Information about:
Alessio Sancetta

Other registered authors

Email: [This author has chosen not to make the email address public]
Homepage: http://www.sancetta.googlepages.com/
Postal Address:
Phone:

Affiliation

• Department of Applied Economics
  Faculty of Economics
  University of Cambridge

  Location: Cambridge, United Kingdom
  Homepage: http://www.econ.cam.ac.uk/dae/
  Email:
  Phone: +44 1223 335200
  Fax: +44 1223 335475
  Postal: Austin Robinson Building, Sidgwick Avenue, Cambridge CB3 9DD
  Handle: RePEc:edi:dacamuk (registered authors at this institution)

Working papers

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, A., 2007. "Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains," Cambridge Working Papers in Economics 0735, Faculty of Economics, University of Cambridge. [Downloadable!]

3. Sancetta, A., 2007. "Universality of Bayesian Predictions," Cambridge Working Papers in Economics 0755, Faculty of Economics, University of Cambridge. [Downloadable!]

4. Sancetta, A., 2006. "Sample Covariance Shrinkage for High Dimensional Dependent Data," Cambridge Working Papers in Economics 0637, Faculty of Economics, University of Cambridge. [Downloadable!]
   Published as:
   • Sancetta, Alessio, 2008. "Sample covariance shrinkage for high dimensional dependent data," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 949-967, May. [Downloadable!] (restricted)

5. Sancetta, A., 2005. "Copula Based Monte Carlo Integration in Financial Problems," Cambridge Working Papers in Economics 0506, Faculty of Economics, University of Cambridge. [Downloadable!]

6. Sancetta, A., 2005. "Forecasting Distributions with Experts Advice," Cambridge Working Papers in Economics 0517, Faculty of Economics, University of Cambridge. [Downloadable!]

7. Sancetta, A. & Nikanrova, A., 2005. "Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices," Cambridge Working Papers in Economics 0516, Faculty of Economics, University of Cambridge. [Downloadable!]

8. Sancetta, A. & Satchell, S.E., 2004. "Cost of Capital and Regulator’s Preferences: Investigation into a new method of estimating regulatory bias," Cambridge Working Papers in Economics 0441, Faculty of Economics, University of Cambridge. [Downloadable!]

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

10. Sancetta, A. & Satchell, S.E., 2003. "Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses," Cambridge Working Papers in Economics 0319, Faculty of Economics, University of Cambridge. [Downloadable!]

11. A. Sancetta & Satchell, S.E., 2002. "New Test Statistics for Market Timing with Application to Emerging markets," Cambridge Working Papers in Economics 0222, Faculty of Economics, University of Cambridge. [Downloadable!]

12. 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!]

1. Alessio Sancetta, 2009. "Strong law of large numbers for pairwise positive quadrant dependent random variables," Statistical Inference for Stochastic Processes, Springer, vol. 12(1), pages 55-64, February. [Downloadable!] (restricted)

2. Sancetta, Alessio, 2008. "Sample covariance shrinkage for high dimensional dependent data," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 949-967, May. [Downloadable!] (restricted)
   Other versions:
   • Sancetta, A., 2006. "Sample Covariance Shrinkage for High Dimensional Dependent Data," Cambridge Working Papers in Economics 0637, Faculty of Economics, University of Cambridge. [Downloadable!]

3. Sancetta, Alessio, 2007. "Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: L1 and pointwise convergence theory," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1376-1390, August. [Downloadable!] (restricted)

4. Alessio Sancetta & Steve E. Satchell, 2007. "Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines," Applied Mathematical Finance, Taylor and Francis Journals, vol. 14(3), pages 227-242. [Downloadable!] (restricted)

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

6. Alessio Sancetta & Stephen Satchell, 2005. "New test statistics for market timing with applications to emerging markets hedge funds," European Journal of Finance, Taylor and Francis Journals, vol. 11(5), pages 419-443, October. [Downloadable!] (restricted)

7. Sancetta, Alessio, 2005. "Distance between nonidentically weakly dependent random vectors and Gaussian random vectors under the bounded Lipschitz metric," Statistics & Probability Letters, Elsevier, vol. 75(3), pages 158-168, December. [Downloadable!] (restricted)

8. 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!]

9. 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)

10. A. Sancetta & S.E. Satchell, 2002. "Molten lava meets market languor," Quantitative Finance, Taylor and Francis Journals, vol. 2(6), pages 405-405, June. [Downloadable!] (restricted)

1. Econometrics Journal, Royal Economic Society.

1. NEP-ACC: Accounting & Auditing (1) 2004-07-26
2. NEP-CBA: Central Banking (1) 2007-11-24
3. NEP-CMP: Computational Economics (1) 2005-02-01
4. NEP-ECM: Econometrics (8) 2002-10-08 2003-04-04 2005-02-01 2005-05-07 2006-05-20 2007-04-28 2007-08-14 2007-11-24 Author is listed
5. NEP-ETS: Econometric Time Series (2) 2007-04-28 2007-11-24
6. NEP-FIN: Finance (3) 2001-06-14 2003-03-25 2005-02-01 Author is listed
7. NEP-FMK: Financial Markets (2) 2002-10-08 2003-03-25
8. NEP-FOR: Forecasting (3) 2007-04-28 2007-08-14 2007-11-24 Author is listed
9. NEP-REG: Regulation (1) 2004-07-26
10. NEP-RMG: Risk Management (1) 2002-10-08

This page was last updated on 2009-10-26.