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 0 0 5 17
An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection 0 0 0 7 0 1 5 45
Bayesian inference for the tangent portfolio 0 1 1 45 0 1 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 1 40
Edgeworth Expansions for Multivariate Random Sums 0 0 0 23 0 0 0 50
Estimation of optimal portfolio compositions for small sampleand singular covariance matrix 0 0 0 26 0 0 0 13
Estimation of the linear fractional stable motion 0 0 1 34 0 0 2 36
Flexible Fat-tailed Vector Autoregression 2 4 5 78 3 6 9 138
Higher order moments of the estimated tangency portfolio weights 0 0 0 34 0 1 3 58
Identifying Useful Indicators for Nowcasting GDP in Sweden 2 3 4 4 2 6 7 7
Linear Fractional Stable Motion with the RLFSM R Package 0 0 1 23 0 0 4 55
Matrix Gamma Distributions and Related Stochastic Processes 0 0 0 27 0 0 5 72
Matrix Variate Generalized Laplace Distributions 1 1 4 16 1 3 8 34
Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix 0 0 2 2 0 1 4 4
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 0 0 0 34
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions 0 1 1 24 0 1 2 51
Portfolio Selection with a Rank-deficient Covariance Matrix 0 0 0 12 0 0 1 41
Predicting returns and dividend growth - the role of non-Gaussian innovations 0 0 0 19 0 0 0 23
Statistical Inference for the Tangency Portfolio in High Dimension 0 0 0 18 0 0 2 48
Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory 0 0 0 33 0 1 3 69
Tangency portfolio weights under a skew-normal model in small and large dimensions 0 0 0 11 0 1 1 29
The Method of Moments for Multivariate Random Sums 0 0 1 1 1 2 10 10
VAR Models with Fat Tails and Dynamic Asymmetry 1 1 5 5 2 3 11 11
Vector autoregression models with skewness and heavy tails 0 0 2 34 1 1 9 93
Vector autoregression models with skewness and heavy tails 0 0 2 17 0 1 10 54
Total Working Papers 6 11 30 596 10 30 107 1,218

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 0 0 1 17
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO 0 1 2 5 0 1 3 18
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO 0 0 0 0 0 0 1 13
Bayesian estimation of the global minimum variance portfolio 0 0 6 32 2 3 10 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 0 0 0 1 5
Edgeworth expansions for multivariate random sums 0 0 0 0 0 0 3 3
Higher order moments of the estimated tangency portfolio weights 0 0 0 1 0 0 2 7
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 2 13
On the exact and approximate distributions of the product of a Wishart matrix with a normal vector 0 0 0 9 0 0 1 51
Portfolio Selection with a Rank-Deficient Covariance Matrix 0 0 0 0 0 0 1 1
Predicting returns and dividend growth — The role of non-Gaussian innovations 0 1 1 2 0 1 1 5
Singular inverse Wishart distribution and its application to portfolio theory 0 0 0 10 0 0 4 59
Tangency portfolio weights under a skew-normal model in small and large dimensions 0 0 0 0 0 0 2 2
The method of moments for multivariate random sums in the Poisson-Skew-Normal case 0 0 0 0 0 1 1 1
Third cumulant for multivariate aggregate claim models 0 0 0 0 0 0 0 0
Vector autoregression models with skewness and heavy tails 1 2 3 7 3 4 14 30
Total Journal Articles 1 4 13 79 5 10 48 341

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Statistics updated 2025-06-06