Details about Alessio Sancetta
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Shortid: psa66
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Working Papers
2007
 Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
See also Journal Article in Journal of Multivariate Analysis (2009)
 Online Forecast Combination for Dependent Heterogeneous Data
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
 Universality of Bayesian Predictions
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
2006
 Sample Covariance Shrinkage for High Dimensional Dependent Data
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
See also Journal Article in Journal of Multivariate Analysis (2008)
2005
 Copula Based Monte Carlo Integration in Financial Problems
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
Also in Working Papers, Warwick Business School, Finance Group (2004)
 Forecasting Distributions with Experts Advice
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
 Forecasting and Prequential Validation for Time Varying MetaElliptical Distributions with a Study of Commodity Futures Prices
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
2004
 Cost of Capital and Regulator’s Preferences: Investigation into a new method of estimating regulatory bias
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
2003
 Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
 Nonparametric Estimation of Multivariate Distributions with Given Marginals
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
2002
 New Test Statistics for Market Timing with Application to Emerging markets
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
2001
 Bernstein Approximations to the Copula Function and Portfolio Optimization
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
Journal Articles
2013
 Conditional estimation for dependent functional data
Journal of Multivariate Analysis, 2013, 120, (C), 117
 Weak conditions for shrinking multivariate nonparametric density estimators
Journal of Multivariate Analysis, 2013, 115, (C), 285300
2010
 Bootstrap model selection for possibly dependent and heterogeneous data
Annals of the Institute of Statistical Mathematics, 2010, 62, (3), 515546
 RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA
Econometric Theory, 2010, 26, (02), 598631 View citations (7)
2009
 Consistent estimation of a general nonparametric regression function in time series
Journal of Econometrics, 2009, 152, (1), 7078 View citations (9)
 Forecasting and Prequential Validation for Time Varying MetaElliptical Distributions
Journal of Time Series Econometrics, 2009, 1, (2), 141
 Nearest neighbor conditional estimation for Harris recurrent Markov chains
Journal of Multivariate Analysis, 2009, 100, (10), 22242236 View citations (1)
See also Working Paper (2007)
 Strong law of large numbers for pairwise positive quadrant dependent random variables
Statistical Inference for Stochastic Processes, 2009, 12, (1), 5564
2008
 Sample covariance shrinkage for high dimensional dependent data
Journal of Multivariate Analysis, 2008, 99, (5), 949967 View citations (4)
See also Working Paper (2006)
2007
 Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*
Applied Mathematical Finance, 2007, 14, (3), 227242 View citations (2)
 Nonparametric estimation of distributions with given marginals via BernsteinKantorovich polynomials: L1 and pointwise convergence theory
Journal of Multivariate Analysis, 2007, 98, (7), 13761390 View citations (1)
 Online forecast combinations of distributions: Worst case bounds
Journal of Econometrics, 2007, 141, (2), 621651 View citations (4)
2005
 Distance between nonidentically weakly dependent random vectors and Gaussian random vectors under the bounded Lipschitz metric
Statistics & Probability Letters, 2005, 75, (3), 158168
 New test statistics for market timing with applications to emerging markets hedge funds
The European Journal of Finance, 2005, 11, (5), 419443 View citations (2)
2004
 Calculating hedge fund risk: the draw down and the maximum draw down
Applied Mathematical Finance, 2004, 11, (3), 259282 View citations (3)
 THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
Econometric Theory, 2004, 20, (03), 535562 View citations (54)
2002
 Molten lava meets market languor
Quantitative Finance, 2002, 2, (6), 405405
Editor
 Econometrics Journal
Royal Economic Society

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