| Bayesian Estimation of the Global Minimum Variance Portfolio T Bodnar, S Mazur, Y Okhrin European Journal of Operational Research 256 (1), 292–307, 2017 | 108 | 2017 |
| Singular inverse Wishart distribution and its application to portfolio theory T Bodnar, S Mazur, K Podgķrski Journal of Multivariate Analysis 143, 314-326, 2016 | 57 | 2016 |
| Vector autoregression models with skewness and heavy tails S Karlsson, S Mazur, H Nguyen Journal of Economic Dynamics and Control 146, 104580, 2023 | 30 | 2023 |
| Distribution of the product of a singular Wishart matrix and a normal vector T Bodnar, S Mazur, Y Okhrin Theory of Probability and Mathematical Statistics 91, 1-15, 2015 | 29 | 2015 |
| An iterative approach to ill-conditioned optimal portfolio selection M Gulliksson, S Mazur Computational Economics 56 (4), 773-794, 2020 | 24 | 2020 |
| Tangency portfolio weights for singular covariance matrix in small and large dimensions: Estimation and test theory T Bodnar, S Mazur, K Podgķrski, J Tyrcha Journal of Statistical Planning and Inference 201, 40-57, 2019 | 24 | 2019 |
| Bayesian inference for the tangent portfolio D Bauder, T Bodnar, S Mazur, Y Okhrin International Journal of Theoretical and Applied Finance 21 (08), 1850054, 2018 | 24 | 2018 |
| A test for the global minimum variance portfolio for small sample and singular covariance T Bodnar, S Mazur, K Podgķrski AStA Advances in Statistical Analysis 101, 253-265, 2017 | 22 | 2017 |
| On the exact and approximate distributions of the product of a Wishart matrix with a normal vector T Bodnar, S Mazur, Y Okhrin Journal of Multivariate Analysis 122, 70-81, 2013 | 21 | 2013 |
| Estimation of the linear fractional stable motion S Mazur, D Otryakhin, M Podolskij | 20 | 2020 |
| Higher order moments of the estimated tangency portfolio weights F Javed, S Mazur, E Ngailo Journal of Applied Statistics 48 (3), 517-535, 2021 | 19 | 2021 |
| On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension T Bodnar, S Mazur, S Muhinyuza, N Parolya arXiv preprint arXiv:1611.03042, 2016 | 19 | 2016 |
| Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions T Bodnar, S Mazur, N Parolya Scandinavian Journal of Statistics 46 (2), 636-660, 2019 | 17 | 2019 |
| On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector I Kotsiuba, S Mazur Theory of Probability and Mathematical Statistics 93, 103-112, 2016 | 17 | 2016 |
| Third cumulant for multivariate aggregate claim models N Loperfido, S Mazur, K Podgķrski Scandinavian Actuarial Journal 2018 (2), 109-128, 2018 | 11 | 2018 |
| On the mean and variance of the estimated tangency portfolio weights for small samples G Alfelt, S Mazur Modern Stochastics: Theory and Applications 9 (4), 453-482, 2022 | 10 | 2022 |
| Portfolio selection with a rank-deficient covariance matrix M Gulliksson, A Oleynik, S Mazur Computational Economics 63 (6), 2247-2269, 2024 | 9 | 2024 |
| Statistical inference for the tangency portfolio in high dimension S Karlsson, S Mazur, S Muhinyuza Statistics 55 (3), 532-560, 2021 | 8 | 2021 |
| Discriminant analysis in small and large dimensions T Bodnar, S Mazur, E Ngailo, N Parolya Theory of Probability and Mathematical Statistics 100, 21-41, 2020 | 8 | 2020 |
| Flexible fat-tailed vector autoregression S Karlsson, S Mazur Working Paper, 2020 | 8 | 2020 |
Taras BodnarProfessor, Linköping UniversityVerified email at liu.se
