Stepan Mazur
Örebro Universitet
H-index: 14
Europe-Sweden
Top articles of Stepan Mazur
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations | Journal of Forecasting | Tamás Kiss Stepan Mazur Hoang Nguyen Pär Österholm | 2023/3 |
Fourth cumulant for the random sum of random vectors | Stepan Mazur Farrukh Javed Nicola Loperfido | 2023 | |
A test on the location of tangency portfolio for small sample size and singular covariance matrix | Svitlana Drin Stepan Mazur Stanislas Muhinyuza | 2023 | |
Matrix variate generalized asymmetric Laplace distributions | Theory of Probability and Mathematical Statistics | Tomasz Kozubowski Stepan Mazur Krzysztof Podgórski | 2023/12 |
Vector autoregression models with skewness and heavy tails | Journal of Economic Dynamics and Control | Sune Karlsson Stepan Mazur Hoang Nguyen | 2023/1/1 |
Tangency portfolio weights under a skew-normal model in small and large dimensions | Journal of the Operational Research Society | Farrukh Javed Stepan Mazur Erik Thorsén | 2023/8/18 |
Portfolio selection with a rank-deficient covariance matrix | Computational Economics | Mårten Gulliksson Anna Oleynik Stepan Mazur | 2023/6/23 |
Estimation of optimal portfolio compositions for small sample and singular covariance matrix | Taras Bodnar Stepan Mazur Hoang Nguyen | 2022 | |
Matrix gamma distributions and related stochastic processes | Tomasz J Kozubowski Stepan Mazur Krzysztof Podgórski | 2022 | |
Matrix variate generalized laplace distributions | Tomasz J Kozubowski Stepan Mazur Krysztof Podgorski | 2022 | |
On the mean and variance of the estimated tangency portfolio weights for small samples | Modern Stochastics: Theory and Applications | Gustav Alfelt Stepan Mazur | 2022/9/2 |
Predicting returns and dividend growth—The role of non-Gaussian innovations | Finance Research Letters | Tamas Kiss Stepan Mazur Hoang Nguyen | 2022/5/1 |
Higher order moments of the estimated tangency portfolio weights | Journal of Applied Statistics | Farrukh Javed Stepan Mazur Edward Ngailo | 2021/2/17 |
Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances | Tamás Kiss Stepan Mazur Hoang Nguyen Pär Österholm | 2021 | |
Edgeworth expansions for multivariate random sums | ECONOMETRICS AND STATISTICS | NICOLA Loperfido | 2022/3/5 |
Statistical inference for the tangency portfolio in high dimension | Statistics | Sune Karlsson Stepan Mazur Stanislas Muhinyuza | 2021/7/21 |
Flexible fat-tailed vector autoregression | Sune Karlsson Stepan Mazur | 2020/4/27 | |
An iterative approach to ill-conditioned optimal portfolio selection | Computational Economics | Mårten Gulliksson Stepan Mazur | 2020/12 |
Discriminant analysis in small and large dimensions | Theory of Probability and Mathematical Statistics | Taras Bodnar Stepan Mazur Edward Ngailo Nestor Parolya | 2020/3 |
Estimation of the linear fractional stable motion | Stepan Mazur Dmitry Otryakhin Mark Podolskij | 2020/2/1 |
Co-Authors
