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 16 29 35 3,272
Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses 0 0 0 328 3 10 11 1,269
Copula Based Monte Carlo Integration in Financial Problems 0 1 2 714 1 11 37 1,787
Cost of Capital and Regulator’s Preferences: Investigation into a new method of estimating regulatory bias 0 0 0 107 3 7 10 382
Forecasting Distributions with Experts Advice 0 0 0 56 3 5 5 273
Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices 0 0 0 159 0 9 11 506
Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains 0 0 0 77 1 3 4 191
New Test Statistics for Market Timing with Application to Emerging markets 0 0 0 236 5 8 9 747
Nonparametric Estimation of Multivariate Distributions with Given Marginals 0 0 1 478 4 13 15 1,110
Online Forecast Combination for Dependent Heterogeneous Data 0 0 1 83 2 13 16 229
Sample Covariance Shrinkage for High Dimensional Dependent Data 0 0 0 249 2 7 8 818
Universality of Bayesian Predictions 0 0 0 113 1 4 4 218
Total Working Papers 0 1 4 4,031 41 119 165 10,802

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 4 6 44
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 0 6 12 245
Conditional estimation for dependent functional data 0 0 0 16 0 0 3 50
Consistent estimation of a general nonparametric regression function in time series 0 0 0 39 4 9 13 103
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 0 6 6 111
Nearest neighbor conditional estimation for Harris recurrent Markov chains 0 0 0 6 0 8 10 47
New test statistics for market timing with applications to emerging markets hedge funds 0 0 0 77 3 9 10 303
Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: L1 and pointwise convergence theory 0 0 0 17 1 6 7 71
Online forecast combinations of distributions: Worst case bounds 0 0 0 18 0 11 11 103
RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA 0 0 2 28 0 2 4 68
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 4 4 121
THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS 0 0 1 183 2 7 13 442
Weak conditions for shrinking multivariate nonparametric density estimators 0 0 0 3 1 2 4 26
Total Journal Articles 0 0 4 920 13 80 114 3,491

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Statistics updated 2026-03-04