Details about Stepan Mazur

Access statistics for papers by Stepan Mazur.

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

Short-id: pma3452

Working Papers

2025

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

2024

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

2023

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

2022

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

2021

9. 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
   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) (2023)
10. Portfolio Selection with a Rank-deficient Covariance Matrix
    Working Papers, Örebro University, School of Business View citations (2)
    See also Journal Article Portfolio Selection with a Rank-Deficient Covariance Matrix, Computational Economics, Springer (2024) View citations (1) (2024)
11. Predicting returns and dividend growth - the role of non-Gaussian innovations
    Working Papers, Örebro University, School of Business
    See also Journal Article Predicting returns and dividend growth — The role of non-Gaussian innovations, Finance Research Letters, Elsevier (2022) View citations (1) (2022)
12. Tangency portfolio weights under a skew-normal model in small and large dimensions
    Working Papers, Örebro University, School of Business
    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) View citations (1) (2024)
13. Vector autoregression models with skewness and heavy tails
    Papers, arXiv.org View citations (12)
    Also in Working Papers, Örebro University, School of Business (2021) View citations (11)
    See also Journal Article Vector autoregression models with skewness and heavy tails, Journal of Economic Dynamics and Control, Elsevier (2023) View citations (8) (2023)

2020

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

2019

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

2018

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

2017

23. 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 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) View citations (5) (2019)
24. Discriminant analysis in small and large dimensions
    Working Papers, Örebro University, School of Business
25. Higher order moments of the estimated tangency portfolio weights
    Working Papers, Örebro University, School of Business View citations (1)
    See also Journal Article Higher order moments of the estimated tangency portfolio weights, Journal of Applied Statistics, Taylor & Francis Journals (2021) View citations (7) (2021)
26. On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions
    Working Papers, Örebro University, School of Business 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)

2024

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

2023

5. 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
   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) (2021)
6. Vector autoregression models with skewness and heavy tails
   Journal of Economic Dynamics and Control, 2023, 146, (C) View citations (8)
   See also Working Paper Vector autoregression models with skewness and heavy tails, Papers (2021) View citations (12) (2021)

2022

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

2021

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

2020

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

2019

10. 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 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) View citations (2) (2017)

2018

11. BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO
    International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (08), 1-27 View citations (12)
    Also in Journal of Enterprising Culture (JEC), 2018, 21, (08), 1-27 (2018) View citations (12)
    See also Working Paper Bayesian inference for the tangent portfolio, Working Papers (2018) View citations (9) (2018)
12. Third cumulant for multivariate aggregate claim models
    Scandinavian Actuarial Journal, 2018, 2018, (2), 109-128 View citations (3)

2017

13. A test for the global minimum variance portfolio for small sample and singular covariance
    AStA Advances in Statistical Analysis, 2017, 101, (3), 253-265 View citations (13)
14. Bayesian estimation of the global minimum variance portfolio
    European Journal of Operational Research, 2017, 256, (1), 292-307 View citations (41)

2016

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

2013

16. 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 View citations (12)