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 3 32 51 3,288
Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses 0 0 0 328 0 3 11 1,269
Copula Based Monte Carlo Integration in Financial Problems 1 1 3 715 8 12 46 1,798
Cost of Capital and Regulator’s Preferences: Investigation into a new method of estimating regulatory bias 0 0 0 107 1 5 12 384
Forecasting Distributions with Experts Advice 0 0 0 56 4 7 9 277
Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices 0 0 0 159 2 6 17 512
Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains 0 0 0 77 1 4 6 194
New Test Statistics for Market Timing with Application to Emerging markets 0 0 0 236 1 7 11 749
Nonparametric Estimation of Multivariate Distributions with Given Marginals 0 0 1 478 0 6 16 1,112
Online Forecast Combination for Dependent Heterogeneous Data 0 0 1 83 2 5 19 232
Sample Covariance Shrinkage for High Dimensional Dependent Data 0 0 0 249 4 7 13 823
Universality of Bayesian Predictions 0 0 0 113 2 4 7 221
Total Working Papers 1 1 5 4,032 28 98 218 10,859

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 4 6 11 49
Calculating hedge fund risk: the draw down and the maximum draw down 0 0 0 360 1 2 3 1,553
Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines* 0 0 1 61 2 2 14 247
Conditional estimation for dependent functional data 0 0 0 16 2 3 6 53
Consistent estimation of a general nonparametric regression function in time series 0 0 0 39 2 7 16 106
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 1 1 7 77
Molten lava meets market languor 0 0 0 15 1 2 8 113
Nearest neighbor conditional estimation for Harris recurrent Markov chains 0 0 0 6 1 2 12 49
New test statistics for market timing with applications to emerging markets hedge funds 0 0 0 77 1 4 11 304
Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: L1 and pointwise convergence theory 0 0 0 17 3 5 11 75
Online forecast combinations of distributions: Worst case bounds 0 0 0 18 3 3 14 106
RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA 0 0 2 28 2 5 9 73
Sample covariance shrinkage for high dimensional dependent data 0 0 0 21 0 0 3 78
Strong law of large numbers for pairwise positive quadrant dependent random variables 0 0 0 30 2 4 7 124
THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS 1 4 5 187 4 10 20 450
Weak conditions for shrinking multivariate nonparametric density estimators 0 0 0 3 1 2 5 27
Total Journal Articles 1 4 8 924 30 58 158 3,536

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Statistics updated 2026-05-06