Stepan is a Visiting Senior Lecturer of Statistics. 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 the (singular) Wishart random matrix and its applications in statistics and econometrics. The second direction deals with the mathematical and statistical analysis of optimal portfolio weights and their risk measures from the Bayesian perspective as well as from the frequentist point of view. The third direction aims at developing and extending Bayesian VAR models and their applications in macro and financial economics.
Link to the external research page
We are accredited
The School of Business and Economics at Linnaeus University are accredited by The Association to Advance Collegiate Schools of Business; AACSB.
Publications
Article in journal (Refereed)
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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.
Status: Published -
Karlsson, S., Mazur, S., Nguyen, H. (2023). Vector autoregression models with skewness and heavy tails. Journal of Economic Dynamics and Control. 146.
Status: Published -
Kozubowski, T.J., Mazur, S., Podgorski, K. (2023). Matrix variate generalized asymmetric Laplace distributions. Theory of Probability and Mathematical Statistics. 109. 55-80.
Status: Published -
Gulliksson, M., Oleynik, A., Mazur, S. (2023). Portfolio Selection with a Rank-Deficient Covariance Matrix. Computational Economics.
Status: Epub ahead of print -
Javed, F., Mazur, S., Thorsén, E. (2023). Tangency portfolio weights under a skew-normal model in small and large dimensions. Journal of the Operational Research Society.
Status: Epub ahead of print -
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.
Status: Published