Browsing All of EconStor by Author Mazur, Stepan

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Year of PublicationTitleAuthor(s)
2017Discriminant analysis in small and large dimensionsBodnar, Taras; Mazur, Stepan; Ngailo, Edward; Parolya, Nestor
2017Higher order moments of the estimated tangency portfolio weightsJaved, Farrukh; Mazur, Stepan; Ngailo, Edward
2017Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributionsBodnar, Taras; Mazur, Stepan; Parolya, Nestor
2017On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensionsBodnar, Taras; Mazur, Stepan; Muhinyuza, Stanislas; Parolya, Nestor
2018Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theoryBodnar, Taras; Mazur, Stepan; Podgórski, Krzysztof; Tyrcha, Joanna
2018Bayesian inference for the tangent portfolioBauder, David; Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema
2018Estimation of the linear fractional stable motionMazur, Stepan; Otryakhin, Dmitry; Podolskij, Mark
2019An Iterative Approach to Ill-Conditioned Optimal Portfolio SelectionGulliksson, Mårten; Mazur, Stepan
2019Linear Fractional Stable Motion with the RLFSM R PackageMazur, Stepan; Otryakhin, Dmitry
2020Statistical Inference for the Tangency Portfolio in High DimensionKarlsson, Sune; Mazur, Stepan; Muhinyuza, Stanislas
2020Edgeworth Expansions for Multivariate Random SumsJaved, Farrukh; Loperfido, Nicola; Mazur, Stepan
2020On the mean and variance of the estimated tangency portfolio weights for small samplesAlfelt, Gustav; Mazur, Stepan
2020Flexible Fat-tailed Vector AutoregressionKarlsson, Sune; Mazur, Stepan
2021Portfolio Selection with a Rank-deficient Covariance MatrixGulliksson, Mårten; Oleynik, Anna; Mazur, Stepan
2021Vector autoregression models with skewness and heavy tailsKarlsson, Sune; Mazur, Stepan; Nguyen, Hoang
2021Tangency portfolio weights under a skew-normal model in small and large dimensionsJaved, Farrukh; Mazur, Stepan; Thorsén, Erik
2021Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian DisturbancesKiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär
2021Predicting returns and dividend growth - the role of non-Gaussian innovationsKiss, Tamás; Mazur, Stepan; Nguyen, Hoang
2022Matrix gamma distributions and related stochastic processesKozubowski, Tomasz J.; Mazur, Stepan; Podgórski, Krzysztof
2022Matrix variate generalized laplace distributionsKozubowski, Tomasz J.; Mazur, Stepan; Podgorski, Krysztof