Access Statistics for Alessio Sancetta

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Bernstein Approximations to the Copula Function and Portfolio Optimization 0 0 0 1,431 13 38 48 3,285
Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses 0 0 0 328 0 7 11 1,269
Copula Based Monte Carlo Integration in Financial Problems 0 1 2 714 3 12 39 1,790
Cost of Capital and Regulator’s Preferences: Investigation into a new method of estimating regulatory bias 0 0 0 107 1 8 11 383
Forecasting Distributions with Experts Advice 0 0 0 56 0 4 5 273
Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices 0 0 0 159 4 8 15 510
Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains 0 0 0 77 2 5 5 193
New Test Statistics for Market Timing with Application to Emerging markets 0 0 0 236 1 9 10 748
Nonparametric Estimation of Multivariate Distributions with Given Marginals 0 0 1 478 2 13 17 1,112
Online Forecast Combination for Dependent Heterogeneous Data 0 0 1 83 1 12 17 230
Sample Covariance Shrinkage for High Dimensional Dependent Data 0 0 0 249 1 8 9 819
Universality of Bayesian Predictions 0 0 0 113 1 4 5 219
Total Working Papers 0 1 4 4,031 29 128 192 10,831

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Bootstrap model selection for possibly dependent and heterogeneous data 0 0 0 11 1 5 7 45
Calculating hedge fund risk: the draw down and the maximum draw down 0 0 0 360 1 1 2 1,552
Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines* 0 0 1 61 0 4 12 245
Conditional estimation for dependent functional data 0 0 0 16 1 1 4 51
Consistent estimation of a general nonparametric regression function in time series 0 0 0 39 1 10 14 104
Distance between nonidentically weakly dependent random vectors and Gaussian random vectors under the bounded Lipschitz metric 0 0 0 13 0 0 1 52
Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions 0 0 0 22 0 4 6 76
Molten lava meets market languor 0 0 0 15 1 7 7 112
Nearest neighbor conditional estimation for Harris recurrent Markov chains 0 0 0 6 1 7 11 48
New test statistics for market timing with applications to emerging markets hedge funds 0 0 0 77 0 5 10 303
Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: L1 and pointwise convergence theory 0 0 0 17 1 7 8 72
Online forecast combinations of distributions: Worst case bounds 0 0 0 18 0 9 11 103
RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA 0 0 2 28 3 5 7 71
Sample covariance shrinkage for high dimensional dependent data 0 0 0 21 0 1 3 78
Strong law of large numbers for pairwise positive quadrant dependent random variables 0 0 0 30 1 5 5 122
THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS 3 3 4 186 4 9 17 446
Weak conditions for shrinking multivariate nonparametric density estimators 0 0 0 3 0 1 4 26
Total Journal Articles 3 3 7 923 15 81 129 3,506

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Statistics updated 2026-04-09