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Browsing All of EconStor by Author Mazur, Stepan
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Showing results 1 to 20 of 26
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Year of Publication
Title
Author(s)
2017
Discriminant analysis in small and large dimensions
Bodnar, Taras
;
Mazur, Stepan
;
Ngailo, Edward
;
Parolya, Nestor
2017
Higher order moments of the estimated tangency portfolio weights
Javed, Farrukh
;
Mazur, Stepan
;
Ngailo, Edward
2017
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions
Bodnar, Taras
;
Mazur, Stepan
;
Parolya, Nestor
2017
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions
Bodnar, Taras
;
Mazur, Stepan
;
Muhinyuza, Stanislas
;
Parolya, Nestor
2018
Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory
Bodnar, Taras
;
Mazur, Stepan
;
Podgórski, Krzysztof
;
Tyrcha, Joanna
2018
Bayesian inference for the tangent portfolio
Bauder, David
;
Bodnar, Taras
;
Mazur, Stepan
;
Okhrin, Yarema
2018
Estimation of the linear fractional stable motion
Mazur, Stepan
;
Otryakhin, Dmitry
;
Podolskij, Mark
2019
An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection
Gulliksson, Mårten
;
Mazur, Stepan
2019
Linear Fractional Stable Motion with the RLFSM R Package
Mazur, Stepan
;
Otryakhin, Dmitry
2020
Statistical Inference for the Tangency Portfolio in High Dimension
Karlsson, Sune
;
Mazur, Stepan
;
Muhinyuza, Stanislas
2020
Edgeworth Expansions for Multivariate Random Sums
Javed, Farrukh
;
Loperfido, Nicola
;
Mazur, Stepan
2020
On the mean and variance of the estimated tangency portfolio weights for small samples
Alfelt, Gustav
;
Mazur, Stepan
2020
Flexible Fat-tailed Vector Autoregression
Karlsson, Sune
;
Mazur, Stepan
2021
Portfolio Selection with a Rank-deficient Covariance Matrix
Gulliksson, Mårten
;
Oleynik, Anna
;
Mazur, Stepan
2021
Vector autoregression models with skewness and heavy tails
Karlsson, Sune
;
Mazur, Stepan
;
Nguyen, Hoang
2021
Tangency portfolio weights under a skew-normal model in small and large dimensions
Javed, Farrukh
;
Mazur, Stepan
;
Thorsén, Erik
2021
Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances
Kiss, Tamás
;
Mazur, Stepan
;
Nguyen, Hoang
;
Österholm, Pär
2021
Predicting returns and dividend growth - the role of non-Gaussian innovations
Kiss, Tamás
;
Mazur, Stepan
;
Nguyen, Hoang
2022
Matrix gamma distributions and related stochastic processes
Kozubowski, Tomasz J.
;
Mazur, Stepan
;
Podgórski, Krzysztof
2022
Matrix variate generalized laplace distributions
Kozubowski, Tomasz J.
;
Mazur, Stepan
;
Podgorski, Krysztof