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Details about Stepan Mazur

Homepage:https://www.oru.se/english/employee/stepan_mazur
Workplace:Handelshögskolan (Business School), Örebro Universitet (Örebro University), (more information at EDIRC)

Access statistics for papers by Stepan Mazur.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pma3452


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Working Papers

2025

  1. Identifying Useful Indicators for Nowcasting GDP in Sweden
    Working Papers, Örebro University, School of Business Downloads

2024

  1. Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix
    Working Papers, Örebro University, School of Business Downloads
  2. The Method of Moments for Multivariate Random Sums
    Working Papers, Örebro University, School of Business Downloads
  3. VAR Models with Fat Tails and Dynamic Asymmetry
    Working Papers, Örebro University, School of Business Downloads

2023

  1. A test on the location of tangency portfolio for small sample size and singular covariance matrix
    Working Papers, Örebro University, School of Business Downloads

2022

  1. Estimation of optimal portfolio compositions for small sampleand singular covariance matrix
    Working Papers, Örebro University, School of Business Downloads View citations (2)
  2. Matrix Gamma Distributions and Related Stochastic Processes
    Working Papers, Örebro University, School of Business Downloads
  3. Matrix Variate Generalized Laplace Distributions
    Working Papers, Örebro University, School of Business Downloads

2021

  1. Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances
    Working Papers, Örebro University, School of Business Downloads
    See also Journal Article Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations, Journal of Forecasting, John Wiley & Sons, Ltd. (2023) Downloads (2023)
  2. Portfolio Selection with a Rank-deficient Covariance Matrix
    Working Papers, Örebro University, School of Business Downloads View citations (2)
    See also Journal Article Portfolio Selection with a Rank-Deficient Covariance Matrix, Computational Economics, Springer (2024) Downloads View citations (1) (2024)
  3. Predicting returns and dividend growth - the role of non-Gaussian innovations
    Working Papers, Örebro University, School of Business Downloads
    See also Journal Article Predicting returns and dividend growth — The role of non-Gaussian innovations, Finance Research Letters, Elsevier (2022) Downloads View citations (1) (2022)
  4. Tangency portfolio weights under a skew-normal model in small and large dimensions
    Working Papers, Örebro University, School of Business Downloads
    See also Journal Article Tangency portfolio weights under a skew-normal model in small and large dimensions, Journal of the Operational Research Society, Taylor & Francis Journals (2024) Downloads View citations (1) (2024)
  5. Vector autoregression models with skewness and heavy tails
    Papers, arXiv.org Downloads View citations (12)
    Also in Working Papers, Örebro University, School of Business (2021) Downloads View citations (11)

    See also Journal Article Vector autoregression models with skewness and heavy tails, Journal of Economic Dynamics and Control, Elsevier (2023) Downloads View citations (8) (2023)

2020

  1. Edgeworth Expansions for Multivariate Random Sums
    Working Papers, Örebro University, School of Business Downloads
    See also Journal Article Edgeworth expansions for multivariate random sums, Econometrics and Statistics, Elsevier (2024) Downloads (2024)
  2. Flexible Fat-tailed Vector Autoregression
    Working Papers, Örebro University, School of Business Downloads View citations (4)
  3. On the mean and variance of the estimated tangency portfolio weights for small samples
    Working Papers, Örebro University, School of Business Downloads View citations (3)
  4. Statistical Inference for the Tangency Portfolio in High Dimension
    Working Papers, Örebro University, School of Business Downloads View citations (2)

2019

  1. An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection
    Working Papers, Örebro University, School of Business Downloads View citations (3)
    See also Journal Article An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection, Computational Economics, Springer (2020) Downloads View citations (10) (2020)
  2. Linear Fractional Stable Motion with the RLFSM R Package
    Working Papers, Örebro University, School of Business Downloads

2018

  1. Bayesian inference for the tangent portfolio
    Working Papers, Örebro University, School of Business Downloads View citations (9)
    See also Journal Article BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO, Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd. (2018) Downloads View citations (12) (2018)
  2. Estimation of the linear fractional stable motion
    Working Papers, Örebro University, School of Business Downloads
  3. Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory
    Working Papers, Örebro University, School of Business Downloads View citations (2)

2017

  1. Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions
    Working Papers, Örebro University, School of Business Downloads View citations (2)
    See also Journal Article Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions, Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics (2019) Downloads View citations (5) (2019)
  2. Discriminant analysis in small and large dimensions
    Working Papers, Örebro University, School of Business Downloads
  3. Higher order moments of the estimated tangency portfolio weights
    Working Papers, Örebro University, School of Business Downloads View citations (1)
    See also Journal Article Higher order moments of the estimated tangency portfolio weights, Journal of Applied Statistics, Taylor & Francis Journals (2021) Downloads View citations (7) (2021)
  4. On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions
    Working Papers, Örebro University, School of Business Downloads View citations (3)

Journal Articles

2025

  1. The method of moments for multivariate random sums in the Poisson-Skew-Normal case
    Statistics & Probability Letters, 2025, 219, (C) Downloads

2024

  1. Edgeworth expansions for multivariate random sums
    Econometrics and Statistics, 2024, 31, (C), 66-80 Downloads
    See also Working Paper Edgeworth Expansions for Multivariate Random Sums, Working Papers (2020) Downloads (2020)
  2. Portfolio Selection with a Rank-Deficient Covariance Matrix
    Computational Economics, 2024, 63, (6), 2247-2269 Downloads View citations (1)
    See also Working Paper Portfolio Selection with a Rank-deficient Covariance Matrix, Working Papers (2021) Downloads View citations (2) (2021)
  3. Tangency portfolio weights under a skew-normal model in small and large dimensions
    Journal of the Operational Research Society, 2024, 75, (7), 1395-1406 Downloads View citations (1)
    See also Working Paper Tangency portfolio weights under a skew-normal model in small and large dimensions, Working Papers (2021) Downloads (2021)

2023

  1. Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations
    Journal of Forecasting, 2023, 42, (2), 347-368 Downloads
    See also Working Paper Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances, Working Papers (2021) Downloads (2021)
  2. Vector autoregression models with skewness and heavy tails
    Journal of Economic Dynamics and Control, 2023, 146, (C) Downloads View citations (8)
    See also Working Paper Vector autoregression models with skewness and heavy tails, Papers (2021) Downloads View citations (12) (2021)

2022

  1. Predicting returns and dividend growth — The role of non-Gaussian innovations
    Finance Research Letters, 2022, 46, (PA) Downloads View citations (1)
    See also Working Paper Predicting returns and dividend growth - the role of non-Gaussian innovations, Working Papers (2021) Downloads (2021)

2021

  1. Higher order moments of the estimated tangency portfolio weights
    Journal of Applied Statistics, 2021, 48, (3), 517-535 Downloads View citations (7)
    See also Working Paper Higher order moments of the estimated tangency portfolio weights, Working Papers (2017) Downloads View citations (1) (2017)

2020

  1. An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection
    Computational Economics, 2020, 56, (4), 773-794 Downloads View citations (10)
    See also Working Paper An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection, Working Papers (2019) Downloads View citations (3) (2019)

2019

  1. Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions
    Scandinavian Journal of Statistics, 2019, 46, (2), 636-660 Downloads View citations (5)
    See also Working Paper Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions, Working Papers (2017) Downloads View citations (2) (2017)

2018

  1. BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO
    Journal of Enterprising Culture (JEC), 2018, 21, (08), 1-27 Downloads View citations (12)
    Also in International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (08), 1-27 (2018) Downloads View citations (12)

    See also Working Paper Bayesian inference for the tangent portfolio, Working Papers (2018) Downloads View citations (9) (2018)
  2. Third cumulant for multivariate aggregate claim models
    Scandinavian Actuarial Journal, 2018, 2018, (2), 109-128 Downloads View citations (3)

2017

  1. A test for the global minimum variance portfolio for small sample and singular covariance
    AStA Advances in Statistical Analysis, 2017, 101, (3), 253-265 Downloads View citations (11)
  2. Bayesian estimation of the global minimum variance portfolio
    European Journal of Operational Research, 2017, 256, (1), 292-307 Downloads View citations (41)

2016

  1. Singular inverse Wishart distribution and its application to portfolio theory
    Journal of Multivariate Analysis, 2016, 143, (C), 314-326 Downloads View citations (25)

2013

  1. On the exact and approximate distributions of the product of a Wishart matrix with a normal vector
    Journal of Multivariate Analysis, 2013, 122, (C), 70-81 Downloads View citations (12)
 
Page updated 2025-03-23