← All authors Stepan Mazur Örebro University (from arXiv:2105.11182, 2021) · ORCID · OpenAlex
31 papers in scope · 31 published · 1 on the econ.EM arXiv · 432 citations · h-index 12 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Andrea Renzetti Massimiliano Marcellino Jan Prüser Sylvia Frühwirth-Schnatter Gregor Kastner Florian Huber Gary Koop Joshua C. C. Chan Hoang Nguyen Sune Karlsson Niko Hauzenberger Hedibert F. Lopes Philippe Goulet Coulombe Luca Onorante Xuewen Yu Peter Knaus Anna E. C. Simoni Darjus Hosszejni Michael Pfarrhofer Sascha A. Keweloh Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 31)
Estimation and testing of the commutative quadratic covariance structure under multivariate t distribution
published 2026 · Test
with Katarzyna Filipiak, Daniel Klein, Monika Mokrzycka
Likelihood ratio test for covariance matrix under multivariate t distribution with uncorrelated observations
published 2025 · Journal of Multivariate Analysis · 2 citations
with Katarzyna Filipiak, Daniel Klein, Malwina Mrowińska
Matrix variate gamma distributions with unrestricted shape parameter
published 2025 · Journal of Multivariate Analysis · 1 citations
with Tomasz J. Kozubowski, Krzysztof Podgórski
Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix
published 2025 · Results in Applied Mathematics · 3 citations
with Mårten Gulliksson, Anna Oleynik
The method of moments for multivariate random sums in the Poisson-Skew-Normal case
published 2024 · Statistics & Probability Letters · 1 citations
with Farrukh Javed, Nicola Loperfido
A test on the location of tangency portfolio for small sample size and singular covariance matrix
published 2024 · Modern Stochastics Theory and Applications · 3 citations
with Svitlana Drin, Stanislas Muhinyuza
Matrix variate generalized asymmetric Laplace distributions
published 2023 · Theory of Probability and Mathematical Statistics · 7 citations
with Tomasz J. Kozubowski, Krzysztof Podgórski
Tangency portfolio weights under a skew-normal model in small and large dimensions
published 2023 · Journal of the Operational Research Society · 7 citations
with Farrukh Javed, Erik Thorsén
Portfolio Selection with a Rank-Deficient Covariance Matrix
published 2023 · Computational Economics · 7 citations
with Mårten Gulliksson, Anna Oleynik
published 2022 · Journal of Economic Dynamics and Control · 24 citations · first circulated 2021
Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations
published 2022 · Journal of Forecasting · 9 citations · first circulated 2021
On the mean and variance of the estimated tangency portfolio weights for small samples
published 2022 · Modern Stochastics Theory and Applications · 9 citations
with Gustav Alfelt
Predicting returns and dividend growth — The role of non-Gaussian innovations
published 2021 · Finance research letters · 1 citations
Edgeworth expansions for multivariate random sums
published 2021 · Econometrics and Statistics · 4 citations · first circulated 2020
with Farrukh Javed, Nicola Loperfido
Statistical inference for the tangency portfolio in high dimension
published 2021 · Statistics · 9 citations · first circulated 2020
Discriminant analysis in small and large dimensions
published 2020 · Theory of Probability and Mathematical Statistics · 1 citations
with Taras Bodnar, Edward Ngailo, Nestor Parolya
Higher order moments of the estimated tangency portfolio weights
published 2020 · Journal of Applied Statistics · 21 citations
with Farrukh Javed, Edward Ngailo
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension
published 2020 · Theory of Probability and Mathematical Statistics · 8 citations · first circulated 2016
with Taras Bodnar, Stanislas Muhinyuza, Nestor Parolya
Linear Fractional Stable Motion with the rlfsm R Package
published 2020 · The R Journal · 1 citations
with Dmitry Otryakhin
Estimation of the linear fractional stable motion
published 2019 · Bernoulli · 3 citations
An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection
published 2019 · Computational Economics · 21 citations
with Mårten Gulliksson
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions
published 2019 · Scandinavian Journal of Statistics · 13 citations · first circulated 2016
with Taras Bodnar, Nestor Parolya
Tangency portfolio weights for singular covariance matrix in small and large dimensions: Estimation and test theory
published 2018 · Journal of Statistical Planning and Inference · 23 citations
with Taras Bodnar, Krzysztof Podgórski, Joanna Tyrcha
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO
published 2018 · International Journal of Theoretical and Applied Finance · 19 citations
with David Bauder, Taras Bodnar, Yarema Okhrin
Third cumulant for multivariate aggregate claim models
published 2017 · Scandinavian Actuarial Journal · 10 citations
with Nicola Loperfido, Krzysztof Podgórski
On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector
published 2017 · Theory of Probability and Mathematical Statistics · 12 citations
with I. Kotsiuba
A test for the global minimum variance portfolio for small sample and singular covariance
published 2016 · AStA Advances in Statistical Analysis · 19 citations
with Taras Bodnar, Krzysztof Podgórski
Bayesian estimation of the global minimum variance portfolio
published 2016 · European Journal of Operational Research · 108 citations
with Taras Bodnar, Yarema Okhrin
Distribution of the product of a singular Wishart matrix and a normal vector
published 2016 · Theory of Probability and Mathematical Statistics · 15 citations
with Taras Bodnar, Yarema Okhrin
Singular inverse Wishart distribution and its application to portfolio theory
published 2015 · Journal of Multivariate Analysis · 52 citations
with Taras Bodnar, Krzysztof Podgórski
On the exact and approximate distributions of the product of a Wishart matrix with a normal vector
published 2013 · Journal of Multivariate Analysis · 19 citations
with Taras Bodnar, Yarema Okhrin
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