Dr. N. (Nestor) Parolya
Dr. N. (Nestor) Parolya
Profile
Short Curriculum
 2023  now Assistant Professor in Statistics (UD1), TU Delft
 2019  2022 Assistant Professor in Statistics (UD2), TU Delft
 2017  2018 Visiting Professor of Statistics, Heidelberg and Mannheim
 2014  2019 Assistant Professor of Financial Econometrics, LU Hannover
 2013  2014 PostDoc (Statistics), Ruhr University Bochum
 2010  2013 PhD in Economics, Viadrina University, Germany
 2005  2010 BSc. in Mathematics and MSc. in Statistics, University of Lviv, Ukraine
Research interests
Full publication list and CV are here (homepage) highdimensional statistics and random matrix theory
 mathematical and statistical finance
 financial engineering and operations research
 statistical machine learning
Selected publications
 Parolya N., Heiny J., Kurowicka D. (2024), Logarithmic law of large random correlation matrices, Bernoulli (link)
 Bodnar, T., Parolya, N., Thorsen, E., (2023), Dynamic Shrinkage Estimation of the HighDimensional MinimumVariance Portfolio, IEEE  Transactions of Signal Processing (link)
 Bodnar, T., Okhrin, Y., Parolya, N. (2023) Optimal shrinkagebased portfolio selection in high dimensions, Journal of Business & Economic Statistics (link)
 Bodnar, T., Dette, H., Parolya, N. (2019), Testing for Independence of large dimensional vectors, Annals of Statistics (link)
 Bodnar, T., Mazur, S., Parolya, N. (2019), CLTs for functionals of large covariance matrix and mean vector in matrixvariate location mixture of normals, Scandinavian Journal of Statistics, 46, 636660 (link)
 Bodnar, T., Gupta, A. K., Parolya, N. (2016), Direct Shrinkage Estimation of Large Dimensional Precision Matrix, Journal of Multivariate Analysis, 146, 223236 (link)
 Bodnar, T., Parolya, N., Schmid, W. (2018), Estimation of the global minimum variance portfolio in high dimensions, European Journal of Operational Research, 266, 371390 (link)
 Bodnar, T., Parolya, N., Schmid, W. (2015), A ClosedForm Solution of the MultiPeriod Portfolio Choice Problem for a Quadratic Utility Function, Annals of Operations Research, 229, 121158 (link)
Research interests
Large random matrices and highdimensional statistics
Mathematical and statistical finance
Financial engineering and operations research
Statistical machine learning
Expertise
Publications

20242
Logarithmic law of large random correlation matrices
Nestor Parolya / Johannes Heiny / Dorota Kurowicka

2023
Dynamic Shrinkage Estimation of the HighDimensional MinimumVariance Portfolio
Taras Bodnar / N. Parolya / Erik Thorsén

2023
Is the empirical outofsample variance an informative risk measure for the highdimensional portfolios?
Taras Bodnar / Nestor Parolya / Erik Thorsén

2023
Log determinant of large correlation matrices under infinite fourth moment
Johannes Heiny / N. Parolya

2023
Multiperiod power utility optimization under stock return predictability
Taras Bodnar / Dmytro Ivasiuk / Nestor Parolya / Wolfgang Schmid

Prizes

2019910
WolfgangWetzelPreis
To promote outstanding young scientists and young scientists of the board of the German Statistical Society writes the Wolfgang Wetzel Award from the DStatG for the year 2019. The award is named after the former chairman of DStatG, which began during his tenure, especially for strengthening the mathematical and statistical methods in society.
The prize is awarded to young scientists and young researchers up to five years after graduation for an outstanding contribution to the statistical methodology and its application. The Laureate contribution is usually from an already published or at least accepted for publication.
Statistical Week 2019
Ancillary activities

20230412  20250412