4
H index
3
i10 index
91
Citations
Stepan Mazur : Citation Profile
Örebro Universitet | RESEARCH PRODUCTION: 19 Articles 27 Papers 4 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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12 years (2013 - 2025). 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 |
|---|---|
| Journal of Multivariate Analysis | 4 |
| Computational Economics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / rebro University, School of Business | 26 |
Recent works citing Stepan Mazur (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | 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 |
| 2024 | A large non-Gaussian structural VAR with application to Monetary Policy. (2024). Pruser, Jan. In: Papers. RePEc:arx:papers:2412.17598. Full description at Econpapers || Download paper |
| 2025 | Covariance Matrix Estimation for Positively Correlated Assets. (2025). Liu, Weilong. In: Papers. RePEc:arx:papers:2507.01545. Full description at Econpapers || Download paper |
| 2025 | Accelerated Portfolio Optimization and Option Pricing with Reinforcement Learning. (2025). Jazayeri, Samaneh ; Keramati, Hadi. In: Papers. RePEc:arx:papers:2507.01972. Full description at Econpapers || Download paper |
| 2025 | Estimating Covariance for Global Minimum Variance Portfolio: A Decision-Focused Learning Approach. (2025). Lee, Yongjae ; Tae, Inwoo ; Kim, Juchan. In: Papers. RePEc:arx:papers:2508.10776. Full description at Econpapers || Download paper |
| 2025 | Stochastic Volatility-in-mean VARs with Time-Varying Skewness. (2025). Ferreira, Leonardo ; Mumtaz, Haroon ; Skoblar, Ana. In: Papers. RePEc:arx:papers:2510.08415. Full description at Econpapers || Download paper |
| 2025 | Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring. (2025). Flores-Silva, Daniela I ; Su, Alfonso ; Sordo, Miguel A. In: Papers. RePEc:arx:papers:2510.15934. Full description at Econpapers || Download paper |
| 2025 | Flexible and Robust Particle Tempering for State Space Models. (2025). Kohn, Robert ; Gunawan, David ; Tran, Minh Ngoc. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:35-55. Full description at Econpapers || Download paper |
| 2025 | Integration of prediction and optimization for smart stock portfolio selection. (2025). Sarkar, Puja ; Khanapuri, Vivekanand B ; Tiwari, Manoj Kumar. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:243-256. Full description at Econpapers || Download paper |
| 2025 | Asset allocation with factor-based covariance matrices. (2025). Conlon, Thomas ; Cotter, John ; Kynigakis, Iason. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:1:p:189-203. 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). Dutta, Sumanjay ; Jain, Shashi. 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 |
| 2024 | Multivariate unified skew-t distributions and their properties. (2024). Arellano-Valle, Reinaldo B ; Genton, Marc G ; Karling, Maicon J ; Wang, Kesen. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:203:y:2024:i:c:s0047259x24000290. Full description at Econpapers || Download paper |
| 2024 | Enhancing Portfolio Optimization: A Two-Stage Approach with Deep Learning and Portfolio Optimization. (2024). Huang, Shiguo ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili ; Cao, Linyu. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:21:p:3376-:d:1508612. Full description at Econpapers || Download paper |
| 2024 | Empirical Performance of an ESG Assets Portfolio from US Market. (2024). SADEFO KAMDEM, Jules ; Benhmad, Franois ; Pokou, Fredy. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10491-3. Full description at Econpapers || Download paper |
| 2024 | Properties of risk aversion estimated from portfolio weights. (2024). Satchell, Steve ; Kwon, Oh Kang ; Grant, Andrew. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:5:d:10.1057_s41260-024-00375-y. Full description at Econpapers || Download paper |
| 2025 | Does the COVID-19 pandemic affect the asset allocation performance? Evidence from a composite asset selection approach. (2025). Su, Jung-Bin. In: Humanities and Social Sciences Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-05258-0. Full description at Econpapers || Download paper |
| 2025 | Bayesian learning in dynamic portfolio selection under a minimax rule. (2025). Yu, Gen ; Cai, Xiaoqiang. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:47:y:2025:i:1:d:10.1007_s00291-024-00786-8. Full description at Econpapers || Download paper |
| 2024 | Statistically identified structural VAR model with potentially skewed and fat‐tailed errors. (2024). Lanne, Markku ; Anttonen, Jetro ; Luoto, Jani. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:3:p:422-437. Full description at Econpapers || Download paper |
| 2024 | Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks. (2024). Huber, Florian ; Koop, Gary. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:7:p:1301-1320. Full description at Econpapers || Download paper |
Stepan Mazur has edited the books:
| Year | Title | Type | Cited |
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Works by Stepan Mazur:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2021 | Vector autoregression models with skewness and heavy tails In: Papers. [Full Text][Citation analysis] | paper | 16 |
| 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: 16 | 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: 16 | 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 | 39 |
| 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 | 11 |
| 2025 | Matrix variate gamma distributions with unrestricted shape parameter In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 0 |
| 2025 | Likelihood ratio test for covariance matrix under multivariate t distribution with uncorrelated observations In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 1 |
| 2025 | The method of moments for multivariate random sums in the Poisson-Skew-Normal case In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 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 |
| 2023 | Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations.(2023) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Portfolio Selection with a Rank-deficient Covariance Matrix In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Portfolio Selection with a Rank-Deficient Covariance Matrix.(2024) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Tangency portfolio weights under a skew-normal model in small and large dimensions In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 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: 0 | 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 |
| 2024 | Estimation of Optimal Portfolio Compositions for Small Sample and Singular Covariance Matrix.(2024) In: Springer Books. [Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 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 |
| 2025 | VAR Models with Fat Tails and Dynamic Asymmetry.(2025) In: Springer Books. [Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 2024 | Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Identifying Useful Indicators for Nowcasting GDP in Sweden 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 | 3 |
| 2024 | Shrinkage Estimation of the Intercept Parameter in Linear Regression In: Springer Books. [Citation analysis] | chapter | 0 |
| 2025 | Introduction In: Springer Books. [Citation analysis] | chapter | 0 |
| 2018 | Third cumulant for multivariate aggregate claim models In: Scandinavian Actuarial Journal. [Full Text][Citation analysis] | article | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team