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 4 1,427 1 2 17 3,209
Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses 0 0 0 328 0 0 1 1,254
Copula Based Monte Carlo Integration in Financial Problems 0 0 2 698 2 4 12 1,692
Cost of Capital and Regulator’s Preferences: Investigation into a new method of estimating regulatory bias 0 0 0 106 0 0 3 362
Forecasting Distributions with Experts Advice 0 0 0 56 0 3 8 259
Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices 0 0 0 159 0 0 6 492
Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains 0 0 0 76 0 0 5 181
New Test Statistics for Market Timing with Application to Emerging markets 0 0 0 235 0 3 9 728
Nonparametric Estimation of Multivariate Distributions with Given Marginals 0 1 2 475 0 1 5 1,090
Online Forecast Combination for Dependent Heterogeneous Data 0 0 0 82 1 1 2 209
Sample Covariance Shrinkage for High Dimensional Dependent Data 0 0 0 246 1 1 7 793
Universality of Bayesian Predictions 0 0 0 113 0 0 4 208
Total Working Papers 0 1 8 4,001 5 15 79 10,477


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 10 0 0 1 37
Calculating hedge fund risk: the draw down and the maximum draw down 0 1 1 359 0 1 2 1,546
Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines* 0 0 1 60 0 0 3 230
Conditional estimation for dependent functional data 0 0 0 16 0 0 1 46
Consistent estimation of a general nonparametric regression function in time series 0 0 0 39 1 1 1 86
Distance between nonidentically weakly dependent random vectors and Gaussian random vectors under the bounded Lipschitz metric 0 0 0 13 0 0 1 49
Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions 0 0 1 22 1 1 4 63
Molten lava meets market languor 0 0 0 15 0 0 0 105
Nearest neighbor conditional estimation for Harris recurrent Markov chains 0 0 0 6 0 1 4 34
New test statistics for market timing with applications to emerging markets hedge funds 0 0 0 77 1 1 5 290
Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: L1 and pointwise convergence theory 0 0 0 14 0 0 2 56
Online forecast combinations of distributions: Worst case bounds 0 0 0 17 0 0 0 83
RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA 0 0 1 26 0 1 2 62
Sample covariance shrinkage for high dimensional dependent data 0 0 1 21 0 0 3 72
Strong law of large numbers for pairwise positive quadrant dependent random variables 0 0 0 29 0 0 1 116
THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS 0 0 5 155 1 4 16 372
Weak conditions for shrinking multivariate nonparametric density estimators 0 0 0 3 0 0 0 20
Total Journal Articles 0 1 10 882 4 10 46 3,267


Statistics updated 2021-01-03