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Stepan Mazur

Tjänstetitel: Universitetslektor Organisation: Handelshögskolan vid Örebro universitet

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Telefon: 019 303117

Rum: N4031

Stepan Mazur

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Om 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)

Forskargrupper

Publikationer

Artiklar i tidskrifter |  Konferensbidrag |  Rapporter | 

Artiklar i tidskrifter

Mazur, S. , Otryakhin, D. & Podolskij, M. (2020). Estimation of the linear fractional stable motion. Bernoulli, 26 (1), 226-252.

Information via DOI

Javed, F. , Mazur, S. & Ngailo, E. (2020). Higher order moments of the estimated tangency portfolio weights. Journal of Applied Statistics.

Information via DOIFulltext i DiVA

Mazur, S. & Otryakhin, D. (2020). Linear Fractional Stable Motion with the rlfsm R Package. The R Journal, 12 (1), 386-405.

Mer information på annan webbplats

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.

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.

Information via DOI

Bauder, D. , Bodnar, T. , Mazur, S. & Okhrin, Y. (2018). Bayesian inference for the tangent portfolio. International Journal of Theoretical and Applied Finance, 21 (8).

Information via DOI

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.

Information via DOI

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.

Information via DOI

Bodnar, T. , Mazur, S. & Okhrin, Y. (2017). Bayesian estimation of the global minimum variance portfolio. European Journal of Operational Research, 256 (1), 292-307.

Information via DOI

Bodnar, T. , Mazur, S. & Podgórski, K. (2016). Singular inverse Wishart distribution and its application to portfolio theory. Journal of Multivariate Analysis, 143, 314-326.

Information via DOI

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.

Information via DOI

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.

Information via DOI

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.

Information via DOI

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.

Konferensbidrag

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

Rapporter

Javed, F. , Loperfido, N. & Mazur, S. (2020). Edgeworth Expansions for Multivariate Random Sums. Örebro: Örebro University, School of Business (Working Papers, School of Business 2020:9).

Karlsson, S. & Mazur, S. (2020). Flexible Fat-tailed Vector Autoregression. Örebro University, School of Business (Working Papers, School of Business 5).

Alfelt, G. & Mazur, S. (2020). On the mean and variance of the estimated tangency portfolio weights for small samples. Örebro: Örebro University, School of Business (Working Papers, School of Business 8).