Stepan Mazur
Names
| first: |
Stepan |
| last: |
Mazur |
Identifer
Contact
Affiliations
-
Örebro Universitet
/ Handelshögskolan
Research profile
author of:
- Vector autoregression models with skewness and heavy tails (RePEc:arx:papers:2105.11182)
by Sune Karlsson & Stepan Mazur & Hoang Nguyen - Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions (RePEc:bla:scjsta:v:46:y:2019:i:2:p:636-660)
by Taras Bodnar & Stepan Mazur & Nestor Parolya - Vector autoregression models with skewness and heavy tails (RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834)
by Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang - Edgeworth expansions for multivariate random sums (RePEc:eee:ecosta:v:31:y:2024:i:c:p:66-80)
by Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan - Bayesian estimation of the global minimum variance portfolio (RePEc:eee:ejores:v:256:y:2017:i:1:p:292-307)
by Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema - Predicting returns and dividend growth — The role of non-Gaussian innovations (RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003445)
by Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang - On the exact and approximate distributions of the product of a Wishart matrix with a normal vector (RePEc:eee:jmvana:v:122:y:2013:i:c:p:70-81)
by Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema - Singular inverse Wishart distribution and its application to portfolio theory (RePEc:eee:jmvana:v:143:y:2016:i:c:p:314-326)
by Bodnar, Taras & Mazur, Stepan & Podgórski, Krzysztof - Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions (RePEc:hhs:oruesi:2017_005)
by Bodnar, Taras & Mazur, Stepan & Parolya, Nestor - Discriminant analysis in small and large dimensions (RePEc:hhs:oruesi:2017_006)
by Bodnar, Taras & Mazur, Stepan & Ngailo, Edward & Parolya, Nestor - On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions (RePEc:hhs:oruesi:2017_007)
by Bodnar, Taras & Mazur, Stepan & Muhinyuza, Stanislas & Parolya, Nestor - Higher order moments of the estimated tangency portfolio weights (RePEc:hhs:oruesi:2017_010)
by Javed, Farrukh & Mazur, Stepan & Ngailo, Edward - Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory (RePEc:hhs:oruesi:2018_001)
by Bodnar, Taras & Mazur, Stepan & Podgórski, Krzysztof & Tyrcha, Joanna - Bayesian inference for the tangent portfolio (RePEc:hhs:oruesi:2018_002)
by Bauder, David & Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema - Estimation of the linear fractional stable motion (RePEc:hhs:oruesi:2018_003)
by Mazur, Stepan & Otryakhin, Dmitry & Podolskij, Mark - An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection (RePEc:hhs:oruesi:2019_003)
by Gulliksson, Mårten & Mazur, Stepan - Linear Fractional Stable Motion with the RLFSM R Package (RePEc:hhs:oruesi:2019_009)
by Mazur, Stepan & Otryakhin, Dmitry - Flexible Fat-tailed Vector Autoregression (RePEc:hhs:oruesi:2020_005)
by Karlsson, Sune & Mazur, Stepan - On the mean and variance of the estimated tangency portfolio weights for small samples (RePEc:hhs:oruesi:2020_008)
by Alfelt, Gustav & Mazur, Stepan - Edgeworth Expansions for Multivariate Random Sums (RePEc:hhs:oruesi:2020_009)
by Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan - Statistical Inference for the Tangency Portfolio in High Dimension (RePEc:hhs:oruesi:2020_010)
by Karlsson, Sune & Mazur, Stepan & Muhinyuza, Stanislas - Vector autoregression models with skewness and heavy tails (RePEc:hhs:oruesi:2021_008)
by Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang - Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances (RePEc:hhs:oruesi:2021_009)
by Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär - Predicting returns and dividend growth - the role of non-Gaussian innovations (RePEc:hhs:oruesi:2021_010)
by Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang - Portfolio Selection with a Rank-deficient Covariance Matrix (RePEc:hhs:oruesi:2021_012)
by Gulliksson, Mårten & Oleynik, Anna & Mazur, Stepan - Tangency portfolio weights under a skew-normal model in small and large dimensions (RePEc:hhs:oruesi:2021_013)
by Javed, Farrukh & Mazur, Stepan & Thorsén, Erik - Matrix Variate Generalized Laplace Distributions (RePEc:hhs:oruesi:2022_007)
by Kozubowski, Tomasz J. & Mazur, Stepan & Podgorski, Krysztof - Matrix Gamma Distributions and Related Stochastic Processes (RePEc:hhs:oruesi:2022_012)
by Kozubowski, Tomasz J. & Mazur, Stepan & Podgórski, Krzysztof - Estimation of optimal portfolio compositions for small sampleand singular covariance matrix (RePEc:hhs:oruesi:2022_015)
by Bodnar, Taras & Mazur, Stepan & Nguyen, Hoang - A test on the location of tangency portfolio for small sample size and singular covariance matrix (RePEc:hhs:oruesi:2023_011)
by Drin, Svitlana & Mazur, Stepan & Muhinyuza, Stanislas - The Method of Moments for Multivariate Random Sums (RePEc:hhs:oruesi:2024_006)
by Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan - VAR Models with Fat Tails and Dynamic Asymmetry (RePEc:hhs:oruesi:2024_008)
by Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär - An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection (RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09943-6)
by Mårten Gulliksson & Stepan Mazur - Portfolio Selection with a Rank-Deficient Covariance Matrix (RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10404-4)
by Mårten Gulliksson & Anna Oleynik & Stepan Mazur - A test for the global minimum variance portfolio for small sample and singular covariance (RePEc:spr:alstar:v:101:y:2017:i:3:d:10.1007_s10182-016-0282-z)
by Taras Bodnar & Stepan Mazur & Krzysztof Podgórski - Higher order moments of the estimated tangency portfolio weights (RePEc:taf:japsta:v:48:y:2021:i:3:p:517-535)
by Farrukh Javed & Stepan Mazur & Edward Ngailo - Third cumulant for multivariate aggregate claim models (RePEc:taf:sactxx:v:2018:y:2018:i:2:p:109-128)
by Nicola Loperfido & Stepan Mazur & Krzysztof Podgórski - Tangency portfolio weights under a skew-normal model in small and large dimensions (RePEc:taf:tjorxx:v:75:y:2024:i:7:p:1395-1406)
by Farrukh Javed & Stepan Mazur & Erik Thorsén - Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations (RePEc:wly:jforec:v:42:y:2023:i:2:p:347-368)
by Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm - Bayesian Inference For The Tangent Portfolio (RePEc:wsi:ijtafx:v:21:y:2018:i:08:n:s0219024918500541)
by David Bauder & Taras Bodnar & Stepan Mazur & Yarema Okhrin - Bayesian Inference For The Tangent Portfolio (RePEc:wsi:jecxxx:v:26:y:2018:i:03:n:s0219024918500541)
by David Bauder & Taras Bodnar & Stepan Mazur & Yarema Okhrin