor
  13. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  14. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  15. Wu-Index

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