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Taras Bodnar · SciRah

Researcher profile · Semantic Scholar

Taras Bodnar

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Taras Bodnar — researcher profile on SciRah

h-index: 23
Works: 129
Citations: 1,963

Most-cited papers

Elliptically Contoured Models in Statistics and Portfolio Theory
Arjun K. Gupta, T. Varga, Taras Bodnar
2013164 citations
Semantic Scholar
Estimation of the global minimum variance portfolio in high dimensions
Taras Bodnar, Nestor Parolya, W. Schmid
2014European Journal of Operational Research102 citations Open access
Semantic Scholar
Bayesian estimation of the global minimum variance portfolio
Taras Bodnar, S. Mazur, Yarema Okhrin
2017European Journal of Operational Research101 citations Open access
Semantic Scholar
Optimal Shrinkage-Based Portfolio Selection in High Dimensions
Taras Bodnar, Yarema Okhrin, Nestor Parolya
2016Journal of business & economic statistics67 citations Open access
Semantic Scholar
Direct shrinkage estimation of large dimensional precision matrix
Taras Bodnar, Arjun K. Gupta, Nestor Parolya
2013Journal of Multivariate Analysis60 citations Open access
Semantic Scholar
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty
D. Bauder, Taras Bodnar, Nestor Parolya, W. Schmid
2018Quantitative finance (Print)51 citations Open access
Semantic Scholar
Singular inverse Wishart distribution and its application to portfolio theory
Taras Bodnar, S. Mazur, K. Podgórski
2016Journal of Multivariate Analysis49 citations Open access
Semantic Scholar
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
Taras Bodnar, Arjun K. Gupta, Nestor Parolya
2013Journal of Multivariate Analysis48 citations Open access
Semantic Scholar
Testing for independence of large dimensional vectors
Taras Bodnar, H. Dette, Nestor Parolya
2017Annals of Statistics46 citations Open access
Semantic Scholar
Recent advances in shrinkage-based high-dimensional inference
O. Bodnar, Taras Bodnar, Nestor Parolya
2021Journal of Multivariate Analysis34 citations Open access
Semantic Scholar
Bayesian portfolio selection using VaR and CVaR
Taras Bodnar, M. Lindholm, Vilhelm Niklasson, Erik Thorsén
2022Applied Mathematics and Computation33 citations Open access
Semantic Scholar
Optimal shrinkage estimator for high-dimensional mean vector
Taras Bodnar, O. Okhrin, Nestor Parolya
2016Journal of Multivariate Analysis32 citations Open access
Semantic Scholar
Distribution of the product of a singular Wishart matrix and a normal vector
Taras Bodnar, S. Mazur, Yarema Okhrin
201531 citations
Semantic Scholar
Boundaries of the risk aversion coefficient: Should we invest in the global minimum variance portfolio?
Taras Bodnar, Yarema Okhrin
2013Applied Mathematics and Computation30 citations Open access
Semantic Scholar
Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
Taras Bodnar, W. Schmid, T. Zabolotskyy
201229 citations
Semantic Scholar
Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting
Taras Bodnar, Solomiia Dmytriv, Nestor Parolya, W. Schmid
2017IEEE Transactions on Signal Processing27 citations Open access
Semantic Scholar
Tangency portfolio weights for singular covariance matrix in small and large dimensions: Estimation and test theory
Taras Bodnar, S. Mazur, K. Podgórski, J. Tyrcha
2019Journal of Statistical Planning and Inference23 citations Open access
Semantic Scholar
Determination and estimation of risk aversion coefficients
Taras Bodnar, Yarema Okhrin, V. Vitlinskyy, T. Zabolotskyy
2018Computational Management Science22 citations Open access
Semantic Scholar
How risky is the optimal portfolio which maximizes the Sharpe ratio?
Taras Bodnar, T. Zabolotskyy
201722 citations
Semantic Scholar
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO
D. Bauder, Taras Bodnar, S. Mazur, Yarema Okhrin
2018International Journal of Theoretical and Applied Finance20 citations Open access
Semantic Scholar
On the exact and approximate distributions of the product of a Wishart matrix with a normal vector
Taras Bodnar, S. Mazur, Yarema Okhrin
2013Journal of Multivariate Analysis20 citations Open access
Semantic Scholar
Exact and asymptotic tests on a factor model in low and large dimensions with applications
Taras Bodnar, M. Reiß
2014Journal of Multivariate Analysis19 citations Open access
Semantic Scholar
False discovery rate control under Archimedean copula
Taras Bodnar, T. Dickhaus
201319 citations Open access
Semantic Scholar
Statistical Inference for the Expected Utility Portfolio in High Dimensions
Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin, Nestor Parolya +1 more
2020IEEE Transactions on Signal Processing18 citations Open access
Semantic Scholar
A test for the global minimum variance portfolio for small sample and singular covariance
Taras Bodnar, S. Mazur, K. Podgórski
201718 citations
Semantic Scholar
Uncertainty quantification for the family-wise error rate in multivariate copula models
Jens Stange, Taras Bodnar, T. Dickhaus
201518 citations
Semantic Scholar
Bayesian estimation of the efficient frontier
D. Bauder, R. Bodnar, Taras Bodnar, W. Schmid
2018Scandinavian Journal of Statistics17 citations
Semantic Scholar
Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model†
Taras Bodnar, Arjun K. Gupta
201517 citations
Semantic Scholar
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension
Taras Bodnar, S. Mazur, Stanislas Muhinyuza, Nestor Parolya
2016Theory of Probability and Mathematical Statistics16 citations Open access
Semantic Scholar
Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix
Taras Bodnar, H. Dette, Nestor Parolya
2015Journal of Multivariate Analysis16 citations Open access
Semantic Scholar
Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data
Taras Bodnar, W. Schmid, T. Zabolotskyy
201316 citations
Semantic Scholar
Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes
Taras Bodnar, N. Hautsch
201215 citations Open access
Semantic Scholar
Two is Better Than One: Regularized Shrinkage of Large Minimum Variance Portfolios
Taras Bodnar, Nestor Parolya, Erik Thors'en
2022Journal of machine learning research14 citations
Semantic Scholar
Multivariate multiple test procedures based on nonparametric copula estimation
André Neumann, Taras Bodnar, D. Pfeifer, T. Dickhaus
2018Biometrical journal. Biometrische Zeitschrift14 citations Open access
Semantic Scholar
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions
Taras Bodnar, S. Mazur, Nestor Parolya
2016Scandinavian Journal of Statistics14 citations Open access
Semantic Scholar
On the Simes inequality in elliptical models
Taras Bodnar, T. Dickhaus
201414 citations
Semantic Scholar
A test on the location of the tangency portfolio on the set of feasible portfolios
Stanislas Muhinyuza, Taras Bodnar, M. Lindholm
2020Applied Mathematics and Computation13 citations Open access
Semantic Scholar
Dynamic Conditional Correlation Multiplicative Error Processes
Taras Bodnar, N. Hautsch
201612 citations
Semantic Scholar
Estimating the proportion of true null hypotheses under dependency: A marginal bootstrap approach
André Neumann, Taras Bodnar, T. Dickhaus
2020Journal of Statistical Planning and Inference11 citations
Semantic Scholar
Discriminant analysis in small and large dimensions
Taras Bodnar, S. Mazur, E. Ngailo, Nestor Parolya
2017Theory of Probability and Mathematical Statistics11 citations Open access
Semantic Scholar
An exact test about the covariance matrix
Arjun K. Gupta, Taras Bodnar
2014Journal of Multivariate Analysis11 citations Open access
Semantic Scholar
Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
Gustav Alfelt, Taras Bodnar, F. Javed, J. Tyrcha
2022Journal of Business & Economic Statistics10 citations Open access
Semantic Scholar
Quantile-based optimal portfolio selection
Taras Bodnar, M. Lindholm, Erik Thorsén, J. Tyrcha
2021Computational Management Science10 citations Open access
Semantic Scholar
Mean-variance efficiency of optimal power and logarithmic utility portfolios
Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya, W. Schmid
2018Mathematics and Financial Economics10 citations Open access
Semantic Scholar
Objective Bayesian Meta-Analysis Based on Generalized Marginal Multivariate Random Effects Model
O. Bodnar, Taras Bodnar
2023Bayesian Analysis9 citations Open access
Semantic Scholar
Bayesian inference of the multi-period optimal portfolio for an exponential utility
D. Bauder, Taras Bodnar, Nestor Parolya, W. Schmid
2017Journal of Multivariate Analysis9 citations Open access
Semantic Scholar
Sequential monitoring of high‐dimensional time series
R. Bodnar, Taras Bodnar, W. Schmid
2022Scandinavian Journal of Statistics8 citations Open access
Semantic Scholar
Statistical Inference for the Beta Coefficient
Taras Bodnar, Arjun K. Gupta, Valdemar Vitlinskyi, T. Zabolotskyy
2019Risks8 citations Open access
Semantic Scholar
Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions
Taras Bodnar, H. Dette, Nestor Parolya, Erik Thors'en
20198 citations
Semantic Scholar
Control charts for high-dimensional time series with estimated in-control parameters
R. Bodnar, Taras Bodnar, Wolfgang Schmid
2024Sequential Analysis6 citations Open access
Semantic Scholar

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