Michael WolfView profile
Professor
Michael Wolf is a Professor of Econometrics and Applied Statistics at the University of Zurich's Department of Economics, where he has been since 2005. He holds a Vordiplom in Mathematics from the University of Augsburg (1991), an MSc in Statistics from Stanford University (1995), and a PhD in Statistics from Stanford (1996). His research focuses on nonparametric inference methods, multiple testing procedures, financial econometrics, and large-dimensional covariance matrices. He has contributed to influential work on covariance matrix estimation, portfolio optimization, and statistical methodology. Wolf has served as an Associate Editor for journals including the Annals of Statistics (2004–2007), Statistics and Probability Letters (2014–2016), and the Journal of Financial Econometrics (2019–2022). His academic career includes roles at institutions like UCLA, Universidad Carlos III, and Universitat Pompeu Fabra, where he advanced from Assistant to Associate Professor before joining UZH. His research explores resampling techniques, financial markets analysis, and statistical methods for handling high-dimensional data. Notable contributions include the development of shrinkage-based covariance matrix estimators and their applications in portfolio management. He collaborates with researchers like Olivier Ledoit on nonlinear shrinkage methods and maintains software packages like covShrinkage for covariance matrix estimation. Wolf advises students on thesis topics in econometrics and maintains active roles in professional associations such as the American Statistical Association and the Institute of Mathematical Statistics. His work bridges theoretical statistics and applied finance, addressing challenges in modern portfolio theory, risk management, and statistical inference.












