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Stepan Mazur

Title: Senior Lecturer School/office: Örebro University School of Business

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Phone: +46 19 303117

Room: N4031

Stepan Mazur

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About Stepan Mazur

Stepan is an Assistant Professor of Statistics at the Örebro University School of Business. He has Ph.D. in Economics from European University Viadrina Frankfurt (Oder) (2014, Germany). During his Ph.D. program, he worked as a research assistant at European University Viadrina Frankfurt (Oder) (2011-2013, Germany), University of Augsburg (2013, Germany), and Humboldt University of Berlin (2014, Germany). He also worked as a PostDoc at Lund University (2014-2016, Sweden) and Aarhus University (2016, Denmark). The main purpose of his current research is to make a series of theoretical and practical contributions in two major fields. The first field deals with distributional properties of the (singular) Wishart random matrix and its applications in statistics and econometrics. The second field deals with the estimation of optimal portfolio weights and their risk measures from the Bayesian perspective as well as from the frequentist point of view. He is also interested in the multivariate statistical models in insurance, high-dimensional data analysis, matrix variate processes,  copulas, and dynamical stochastic models in spatial econometrics.

Curriculum Vitae (pdf)

Research Projects

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Publications

Publications

Articles in journals |  Conference papers |  Manuscripts |  Reports | 

Articles in journals

Bodnar, T. , Mazur, S. , Ngailo, E. & Parolya, N. (2019). Discriminant analysis in small and large dimensions. Theory of Probability and Mathematical Statistics, 100, 24-42.
Mazur, S. , Otryakhin, D. & Podolskij, M. (2019). Estimation of the linear fractional stable motion. Bernoulli.
Bodnar, T. , Mazur, S. , Podgorski, K. & Tyrcha, J. (2019). Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory. Journal of Statistical Planning and Inference, 201, 40-57.
Bauder, D. , Bodnar, T. , Mazur, S. & Okhrin, Y. (2018). Bayesian inference for the tangent portfolio. International Journal of Theoretical and Applied Finance, 21 (8).
Bodnar, T. , Mazur, S. , Muhinyuza, S. & Parolya, N. (2018). On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions. Theory of Probability and Mathematical Statistics, 2 (99), 37-50.
Loperfido, N. , Mazur, S. & Podgorski, K. (2018). Third cumulant for multivariate aggregate claim models. Scandinavian Actuarial Journal (2), 109-128.
Bodnar, T. , Mazur, S. & Podgorski, K. (2017). A test for the global minimum variance portfolio for small sample and singular covariance. AStA Advances in Statistical Analysis, 101 (3), 253-265.
Bodnar, T. , Mazur, S. & Okhrin, Y. (2017). Bayesian estimation of the global minimum variance portfolio. European Journal of Operational Research, 256 (1), 292-307.
Bodnar, T. , Mazur, S. & Podgórski, K. (2016). Singular inverse Wishart distribution and its application to portfolio theory. Journal of Multivariate Analysis, 143, 314-326.
Kotsiuba, I. & Mazur, S. (2015). On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian random vector. Theory of Probability and Mathematical Statistics, 93, 95-104.
Kotsiuba, I. & Mazur, S. (2014). Conditions of equilibrium for european option. Mathematical and Computer Modelling, Series: Physical & Mathematical Sciences, 11, 114-121.
Bodnar, T. , Mazur, S. & Okhrin, Y. (2014). Distribution of the product of a singular Wishart matrix and a normal vector. Theory of Probability and Mathematical Statistics (91), 1-15.
Bodnar, T. , Mazur, S. & Okhrin, Y. (2013). On the exact and approximate distributions of the product of a Wishart matrix with a normal vector. Journal of Multivariate Analysis, 122, 70-81.
Yeleyko, Y. , Lazariv, T. & Mazur, S. (2012). Main mathematical characteristics of payment functional. Bulletin of the Lviv University, Series in Mathematics & Informatics (18), 157-164.
Yeleyko, Y. , Lazariv, T. & Mazur, S. (2011). Multifractal products of diffusion processes and randomized scenario. Bulletin of the Lviv University, Series in Mechanics & Mathematics (74), 83-88.

Conference papers

Karlsson, S. & Mazur, S. (2019). Flexible Fat-tailed BVARs. Paper presented at 10th European Seminar on Bayesian Econometrics, St Andrews, Scotland, September 2-3, 2019.

Manuscripts

Javed, F. , Loperfido, N. & Mazur, S. Fourth Cumulant of Multivariate Aggregate Claim Models.

Reports

Gulliksson, M. & Mazur, S. (2019). An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. Örebro: Handelshögskolan, Örebro universitet (Working Papers, School of Business 2019:3).
Javed, F. , Mazur, S. & Ngailo, E. (2017). Higher order moments of the estimated tangency portfolio weights. Örebro, Sweden: Örebro University School of Business (Working Papers, School of Business 10).