Taras Bodnar
Stockholms universitet
H-index: 25
Europe-Sweden
Top articles of Taras Bodnar
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Copula modeling from Abe Sklar to the present day | Journal of Multivariate Analysis | Christian Genest Ostap Okhrin Taras Bodnar | 2024/5/1 |
Constructing Bayesian tangency portfolios under short-selling restrictions | Finance Research Letters | Olha Bodnar Taras Bodnar Vilhelm Niklasson | 2024/4/1 |
Reviving pseudo-inverses: Asymptotic properties of large dimensional Moore-Penrose and Ridge-type inverses with applications | arXiv preprint arXiv:2403.15792 | Taras Bodnar Nestor Parolya | 2024/3/23 |
Control charts for high-dimensional time series with estimated in-control parameters | Sequential Analysis | Rostyslav Bodnar Taras Bodnar Wolfgang Schmid | 2024/1/2 |
Objective Bayesian meta-analysis based on generalized marginal multivariate random effects model | Bayesian Analysis | Olha Bodnar Taras Bodnar | 2024/6 |
Gibbs sampler approach for objective Bayeisan inference in elliptical multivariate random effects model | arXiv preprint arXiv:2305.15983 | Olha Bodnar Taras Bodnar | 2023/5/25 |
Sequential monitoring of high‐dimensional time series | Scandinavian Journal of Statistics | Rostyslav Bodnar Taras Bodnar Wolfgang Schmid | 2023/9 |
Dynamic shrinkage estimation of the high-dimensional minimum-variance portfolio | IEEE Transactions on Signal Processing | Taras Bodnar Nestor Parolya Erik Thorsén | 2023/4/7 |
Bayesian estimation in multivariate inter-laboratory studies with unknown covariance matrices | Metrologia | Olha Bodnar Taras Bodnar | 2023/8/23 |
Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions | Random Matrices: Theory and Applications | Taras Bodnar Holger Dette Nestor Parolya Erik Thorsén | 2023/7/11 |
Singular conditional autoregressive Wishart model for realized covariance matrices | Journal of business & economic statistics | Gustav Alfelt Taras Bodnar Farrukh Javed Joanna Tyrcha | 2023/7/3 |
Reverse stress testing in skew-elliptical models | Theory of Probability and Mathematical Statistics | Jonathan Von Schroeder Thorsten Dickhaus Taras Bodnar | 2023/12 |
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? | Finance Research Letters | Taras Bodnar Nestor Parolya Erik Thorsén | 2023/6/1 |
Multi-period power utility optimization under stock return predictability | Computational Management Science | Taras Bodnar Dmytro Ivasiuk Nestor Parolya Wolfgang Schmid | 2023/12 |
Estimation of sub-Gaussian random vectors using the method of moments | arXiv preprint arXiv:2207.13169 | Taras Bodnar Dmitry Otryakhin Erik Thorsen | 2022/7/26 |
Volatility sensitive Bayesian estimation of portfolio VaR and CVaR | arXiv preprint arXiv:2205.01444 | Taras Bodnar Vilhelm Niklasson Erik Thorsén | 2022/5/3 |
Recent advances in shrinkage-based high-dimensional inference | Olha Bodnar Taras Bodnar Nestor Parolya | 2022/3/1 | |
Optimal shrinkage-based portfolio selection in high dimensions | Journal of Business & Economic Statistics | Taras Bodnar Yarema Okhrin Nestor Parolya | 2022/12/13 |
Two is better than one: Regularized shrinkage of large minimum variance portfolio | arXiv preprint arXiv:2202.06666 | Taras Bodnar Nestor Parolya Erik Thorsén | 2022/2/14 |
Package ‘BayesMultMeta’ | Olha Bodnar Taras Bodnar Erik Thorsén Maintainer Erik Thorsén | 2022/10/12 |
