Citations of
Alessio Sancetta

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Working papers

1. Sancetta, A., 2003. "Nonparametric Estimation of Multivariate Distributions with Given Marginals," Cambridge Working Papers in Economics 0320, Faculty of Economics, University of Cambridge. [Downloadable!]

   Cited by:

   1. Hurd, Matthew & Salmon, Mark & Schleicher, Christoph, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," CEPR Discussion Papers 5114, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
      • Matthew Hurd & Mark Salmon & Christoph Schleicher, . "Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index," Bank of England working papers 334, Bank of England. [Downloadable!]
      • Christoph Schleicher & Matthew Hurd & Mark Salmon, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," Computing in Economics and Finance 2005 215, Society for Computational Economics.

2. A. Sancetta & Satchell, S.E., 2001. "Bernstein Approximations to the Copula Function and Portfolio Optimization," Cambridge Working Papers in Economics 0105, Faculty of Economics, University of Cambridge. [Downloadable!]

   Cited by:

   1. Fortin, Ines & Kuzmics, Christoph, 2002. "Tail-Dependence in Stock-Return Pairs," Economics Series 126, Institute for Advanced Studies. [Downloadable!]
   2. Sancetta, A., 2005. "Copula Based Monte Carlo Integration in Financial Problems," Cambridge Working Papers in Economics 0506, Faculty of Economics, University of Cambridge. [Downloadable!]

1. Sancetta, Alessio, 2007. "Online forecast combinations of distributions: Worst case bounds," Journal of Econometrics, Elsevier, vol. 141(2), pages 621-651, December. [Downloadable!] (restricted)

   Cited by:

   1. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge. [Downloadable!]

2. Sancetta, Alessio & Satchell, Stephen, 2004. "The Bernstein Copula And Its Applications To Modeling And Approximations Of Multivariate Distributions," Econometric Theory, Cambridge University Press, vol. 20(03), pages 535-562, June. [Downloadable!]

   Cited by:

   1. Taoufik Bouezmarni & Jeroen V. K. Rombouts & Abderrahim Taamouti, 2008. "Asymptotic properties of the Bernstein density copula for dependent data," Economics Working Papers we083619, Universidad Carlos III, Departamento de Economía. [Downloadable!]
      Other versions:
      • BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V.K. & TAAMOUTI, Abderrahim, 2008. "Asymptotic properties of the Bernstein density copula for dependent data," CORE Discussion Papers 2008045, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
   2. Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2007. "Semiparametric Multivariate Density Estimation for Positive Data Using Copulas," Cahiers de recherche 0731, CIRPEE. [Downloadable!]
      Other versions:
      • BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V.K., 2007. "Semiparametric multivariate density estimation for positive data using copulas," CORE Discussion Papers 2007054, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      • Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2007. "Semiparametric Multivariate Density Estimation for Positive Data Using Copulas," Cahiers de recherche 07-08, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
      • Bouezmarni, T. & Rombouts, J.V.K., 2009. "Semiparametric multivariate density estimation for positive data using copulas," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2040-2054, April. [Downloadable!] (restricted)
   3. Hurd, Matthew & Salmon, Mark & Schleicher, Christoph, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," CEPR Discussion Papers 5114, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
      • Matthew Hurd & Mark Salmon & Christoph Schleicher, . "Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index," Bank of England working papers 334, Bank of England. [Downloadable!]
      • Christoph Schleicher & Matthew Hurd & Mark Salmon, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," Computing in Economics and Finance 2005 215, Society for Computational Economics.

3. Alessio Sancetta & Steve E. Satchell, 2004. "Calculating hedge fund risk: the draw down and the maximum draw down," Applied Mathematical Finance, Taylor and Francis Journals, vol. 11(3), pages 259-282, September. [Downloadable!] (restricted)

   Cited by:

   1. J-H Steffi Yang, 2004. "The Markovian Dynamics of "Smart Money"," Econometric Society 2004 Far Eastern Meetings 797, Econometric Society. [Downloadable!]

This page was last updated on 2009-12-21.