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 1 1,431 0 1 10 3,243
Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses 0 0 0 328 1 1 1 1,259
Copula Based Monte Carlo Integration in Financial Problems 0 0 1 713 0 8 27 1,776
Cost of Capital and Regulator’s Preferences: Investigation into a new method of estimating regulatory bias 0 0 0 107 2 3 4 375
Forecasting Distributions with Experts Advice 0 0 0 56 0 0 1 268
Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices 0 0 0 159 1 2 2 497
Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains 0 0 0 77 0 0 3 188
New Test Statistics for Market Timing with Application to Emerging markets 0 0 0 236 0 1 1 739
Nonparametric Estimation of Multivariate Distributions with Given Marginals 0 0 1 478 0 0 2 1,097
Online Forecast Combination for Dependent Heterogeneous Data 0 0 1 83 1 2 3 216
Sample Covariance Shrinkage for High Dimensional Dependent Data 0 0 0 249 0 1 1 811
Universality of Bayesian Predictions 0 0 0 113 0 0 0 214
Total Working Papers 0 0 4 4,030 5 19 55 10,683

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 0 2 2 40
Calculating hedge fund risk: the draw down and the maximum draw down 0 0 0 360 0 0 0 1,550
Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines* 0 0 1 61 0 3 6 239
Conditional estimation for dependent functional data 0 0 0 16 2 3 3 50
Consistent estimation of a general nonparametric regression function in time series 0 0 0 39 0 2 4 94
Distance between nonidentically weakly dependent random vectors and Gaussian random vectors under the bounded Lipschitz metric 0 0 0 13 1 1 2 52
Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions 0 0 0 22 1 2 2 72
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 0 3 39
New test statistics for market timing with applications to emerging markets hedge funds 0 0 0 77 1 1 1 294
Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: L1 and pointwise convergence theory 0 0 0 17 1 1 2 65
Online forecast combinations of distributions: Worst case bounds 0 0 0 18 0 0 0 92
RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA 0 0 2 28 0 0 2 66
Sample covariance shrinkage for high dimensional dependent data 0 0 0 21 1 2 2 77
Strong law of large numbers for pairwise positive quadrant dependent random variables 0 0 0 30 0 0 0 117
THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS 0 1 3 183 1 2 10 435
Weak conditions for shrinking multivariate nonparametric density estimators 0 0 0 3 1 2 2 24
Total Journal Articles 0 1 6 920 9 21 41 3,411

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Statistics updated 2025-12-06