Access Statistics for Stepan Mazur

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A test on the location of tangency portfolio for small sample size and singular covariance matrix 0 0 1 8 2 2 4 19
An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection 0 0 0 7 1 2 8 48
Bayesian inference for the tangent portfolio 0 0 1 45 0 0 2 74
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions 0 0 0 24 0 0 3 61
Discriminant analysis in small and large dimensions 0 0 0 22 0 1 2 41
Edgeworth Expansions for Multivariate Random Sums 0 0 0 23 5 6 6 56
Estimation of optimal portfolio compositions for small sampleand singular covariance matrix 0 0 0 26 0 1 1 14
Estimation of the linear fractional stable motion 0 0 0 34 1 1 2 37
Flexible Fat-tailed Vector Autoregression 0 0 4 78 2 5 15 145
Higher order moments of the estimated tangency portfolio weights 0 0 0 34 0 0 2 58
Identifying Useful Indicators for Nowcasting GDP in Sweden 1 2 7 7 2 5 17 17
Linear Fractional Stable Motion with the RLFSM R Package 0 0 0 23 1 1 2 56
Matrix Gamma Distributions and Related Stochastic Processes 0 0 0 27 0 0 1 72
Matrix Variate Generalized Laplace Distributions 0 0 2 16 3 4 8 38
Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix 0 2 4 4 1 3 7 7
Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances 0 0 0 25 0 0 0 51
On the mean and variance of the estimated tangency portfolio weights for small samples 0 0 0 24 2 3 3 37
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions 0 0 1 24 0 0 2 51
Portfolio Selection with a Rank-deficient Covariance Matrix 0 0 0 12 2 2 4 44
Predicting returns and dividend growth - the role of non-Gaussian innovations 0 0 0 19 1 1 1 24
Statistical Inference for the Tangency Portfolio in High Dimension 0 0 0 18 3 3 5 51
Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory 0 0 0 33 0 0 2 69
Tangency portfolio weights under a skew-normal model in small and large dimensions 0 0 0 11 0 1 2 30
The Method of Moments for Multivariate Random Sums 0 0 0 1 1 1 5 11
VAR Models with Fat Tails and Dynamic Asymmetry 0 1 7 7 1 4 15 16
Vector autoregression models with skewness and heavy tails 0 0 1 17 0 0 7 54
Vector autoregression models with skewness and heavy tails 0 0 0 34 1 1 7 95
Total Working Papers 1 5 28 603 29 47 133 1,276

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A test for the global minimum variance portfolio for small sample and singular covariance 0 0 1 7 0 0 1 37
An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection 0 0 0 3 2 3 5 21
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO 0 0 0 0 0 1 3 15
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO 0 0 1 5 0 1 4 20
Bayesian estimation of the global minimum variance portfolio 0 0 6 33 3 3 12 83
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions 0 0 0 0 1 1 4 8
Edgeworth expansions for multivariate random sums 0 0 0 0 0 1 3 4
Higher order moments of the estimated tangency portfolio weights 0 0 0 1 0 0 2 7
Matrix variate gamma distributions with unrestricted shape parameter 0 0 0 0 0 2 2 2
Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations 0 0 0 3 0 0 1 14
On the exact and approximate distributions of the product of a Wishart matrix with a normal vector 0 0 0 9 1 1 1 52
Portfolio Selection with a Rank-Deficient Covariance Matrix 0 0 0 0 2 2 3 3
Predicting returns and dividend growth — The role of non-Gaussian innovations 0 0 1 2 1 2 4 8
Singular inverse Wishart distribution and its application to portfolio theory 0 0 0 10 0 0 3 60
Tangency portfolio weights under a skew-normal model in small and large dimensions 0 0 0 0 0 1 2 3
The method of moments for multivariate random sums in the Poisson-Skew-Normal case 0 0 1 1 1 1 4 4
Third cumulant for multivariate aggregate claim models 0 0 0 0 0 1 1 1
Vector autoregression models with skewness and heavy tails 0 2 6 11 1 3 19 37
Total Journal Articles 0 2 16 85 12 23 74 379

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Statistics updated 2025-11-08