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 9 13 21 3,256
Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses 0 0 0 328 4 8 8 1,266
Copula Based Monte Carlo Integration in Financial Problems 1 1 2 714 8 10 37 1,786
Cost of Capital and Regulator’s Preferences: Investigation into a new method of estimating regulatory bias 0 0 0 107 4 6 7 379
Forecasting Distributions with Experts Advice 0 0 0 56 1 2 3 270
Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices 0 0 0 159 4 10 11 506
Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains 0 0 0 77 2 2 4 190
New Test Statistics for Market Timing with Application to Emerging markets 0 0 0 236 3 3 4 742
Nonparametric Estimation of Multivariate Distributions with Given Marginals 0 0 1 478 7 9 11 1,106
Online Forecast Combination for Dependent Heterogeneous Data 0 0 1 83 9 12 14 227
Sample Covariance Shrinkage for High Dimensional Dependent Data 0 0 0 249 5 5 6 816
Universality of Bayesian Predictions 0 0 0 113 2 3 3 217
Total Working Papers 1 1 4 4,031 58 83 129 10,761

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 3 3 5 43
Calculating hedge fund risk: the draw down and the maximum draw down 0 0 0 360 0 1 1 1,551
Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines* 0 0 1 61 4 6 12 245
Conditional estimation for dependent functional data 0 0 0 16 0 2 3 50
Consistent estimation of a general nonparametric regression function in time series 0 0 0 39 5 5 9 99
Distance between nonidentically weakly dependent random vectors and Gaussian random vectors under the bounded Lipschitz metric 0 0 0 13 0 1 2 52
Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions 0 0 0 22 4 5 6 76
Molten lava meets market languor 0 0 0 15 6 6 6 111
Nearest neighbor conditional estimation for Harris recurrent Markov chains 0 0 0 6 6 8 10 47
New test statistics for market timing with applications to emerging markets hedge funds 0 0 0 77 2 7 7 300
Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: L1 and pointwise convergence theory 0 0 0 17 5 6 7 70
Online forecast combinations of distributions: Worst case bounds 0 0 0 18 9 11 11 103
RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA 0 0 2 28 2 2 4 68
Sample covariance shrinkage for high dimensional dependent data 0 0 0 21 1 2 3 78
Strong law of large numbers for pairwise positive quadrant dependent random variables 0 0 0 30 3 3 3 120
THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS 0 0 2 183 3 6 13 440
Weak conditions for shrinking multivariate nonparametric density estimators 0 0 0 3 0 2 3 25
Total Journal Articles 0 0 5 920 53 76 105 3,478

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Statistics updated 2026-02-12