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 0 8 0 0 13 30
An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection 1 1 1 8 1 2 10 57
Bayesian inference for the tangent portfolio 0 0 0 45 0 0 8 82
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions 0 1 1 25 1 3 14 75
Computation of the exact density function of the product of a Wishart matrix and a normal vector 0 0 0 0 2 6 6 6
Discriminant analysis in small and large dimensions 0 0 0 22 0 0 10 50
Edgeworth Expansions for Multivariate Random Sums 0 0 0 23 0 0 15 66
Estimation of optimal portfolio compositions for small sampleand singular covariance matrix 0 0 0 26 3 3 8 21
Estimation of the linear fractional stable motion 0 0 0 34 0 0 9 45
Flexible Fat-tailed Vector Autoregression 0 1 1 79 0 2 15 157
Higher order moments of the estimated tangency portfolio weights 0 0 0 34 1 4 16 74
Identifying Useful Indicators for Nowcasting GDP in Sweden 1 1 6 11 2 2 26 40
Linear Fractional Stable Motion with the RLFSM R Package 0 0 0 23 0 0 9 64
Matrix Gamma Distributions and Related Stochastic Processes 0 0 0 27 2 3 11 83
Matrix Variate Generalized Laplace Distributions 0 0 0 16 0 0 17 52
Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix 1 1 4 7 2 5 23 28
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 2 11 62
On the mean and variance of the estimated tangency portfolio weights for small samples 0 0 0 24 1 1 10 44
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions 0 0 0 24 0 0 9 60
Portfolio Selection with a Rank-deficient Covariance Matrix 0 0 0 12 0 0 19 61
Predicting returns and dividend growth - the role of non-Gaussian innovations 0 0 0 19 0 0 8 31
Statistical Inference for the Tangency Portfolio in High Dimension 0 0 0 18 0 0 15 63
Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory 0 0 0 33 0 1 4 73
Tangency portfolio weights under a skew-normal model in small and large dimensions 0 0 0 11 0 0 15 45
The Method of Moments for Multivariate Random Sums 0 0 0 1 0 0 13 23
VAR Models with Fat Tails and Dynamic Asymmetry 0 0 0 7 0 1 11 26
Vector autoregression models with skewness and heavy tails 0 1 1 18 2 6 21 75
Vector autoregression models with skewness and heavy tails 0 1 2 36 0 1 14 108
Total Working Papers 3 7 16 616 17 42 360 1,601

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 0 7 1 1 7 44
An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection 0 0 1 4 0 2 10 29
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO 0 0 0 0 1 1 3 18
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO 0 0 0 5 0 0 10 30
Bayesian estimation of the global minimum variance portfolio 0 0 1 34 1 1 12 92
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 0 0 7 14
Edgeworth expansions for multivariate random sums 0 0 0 0 0 0 14 18
Higher order moments of the estimated tangency portfolio weights 0 0 0 1 0 1 9 16
Likelihood ratio test for covariance matrix under multivariate t distribution with uncorrelated observations 1 1 1 1 1 3 19 19
Matrix variate gamma distributions with unrestricted shape parameter 0 0 1 1 0 0 9 11
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 10 24
On the exact and approximate distributions of the product of a Wishart matrix with a normal vector 0 0 0 9 0 1 7 58
Portfolio Selection with a Rank-Deficient Covariance Matrix 0 1 1 1 2 4 18 19
Predicting returns and dividend growth — The role of non-Gaussian innovations 0 0 0 2 0 0 9 15
Singular inverse Wishart distribution and its application to portfolio theory 0 0 0 10 0 2 16 76
Tangency portfolio weights under a skew-normal model in small and large dimensions 0 0 0 0 0 0 11 14
The method of moments for multivariate random sums in the Poisson-Skew-Normal case 0 0 0 1 0 0 9 12
Third cumulant for multivariate aggregate claim models 0 0 0 0 0 0 5 5
Vector autoregression models with skewness and heavy tails 0 1 6 16 0 2 27 62
Total Journal Articles 1 3 11 95 6 18 212 576

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Estimation of Optimal Portfolio Compositions for Small Sample and Singular Covariance Matrix 0 0 0 0 1 1 4 4
Introduction 0 0 0 0 0 0 3 3
Shrinkage Estimation of the Intercept Parameter in Linear Regression 0 0 0 0 1 1 6 6
VAR Models with Fat Tails and Dynamic Asymmetry 0 0 0 0 0 0 5 5
Total Chapters 0 0 0 0 2 2 18 18

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