4
H index
3
i10 index
83
Citations
Stepan Mazur : Citation Profile
Örebro Universitet | RESEARCH PRODUCTION: 15 Articles 25 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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11 years (2013 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Stepan Mazur. | Is cited by:
| Cites to:
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Main data
Where Stepan Mazur has published?
| Journals with more than one article published | # docs |
|---|---|
| Computational Economics | 2 |
| Journal of Multivariate Analysis | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / rebro University, School of Business | 24 |
Recent works citing Stepan Mazur (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Thors, Erik ; Parolya, Nestor ; Dette, Holger ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1908.04243. Full description at Econpapers || Download paper |
| 2023 | Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification. (2023). Marcellino, Massimiliano ; Huber, Florian. In: Papers. RePEc:arx:papers:2304.07856. Full description at Econpapers || Download paper |
| 2023 | Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks. (2023). Huber, Florian ; Koop, Gary. In: Papers. RePEc:arx:papers:2305.16827. Full description at Econpapers || Download paper |
| 2023 | Modelling and Forecasting Macroeconomic Risk with Time Varying Skewness Stochastic Volatility Models. (2023). Renzetti, Andrea. In: Papers. RePEc:arx:papers:2306.09287. Full description at Econpapers || Download paper |
| 2023 | BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438. Full description at Econpapers || Download paper |
| 2023 | Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074. Full description at Econpapers || Download paper |
| 2023 | Cardinality-constrained distributionally robust portfolio optimization. (2023). Nakata, Kazuhide ; Takano, Yuichi ; Kobayashi, Ken. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1173-1182. Full description at Econpapers || Download paper |
| 2024 | Constructing Bayesian tangency portfolios under short-selling restrictions. (2024). Niklasson, Vilhelm ; Bodnar, Taras. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000953. Full description at Econpapers || Download paper |
| 2024 | Shrinkage and thresholding approaches for expected utility portfolios: An analysis in terms of predictive ability. (2024). Jain, Shashi ; Dutta, Sumanjay. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004562. Full description at Econpapers || Download paper |
| 2024 | The skewness of mean–variance normal mixtures. (2024). Loperfido, Nicola. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:199:y:2024:i:c:s0047259x2300088x. Full description at Econpapers || Download paper |
| 2023 | Enhancing stock market anomalies with machine learning. (2023). Hoegner, Christopher ; Azevedo, Vitor. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:1:d:10.1007_s11156-022-01099-z. Full description at Econpapers || Download paper |
| 2023 | Modelling Okun’s law: Does non-Gaussianity matter?. (2023). Österholm, Pär ; Kiss, Tamas ; Osterholm, Par ; Nguyen, Hoang. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:5:d:10.1007_s00181-022-02309-2. Full description at Econpapers || Download paper |
| 2023 | Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks. (2023). Koop, Gary ; Huber, Florian. In: Working Papers. RePEc:str:wpaper:2309. Full description at Econpapers || Download paper |
| 2023 | Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies. (2023). Runstler, Gerhard ; Budnik, Katarzyna. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:2:p:186-201. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
Works by Stepan Mazur:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2021 | Vector autoregression models with skewness and heavy tails In: Papers. [Full Text][Citation analysis] | paper | 12 |
| 2023 | Vector autoregression models with skewness and heavy tails.(2023) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2021 | Vector autoregression models with skewness and heavy tails.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2019 | Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 1 |
| 2017 | Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2024 | Edgeworth expansions for multivariate random sums In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2020 | Edgeworth Expansions for Multivariate Random Sums.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Bayesian estimation of the global minimum variance portfolio In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 32 |
| 2022 | Predicting returns and dividend growth — The role of non-Gaussian innovations In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
| 2021 | Predicting returns and dividend growth - the role of non-Gaussian innovations.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2013 | On the exact and approximate distributions of the product of a Wishart matrix with a normal vector In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 2 |
| 2016 | Singular inverse Wishart distribution and its application to portfolio theory In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 12 |
| 2017 | Discriminant analysis in small and large dimensions In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Higher order moments of the estimated tangency portfolio weights In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2021 | Higher order moments of the estimated tangency portfolio weights.(2021) In: Journal of Applied Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2018 | Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Bayesian inference for the tangent portfolio In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2018 | BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO.(2018) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2018 | BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO.(2018) In: Journal of Enterprising Culture (JEC). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2018 | Estimation of the linear fractional stable motion In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2020 | An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection.(2020) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2019 | Linear Fractional Stable Motion with the RLFSM R Package In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Flexible Fat-tailed Vector Autoregression In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | On the mean and variance of the estimated tangency portfolio weights for small samples In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Statistical Inference for the Tangency Portfolio in High Dimension In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Portfolio Selection with a Rank-deficient Covariance Matrix In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Portfolio Selection with a Rank-Deficient Covariance Matrix.(2024) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2021 | Tangency portfolio weights under a skew-normal model in small and large dimensions In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Tangency portfolio weights under a skew-normal model in small and large dimensions.(2024) In: Journal of the Operational Research Society. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2022 | Matrix Variate Generalized Laplace Distributions In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Matrix Gamma Distributions and Related Stochastic Processes In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Estimation of optimal portfolio compositions for small sampleand singular covariance matrix In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | A test on the location of tangency portfolio for small sample size and singular covariance matrix In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | The Method of Moments for Multivariate Random Sums In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | VAR Models with Fat Tails and Dynamic Asymmetry In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | A test for the global minimum variance portfolio for small sample and singular covariance In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] | article | 4 |
| In: . [Full Text][Citation analysis] | article | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team