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 1 3 13 30
An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection 0 0 0 7 1 2 10 55
Bayesian inference for the tangent portfolio 0 0 0 45 0 3 8 82
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 1 4 11 72
Discriminant analysis in small and large dimensions 0 0 0 22 0 4 10 50
Edgeworth Expansions for Multivariate Random Sums 0 0 0 23 0 3 16 66
Estimation of optimal portfolio compositions for small sampleand singular covariance matrix 0 0 0 26 1 3 5 18
Estimation of the linear fractional stable motion 0 0 0 34 2 7 9 45
Flexible Fat-tailed Vector Autoregression 0 0 0 78 2 6 17 155
Higher order moments of the estimated tangency portfolio weights 0 0 0 34 0 2 12 70
Identifying Useful Indicators for Nowcasting GDP in Sweden 0 1 6 10 3 9 31 38
Linear Fractional Stable Motion with the RLFSM R Package 0 0 0 23 2 4 9 64
Matrix Gamma Distributions and Related Stochastic Processes 0 0 0 27 1 1 8 80
Matrix Variate Generalized Laplace Distributions 0 0 0 16 1 5 18 52
Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix 1 2 4 6 3 7 19 23
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 3 9 60
On the mean and variance of the estimated tangency portfolio weights for small samples 0 0 0 24 1 2 9 43
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions 0 0 0 24 0 1 9 60
Portfolio Selection with a Rank-deficient Covariance Matrix 0 0 0 12 0 5 20 61
Predicting returns and dividend growth - the role of non-Gaussian innovations 0 0 0 19 0 3 8 31
Statistical Inference for the Tangency Portfolio in High Dimension 0 0 0 18 1 5 15 63
Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory 0 0 0 33 1 2 3 72
Tangency portfolio weights under a skew-normal model in small and large dimensions 0 0 0 11 5 8 16 45
The Method of Moments for Multivariate Random Sums 0 0 0 1 2 3 13 23
VAR Models with Fat Tails and Dynamic Asymmetry 0 0 2 7 1 4 14 25
Vector autoregression models with skewness and heavy tails 0 0 0 17 2 6 15 69
Vector autoregression models with skewness and heavy tails 0 0 1 35 0 4 14 107
Total Working Papers 1 3 13 609 31 109 341 1,559

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 2 3 6 43
An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection 0 0 1 4 1 2 10 27
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO 0 0 0 5 1 3 12 30
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO 0 0 0 0 0 0 4 17
Bayesian estimation of the global minimum variance portfolio 0 0 2 34 2 4 12 91
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 2 9 14
Edgeworth expansions for multivariate random sums 0 0 0 0 0 4 15 18
Higher order moments of the estimated tangency portfolio weights 0 0 0 1 0 4 8 15
Likelihood ratio test for covariance matrix under multivariate t distribution with uncorrelated observations 0 0 0 0 4 7 16 16
Matrix variate gamma distributions with unrestricted shape parameter 0 0 1 1 0 1 11 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 3 11 24
On the exact and approximate distributions of the product of a Wishart matrix with a normal vector 0 0 0 9 0 1 6 57
Portfolio Selection with a Rank-Deficient Covariance Matrix 0 0 0 0 0 2 14 15
Predicting returns and dividend growth — The role of non-Gaussian innovations 0 0 0 2 1 2 10 15
Singular inverse Wishart distribution and its application to portfolio theory 0 0 0 10 1 3 15 74
Tangency portfolio weights under a skew-normal model in small and large dimensions 0 0 0 0 0 4 12 14
The method of moments for multivariate random sums in the Poisson-Skew-Normal case 0 0 1 1 0 1 11 12
Third cumulant for multivariate aggregate claim models 0 0 0 0 1 1 5 5
Vector autoregression models with skewness and heavy tails 0 1 8 15 1 8 30 60
Total Journal Articles 0 1 13 92 14 55 217 558

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 3 3
Introduction 0 0 0 0 0 2 3 3
Shrinkage Estimation of the Intercept Parameter in Linear Regression 0 0 0 0 0 4 5 5
VAR Models with Fat Tails and Dynamic Asymmetry 0 0 0 0 1 3 5 5
Total Chapters 0 0 0 0 2 10 16 16

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