Details about Alessio Sancetta

Access statistics for papers by Alessio Sancetta.

Last updated 2013-08-10. Update your information in the RePEc Author Service.

Short-id: psa66

Working Papers

2007

1. Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
   See also Journal Article Nearest neighbor conditional estimation for Harris recurrent Markov chains, Journal of Multivariate Analysis, Elsevier (2009) View citations (1) (2009)
2. Online Forecast Combination for Dependent Heterogeneous Data
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
3. Universality of Bayesian Predictions
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

2006

4. Sample Covariance Shrinkage for High Dimensional Dependent Data
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   See also Journal Article Sample covariance shrinkage for high dimensional dependent data, Journal of Multivariate Analysis, Elsevier (2008) View citations (13) (2008)

2005

5. Copula Based Monte Carlo Integration in Financial Problems
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
6. Forecasting Distributions with Experts Advice
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
7. Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

2004

8. 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 View citations (1)

2003

9. Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
10. Nonparametric Estimation of Multivariate Distributions with Given Marginals
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)

2002

11. New Test Statistics for Market Timing with Application to Emerging markets
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

2001

12. Bernstein Approximations to the Copula Function and Portfolio Optimization
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)

Journal Articles

2013

1. Conditional estimation for dependent functional data
   Journal of Multivariate Analysis, 2013, 120, (C), 1-17
2. Weak conditions for shrinking multivariate nonparametric density estimators
   Journal of Multivariate Analysis, 2013, 115, (C), 285-300

2010

3. Bootstrap model selection for possibly dependent and heterogeneous data
   Annals of the Institute of Statistical Mathematics, 2010, 62, (3), 515-546
4. RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA
   Econometric Theory, 2010, 26, (2), 598-631 View citations (9)

2009

5. Consistent estimation of a general nonparametric regression function in time series
   Journal of Econometrics, 2009, 152, (1), 70-78 View citations (12)
6. Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions
   Journal of Time Series Econometrics, 2009, 1, (2), 41 View citations (1)
7. Nearest neighbor conditional estimation for Harris recurrent Markov chains
   Journal of Multivariate Analysis, 2009, 100, (10), 2224-2236 View citations (1)
   See also Working Paper Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains, Cambridge Working Papers in Economics (2007) View citations (2) (2007)
8. Strong law of large numbers for pairwise positive quadrant dependent random variables
   Statistical Inference for Stochastic Processes, 2009, 12, (1), 55-64

2008

9. Sample covariance shrinkage for high dimensional dependent data
   Journal of Multivariate Analysis, 2008, 99, (5), 949-967 View citations (13)
   See also Working Paper Sample Covariance Shrinkage for High Dimensional Dependent Data, Cambridge Working Papers in Economics (2006) (2006)

2007

10. Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*
    Applied Mathematical Finance, 2007, 14, (3), 227-242 View citations (5)
11. Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: L1 and pointwise convergence theory
    Journal of Multivariate Analysis, 2007, 98, (7), 1376-1390 View citations (3)
12. Online forecast combinations of distributions: Worst case bounds
    Journal of Econometrics, 2007, 141, (2), 621-651 View citations (6)

2005

13. Distance between nonidentically weakly dependent random vectors and Gaussian random vectors under the bounded Lipschitz metric
    Statistics & Probability Letters, 2005, 75, (3), 158-168
14. New test statistics for market timing with applications to emerging markets hedge funds
    The European Journal of Finance, 2005, 11, (5), 419-443 View citations (3)

2004

15. Calculating hedge fund risk: the draw down and the maximum draw down
    Applied Mathematical Finance, 2004, 11, (3), 259-282 View citations (3)
16. THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
    Econometric Theory, 2004, 20, (3), 535-562 View citations (111)

2002

17. Molten lava meets market languor
    Quantitative Finance, 2002, 2, (6), 405-405

Editor

1. Econometrics Journal
   Royal Economic Society