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 5 10 27
An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection 0 0 0 7 0 4 9 53
Bayesian inference for the tangent portfolio 0 0 1 45 0 5 6 79
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 4 7 7 68
Discriminant analysis in small and large dimensions 0 0 0 22 0 4 7 46
Edgeworth Expansions for Multivariate Random Sums 0 0 0 23 1 5 13 63
Estimation of optimal portfolio compositions for small sampleand singular covariance matrix 0 0 0 26 0 1 2 15
Estimation of the linear fractional stable motion 0 0 0 34 0 0 2 38
Flexible Fat-tailed Vector Autoregression 0 0 4 78 0 4 17 149
Higher order moments of the estimated tangency portfolio weights 0 0 0 34 0 7 11 68
Identifying Useful Indicators for Nowcasting GDP in Sweden 1 1 8 9 3 8 28 29
Linear Fractional Stable Motion with the RLFSM R Package 0 0 0 23 0 3 5 60
Matrix Gamma Distributions and Related Stochastic Processes 0 0 0 27 1 7 7 79
Matrix Variate Generalized Laplace Distributions 0 0 1 16 2 7 16 47
Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix 0 0 2 4 2 4 13 16
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 2 5 6 57
On the mean and variance of the estimated tangency portfolio weights for small samples 0 0 0 24 0 3 7 41
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions 0 0 1 24 0 6 9 59
Portfolio Selection with a Rank-deficient Covariance Matrix 0 0 0 12 0 10 15 56
Predicting returns and dividend growth - the role of non-Gaussian innovations 0 0 0 19 0 3 5 28
Statistical Inference for the Tangency Portfolio in High Dimension 0 0 0 18 1 4 10 58
Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory 0 0 0 33 0 0 2 70
Tangency portfolio weights under a skew-normal model in small and large dimensions 0 0 0 11 0 5 9 37
The Method of Moments for Multivariate Random Sums 0 0 0 1 3 9 12 20
VAR Models with Fat Tails and Dynamic Asymmetry 0 0 3 7 0 4 13 21
Vector autoregression models with skewness and heavy tails 0 0 1 35 0 3 11 103
Vector autoregression models with skewness and heavy tails 0 0 0 17 5 8 10 63
Total Working Papers 1 1 21 606 24 131 262 1,450

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 3 3 40
An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection 0 0 1 4 0 3 8 25
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO 0 0 0 0 0 1 4 17
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO 0 0 1 5 0 6 10 27
Bayesian estimation of the global minimum variance portfolio 0 1 2 34 1 4 11 87
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 3 7 12
Edgeworth expansions for multivariate random sums 0 0 0 0 4 10 11 14
Higher order moments of the estimated tangency portfolio weights 0 0 0 1 1 3 4 11
Likelihood ratio test for covariance matrix under multivariate t distribution with uncorrelated observations 0 0 0 0 2 8 9 9
Matrix variate gamma distributions with unrestricted shape parameter 1 1 1 1 3 7 10 10
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 6 8 21
On the exact and approximate distributions of the product of a Wishart matrix with a normal vector 0 0 0 9 2 3 5 56
Portfolio Selection with a Rank-Deficient Covariance Matrix 0 0 0 0 2 8 12 13
Predicting returns and dividend growth — The role of non-Gaussian innovations 0 0 1 2 2 5 9 13
Singular inverse Wishart distribution and its application to portfolio theory 0 0 0 10 0 4 12 71
Tangency portfolio weights under a skew-normal model in small and large dimensions 0 0 0 0 1 4 8 10
The method of moments for multivariate random sums in the Poisson-Skew-Normal case 0 0 1 1 0 6 11 11
Third cumulant for multivariate aggregate claim models 0 0 0 0 0 3 4 4
Vector autoregression models with skewness and heavy tails 1 2 9 14 1 13 26 52
Total Journal Articles 2 4 16 91 20 100 172 503

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 0 2 2 2
Introduction 0 0 0 0 0 1 1 1
Shrinkage Estimation of the Intercept Parameter in Linear Regression 0 0 0 0 1 1 1 1
VAR Models with Fat Tails and Dynamic Asymmetry 0 0 0 0 0 2 2 2
Total Chapters 0 0 0 0 1 6 6 6

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Statistics updated 2026-03-04