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Details about Alessio Sancetta

Homepage:http://www.sancetta.googlepages.com/

Access statistics for papers by Alessio Sancetta.

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

Short-id: psa66


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Working Papers

2007

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

2006

  1. Sample Covariance Shrinkage for High Dimensional Dependent Data
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    See also Journal Article in Journal of Multivariate Analysis (2008)

2005

  1. Copula Based Monte Carlo Integration in Financial Problems
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in Working Papers, Warwick Business School, Finance Group (2004) Downloads
  2. Forecasting Distributions with Experts Advice
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
  3. 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 Downloads

2004

  1. 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 Downloads

2003

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

2002

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

2001

  1. Bernstein Approximations to the Copula Function and Portfolio Optimization
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (4)

Journal Articles

2013

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

2010

  1. Bootstrap model selection for possibly dependent and heterogeneous data
    Annals of the Institute of Statistical Mathematics, 2010, 62, (3), 515-546 Downloads
  2. RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA
    Econometric Theory, 2010, 26, (02), 598-631 Downloads View citations (7)

2009

  1. Consistent estimation of a general nonparametric regression function in time series
    Journal of Econometrics, 2009, 152, (1), 70-78 Downloads View citations (9)
  2. Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions
    Journal of Time Series Econometrics, 2009, 1, (2), 1-41 Downloads
  3. Nearest neighbor conditional estimation for Harris recurrent Markov chains
    Journal of Multivariate Analysis, 2009, 100, (10), 2224-2236 Downloads View citations (1)
    See also Working Paper (2007)
  4. Strong law of large numbers for pairwise positive quadrant dependent random variables
    Statistical Inference for Stochastic Processes, 2009, 12, (1), 55-64 Downloads

2008

  1. Sample covariance shrinkage for high dimensional dependent data
    Journal of Multivariate Analysis, 2008, 99, (5), 949-967 Downloads View citations (4)
    See also Working Paper (2006)

2007

  1. Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*
    Applied Mathematical Finance, 2007, 14, (3), 227-242 Downloads View citations (3)
  2. 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 Downloads View citations (1)
  3. Online forecast combinations of distributions: Worst case bounds
    Journal of Econometrics, 2007, 141, (2), 621-651 Downloads View citations (4)

2005

  1. Distance between nonidentically weakly dependent random vectors and Gaussian random vectors under the bounded Lipschitz metric
    Statistics & Probability Letters, 2005, 75, (3), 158-168 Downloads
  2. New test statistics for market timing with applications to emerging markets hedge funds
    The European Journal of Finance, 2005, 11, (5), 419-443 Downloads View citations (2)

2004

  1. Calculating hedge fund risk: the draw down and the maximum draw down
    Applied Mathematical Finance, 2004, 11, (3), 259-282 Downloads View citations (3)
  2. THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
    Econometric Theory, 2004, 20, (03), 535-562 Downloads View citations (54)

2002

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

Editor

  1. Econometrics Journal
    Royal Economic Society
 
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