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Stepan Mazur

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

Email: stepan.mazur@oru.se

Phone: +46 19 303117

Room: N4031

Research subject

Statistics

Research environments

Economics and Statistics

About Stepan Mazur

Stepan is an Assistant Professor of Statistics at the Örebro University School of Business. He has a 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 three major directions. The first direction deals with the theory of random matrices and multivariate analysis. The second direction deals with the mathematical and statistical analysis of optimal portfolio weights and their risk measures. The third direction aims at developing and extending Bayesian VAR models and their applications in macro and financial economics.

Curriculum Vitae (pdf)

Active projects

Completed projects

Macro and financial econometrics after the financial crisis

Research teams

Publications

Articles in journals | Conference papers | Reports |

Articles in journals

Kiss, T. , Mazur, S. , Nguyen, H. & Österholm, P. (2023). Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations. Journal of Forecasting, 42 (2), 347-368.
Karlsson, S. , Mazur, S. & Nguyen, H. (2023). Vector autoregression models with skewness and heavy tails. Journal of Economic Dynamics and Control, 146.
Alfelt, G. & Mazur, S. (2022). On the mean and variance of the estimated tangency portfolio weights for small samples. Modern Stochastics: Theory and Applications, 9 (4), 453-482.
Kiss, T. , Mazur, S. & Nguyen, H. (2022). Predicting returns and dividend growth - The role of non-Gaussian innovations. Finance Research Letters, 46 (Part A).
Javed, F. , Loperfido, N. & Mazur, S. (2021). Edgeworth Expansions for Multivariate Random Sums. Econometrics and Statistics.
Javed, F. , Mazur, S. & Ngailo, E. (2021). Higher order moments of the estimated tangency portfolio weights. Journal of Applied Statistics, 48 (3), 517-535.
Karlsson, S. , Mazur, S. & Muhinyuza, S. (2021). Statistical inference for the tangency portfolio in high dimension. Statistics, 55 (3), 532-560.
Gulliksson, M. & Mazur, S. (2020). An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. Computational Economics, 56, 773-794.
Bodnar, T. , Mazur, S. , Ngailo, E. & Parolya, N. (2020). Discriminant analysis in small and large dimensions. Theory of Probability and Mathematical Statistics, 100, 21-41.
Mazur, S. , Otryakhin, D. & Podolskij, M. (2020). Estimation of the linear fractional stable motion. Bernoulli, 26 (1), 226-252.
Mazur, S. & Otryakhin, D. (2020). Linear Fractional Stable Motion with the rlfsm R Package. The R Journal, 12 (1), 386-405.
Bodnar, T. , Mazur, S. & Parolya, N. (2019). Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions. Scandinavian Journal of Statistics, 46 (2), 636-660.
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, 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

Kozubowski, T. J. , Mazur, S. & Podgorski, K. (2022). Matrix Variate Generalized Laplace Distributions. In: Daniel Klein; Francisco Carvalho, International Conference on Trends and Perspectives in Linear Statistical Inference Book of Abstracts. Paper presented at The International Conference on Trends and Perspectives in Linear Statistical Inference (LinStat’2022), Tomar, Portugal, July 4-8, 2022. (pp. 54-54).
Karlsson, S. , Mazur, S. & Nguyen, H. (2022). Vector autoregression models with skewness and heavy tails. Paper presented at Workshop on Random Matrices and Multivariate Analysis, Bedlewo, Poland, September 25 - October 1, 2022.
Karlsson, S. & Mazur, S. (2021). Flexible Fat-tailed Vector Autoregression. Paper presented at The 28th Nordic Conference in Mathematical Statistics (NORDSTAT 2021), Tromsø, Norway, June 21-24, 2021.
Kiss, T. , Mazur, S. , Nguyen, H. & Österholm, P. (2021). Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances. Paper presented at 11th European Seminar on Bayesian Econometrics, Madrid, Spain, September 2-3, 2021.
Javed, F. , Mazur, S. & Thorsén, E. (2021). Tangency portfolio weights under a skew-normal model in small and large dimensions. Paper presented at International Conference "Modern Stochastics: Theory and Applications V", Kyiv, Ukraine, June 1-4, 2021.
Karlsson, S. & Mazur, S. (2020). Flexible, Fat-tailed Vector Autoregression. Paper presented at 12th World Congress of the Econometric Society (ESWC 2020), Bocconi University, Milano, Italy (Virtual Congress), August 17-21, 2020.
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.
Javed, F. , Mazur, S. & Loperfido, N. (2018). Fourth cumulant for multivariate aggregate claim models. Paper presented at 12th International Vilnius Conference on Probability Theory and Mathematical Statistics and 2018 IMS Annual Meeting on Probability and Statistics, Vilnius, Lithuania, July 2-6, 2018.
Javed, F. , Mazur, S. & Ngailo, E. (2017). Higher moments of the estimated tangency portfolio weights. Paper presented at European Meeting of Statisticians (EMS), Helsinki, Finland, July 24-28, 2017.

Reports

Taras, B. , Mazur, S. & Nguyen, H. (2022). Estimation of optimal portfolio compositions for small sample and singular covariance matrix. Örebro: Örebro University, School of Business (Working Papers, School of Business 15/2022).
Kozubowski, T. J. , Mazur, S. & Podgorski, K. (2022). Matrix Gamma Distributions and Related Stochastic Processes. Örebro: Örebro University School of Business (Working Papers, School of Business 12).
Kozubowski, T. J. , Mazur, S. & Podgorski, K. (2022). Matrix Variate Generalized Laplace Distributions. Örebro: Örebro University School of Business (Working Papers, School of Business 7/2022).
Kiss, T. , Mazur, S. , Nguyen, H. & Österholm, P. (2021). Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances. Örebro: Örebro University, School of Business (Working Papers, School of Business 9/2021).
Gulliksson, M. , Oleynik, A. & Mazur, S. (2021). Portfolio Selection with a Rank-deficient Covariance Matrix. Örebro: Örebro University, School of Business (Working Papers, School of Business 12).
Javed, F. , Mazur, S. & Thorsén, E. (2021). Tangency portfolio weights under a skew-normal model in small and large dimensions. Örebro: Örebro University, School of Business (Working Papers, School of Business 13).
Karlsson, S. , Mazur, S. & Nguyen, H. (2021). Vector autoregression models with skewness and heavy tails. Örebro: Örebro University, School of Business (Working Papers, School of Business 8).
Karlsson, S. & Mazur, S. (2020). Flexible Fat-tailed Vector Autoregression.. Örebro University, School of Business (Working Papers, School of Business 5).