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Alessio Sancetta

Personal Details

First Name:Alessio
Middle Name:
Last Name:Sancetta
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RePEc Short-ID:psa66
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http://www.sancetta.googlepages.com/

Research output

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Jump to: Working papers Articles Editorship

Working papers

  1. Sancetta, A., 2007. "Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains," Cambridge Working Papers in Economics 0735, Faculty of Economics, University of Cambridge.
  2. Sancetta, A., 2007. "Universality of Bayesian Predictions," Cambridge Working Papers in Economics 0755, Faculty of Economics, University of Cambridge.
  3. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge.
  4. Sancetta, A., 2006. "Sample Covariance Shrinkage for High Dimensional Dependent Data," Cambridge Working Papers in Economics 0637, Faculty of Economics, University of Cambridge.
  5. 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.
  6. Sancetta, A., 2005. "Copula Based Monte Carlo Integration in Financial Problems," Cambridge Working Papers in Economics 0506, Faculty of Economics, University of Cambridge.
  7. Sancetta, A., 2005. "Forecasting Distributions with Experts Advice," Cambridge Working Papers in Economics 0517, Faculty of Economics, University of Cambridge.
  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.
  9. Sancetta, A., 2003. "Nonparametric Estimation of Multivariate Distributions with Given Marginals," Cambridge Working Papers in Economics 0320, Faculty of Economics, University of Cambridge.
  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.
  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.
  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.

Articles

  1. Sancetta, Alessio, 2013. "Weak conditions for shrinking multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 285-300.
  2. Battey, Heather & Sancetta, Alessio, 2013. "Conditional estimation for dependent functional data," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 1-17.
  3. Alessio Sancetta, 2010. "Bootstrap model selection for possibly dependent and heterogeneous data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(3), pages 515-546, June.
  4. Sancetta, Alessio, 2010. "Recursive Forecast Combination For Dependent Heterogeneous Data," Econometric Theory, Cambridge University Press, vol. 26(02), pages 598-631, April.
  5. Sancetta Alessio & Nikandrova Arina, 2009. "Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions," Journal of Time Series Econometrics, De Gruyter, vol. 1(2), pages 1-41, December.
  6. Linton, Oliver & Sancetta, Alessio, 2009. "Consistent estimation of a general nonparametric regression function in time series," Journal of Econometrics, Elsevier, vol. 152(1), pages 70-78, September.
  7. 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.
  8. Sancetta, Alessio, 2009. "Nearest neighbor conditional estimation for Harris recurrent Markov chains," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2224-2236, November.
  9. Sancetta, Alessio, 2008. "Sample covariance shrinkage for high dimensional dependent data," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 949-967, May.
  10. 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.
  11. Alessio Sancetta & Steve E. Satchell, 2007. "Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(3), pages 227-242.
  12. Sancetta, Alessio, 2007. "Online forecast combinations of distributions: Worst case bounds," Journal of Econometrics, Elsevier, vol. 141(2), pages 621-651, December.
  13. 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.
  14. Alessio Sancetta & Stephen Satchell, 2005. "New test statistics for market timing with applications to emerging markets hedge funds," The European Journal of Finance, Taylor & Francis Journals, vol. 11(5), pages 419-443.
  15. 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.
  16. Alessio Sancetta & Steve Satchell, 2004. "Calculating hedge fund risk: the draw down and the maximum draw down," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(3), pages 259-282.
  17. Alessio Sancetta & Steve Satchell, 2002. "Molten lava meets market languor," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 405-405.

Editorship

  1. Econometrics Journal, Royal Economic Society.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Sancetta, A., 2007. "Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains," Cambridge Working Papers in Economics 0735, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Battey, Heather & Sancetta, Alessio, 2013. "Conditional estimation for dependent functional data," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 1-17.
    2. Linton, Oliver & Sancetta, Alessio, 2009. "Consistent estimation of a general nonparametric regression function in time series," Journal of Econometrics, Elsevier, vol. 152(1), pages 70-78, September.

  2. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Pesaran, M.H. & Assenmacher-Wesche, K., 2007. "Assessing forecast uncertainties in a VECX* model for Switzerland: an exercise in forecast combination across models and observation windows," Cambridge Working Papers in Economics 0746, Faculty of Economics, University of Cambridge.

  3. Sancetta, A., 2006. "Sample Covariance Shrinkage for High Dimensional Dependent Data," Cambridge Working Papers in Economics 0637, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Bernardini, Emmanuela & Cubadda, Gianluca, 2015. "Macroeconomic forecasting and structural analysis through regularized reduced-rank regression," International Journal of Forecasting, Elsevier, vol. 31(3), pages 682-691.
    2. Sancetta, Alessio, 2013. "Weak conditions for shrinking multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 285-300.
    3. Gianluca Cubadda & Barbara Guardabascio, 2017. "Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model," CEIS Research Paper 397, Tor Vergata University, CEIS, revised 07 Feb 2017.

  4. Sancetta, A., 2003. "Nonparametric Estimation of Multivariate Distributions with Given Marginals," Cambridge Working Papers in Economics 0320, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Hall, Peter & Neumeyer, Natalie, 2005. "Estimating a bivariate density when there are extra data on one or both components," Technical Reports 2005,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    2. Matthew Hurd & Mark Salmon & Christoph Schleicher, 2007. "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.

  5. 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.

    Cited by:

    1. Alessio Sancetta, 2004. "Copula Based Monte Carlo Integration in Financial Problems," Working Papers wp04-02, Warwick Business School, Finance Group.
    2. Szego, Giorgio, 2002. "Measures of risk," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1253-1272, July.
    3. Romera, Rosario & Molanes, Elisa M., 2008. "Copulas in finance and insurance," DES - Working Papers. Statistics and Econometrics. WS ws086321, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Fortin, Ines & Kuzmics, Christoph, 2002. "Tail-Dependence in Stock-Return Pairs," Economics Series 126, Institute for Advanced Studies.
    5. Alessio Sancetta & Steve E. Satchell, 2007. "Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(3), pages 227-242.

Articles

  1. Sancetta, Alessio, 2010. "Recursive Forecast Combination For Dependent Heterogeneous Data," Econometric Theory, Cambridge University Press, vol. 26(02), pages 598-631, April.

    Cited by:

    1. Kajal Lahiri & Huaming Peng & Xuguang Sheng, 2015. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," CESifo Working Paper Series 5468, CESifo Group Munich.
    2. Gang Cheng & Sicong Wang & Yuhong Yang, 2015. "Forecast Combination under Heavy-Tailed Errors," Econometrics, MDPI, Open Access Journal, vol. 3(4), pages 1-28, November.
    3. Antoine Mandel & Amir Sani, 2016. "Learning Time-Varying Forecast Combinations," Documents de travail du Centre d'Economie de la Sorbonne 16036, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    4. Wei, Xiaoqiao & Yang, Yuhong, 2012. "Robust forecast combinations," Journal of Econometrics, Elsevier, vol. 166(2), pages 224-236.
    5. Yongchen Zhao, 2015. "Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms," Working Papers 2015-04, Towson University, Department of Economics, revised Dec 2015.
    6. Antoine Mandel & Amir Sani, 2017. "A Machine Learning Approach to the Forecast Combination Puzzle," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01317974, HAL.

  2. Linton, Oliver & Sancetta, Alessio, 2009. "Consistent estimation of a general nonparametric regression function in time series," Journal of Econometrics, Elsevier, vol. 152(1), pages 70-78, September.

    Cited by:

    1. Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order," CeMMAP working papers CWP53/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Degui Li & Zudi Lu & Oliver Linton, 2011. "Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates," Monash Econometrics and Business Statistics Working Papers 16/11, Monash University, Department of Econometrics and Business Statistics.
    3. Battey, Heather & Sancetta, Alessio, 2013. "Conditional estimation for dependent functional data," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 1-17.
    4. Degui Li & Oliver Linton & Zudi Lu, 2012. "A flexible semiparametric model for time series," CeMMAP working papers CWP28/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Christian Conrad & Enno Mammen, 2008. "Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models," Working Papers 0473, University of Heidelberg, Department of Economics, revised Jul 2008.
    6. Degui Li & Oliver Linton & Zudi Lu, 2010. "Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate," STICERD - Econometrics Paper Series 549, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    7. Li, Degui & Linton, Oliver & Lu, Zudi, 2015. "A flexible semiparametric forecasting model for time series," Journal of Econometrics, Elsevier, vol. 187(1), pages 345-357.

  3. Sancetta, Alessio, 2009. "Nearest neighbor conditional estimation for Harris recurrent Markov chains," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2224-2236, November.
    See citations under working paper version above.
  4. Sancetta, Alessio, 2008. "Sample covariance shrinkage for high dimensional dependent data," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 949-967, May.
    See citations under working paper version above.
  5. 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.

    Cited by:

    1. Alireza Ahmadabadi & Burcu Hudaverdi Ucer, 2017. "Bivariate nonparametric estimation of the Pickands dependence function using Bernstein copula with kernel regression approach," Computational Statistics, Springer, vol. 32(4), pages 1515-1532, December.
    2. Tavin, Bertrand, 2015. "Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 158-178.

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

    Cited by:

    1. Ma, Rong & Zhang, Yin & Li, Honggang, 2017. "Traders’ behavioral coupling and market phase transition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 618-627.
    2. Peter Christoffersen & Hugues Langlois, 2011. "The Joint Dynamics of Equity Market Factors," CREATES Research Papers 2011-45, Department of Economics and Business Economics, Aarhus University.
    3. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2013. "Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 6(3), pages 87-103, March.

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

    Cited by:

    1. Wei, Xiaoqiao & Yang, Yuhong, 2012. "Robust forecast combinations," Journal of Econometrics, Elsevier, vol. 166(2), pages 224-236.
    2. Sánchez, Ismael, 2008. "Adaptive combination of forecasts with application to wind energy," International Journal of Forecasting, Elsevier, vol. 24(4), pages 679-693.
    3. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge.
    4. Yongchen Zhao, 2015. "Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms," Working Papers 2015-04, Towson University, Department of Economics, revised Dec 2015.
    5. Guo, Nan & Wang, Fang & Yang, Jingping, 2017. "Remarks on composite Bernstein copula and its application to credit risk analysis," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 38-48.

  8. Alessio Sancetta & Stephen Satchell, 2005. "New test statistics for market timing with applications to emerging markets hedge funds," The European Journal of Finance, Taylor & Francis Journals, vol. 11(5), pages 419-443.

    Cited by:

    1. Eling, Martin & Faust, Roger, 2010. "The performance of hedge funds and mutual funds in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1993-2009, August.
    2. Giannikis, Dimitrios & Vrontos, Ioannis D., 2011. "A Bayesian approach to detecting nonlinear risk exposures in hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1399-1414, June.

  9. 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.

    Cited by:

    1. Göran Kauermann & Christian Schellhase & David Ruppert, 2013. "Flexible Copula Density Estimation with Penalized Hierarchical B-splines," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 685-705, December.
    2. Luciana Dalla Valle & Maria Elena De Giuli & Claudia Tarantola & Claudio Manelli, 2014. "Default Probability Estimation via Pair Copula Constructions," Papers 1405.1309, arXiv.org, revised Aug 2015.
    3. Yichen Gao & Yu Zhang & Ximing Wu, 2015. "Penalized exponential series estimation of copula densities with an application to intergenerational dependence of body mass index," Empirical Economics, Springer, vol. 48(1), pages 61-81, February.
    4. Alireza Ahmadabadi & Burcu Hudaverdi Ucer, 2017. "Bivariate nonparametric estimation of the Pickands dependence function using Bernstein copula with kernel regression approach," Computational Statistics, Springer, vol. 32(4), pages 1515-1532, December.
    5. Nagler, Thomas & Czado, Claudia, 2016. "Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 151(C), pages 69-89.
    6. Manuel Arellano & Stéphane Bonhomme, 2016. "Nonlinear panel data methods for dynamic heterogeneous agent models," CeMMAP working papers CWP51/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2014. "Nonparametric estimation and inference for conditional density based Granger causality measures," Journal of Econometrics, Elsevier, vol. 180(2), pages 251-264.
    8. Durante, Fabrizio & Sánchez, Juan Fernández, 2012. "On the approximation of copulas via shuffles of Min," Statistics & Probability Letters, Elsevier, vol. 82(10), pages 1761-1767.
    9. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1596-1609, September.
    10. Hall, Peter & Neumeyer, Natalie, 2005. "Estimating a bivariate density when there are extra data on one or both components," Technical Reports 2005,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    11. Janssen, Paul & Swanepoel, Jan & Veraverbeke, Noël, 2017. "Smooth copula-based estimation of the conditional density function with a single covariate," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 39-48.
    12. 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).
    13. Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," Cahiers de recherche 0927, CIRPEE.
    14. Damien Ackerer & Thibault Vatter, 2016. "Dependent Defaults and Losses with Factor Copula Models," Papers 1610.03050, arXiv.org, revised Jan 2018.
    15. Jens Stange & Taras Bodnar & Thorsten Dickhaus, 2015. "Uncertainty quantification for the family-wise error rate in multivariate copula models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(3), pages 281-310, July.
    16. Woo, Jae-Kyung & Cheung, Eric C.K., 2013. "A note on discounted compound renewal sums under dependency," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 170-179.
    17. Swanepoel, J.W.H. & Allison, J.S., 2013. "Some new results on the empirical copula estimator with applications," Statistics & Probability Letters, Elsevier, vol. 83(7), pages 1731-1739.
    18. Matthew Hurd & Mark Salmon & Christoph Schleicher, 2007. "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.
    19. Manuel Arellano & Stéphane Bonhomme, 2016. "Quantile Selection Models with an Application to Understanding Changes in Wage Inequality," Working Papers wp2016_1610, CEMFI.
    20. 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).
    21. Tavin, Bertrand, 2015. "Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 158-178.
    22. Janssen, Paul & Swanepoel, Jan & Veraverbeke, Noël, 2014. "A note on the asymptotic behavior of the Bernstein estimator of the copula density," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 480-487.
    23. Bouezmarni Taoufik & Ghouch El & Taamouti Abderrahim, 2013. "Bernstein estimator for unbounded copula densities," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 343-360, December.
    24. Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2012. "Nonparametric estimation and inference for Granger causality measures," UC3M Working papers. Economics 14150, Universidad Carlos III de Madrid. Departamento de Economía.
    25. Bouezmarni, Taoufik & Rombouts, Jeroen V.K. & Taamouti, Abderrahim, 2010. "Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 1-10, January.
    26. Dou, Xiaoling & Kuriki, Satoshi & Lin, Gwo Dong & Richards, Donald, 2016. "EM algorithms for estimating the Bernstein copula," Computational Statistics & Data Analysis, Elsevier, vol. 93(C), pages 228-245.
    27. Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Penev, Spiridon I., 2008. "GeD spline estimation of multivariate Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3570-3582, March.
    28. Mark Salmon & Christoph Schleicher, 2006. "Pricing Multivariate Currency Options with Copulas," Working Papers wpn06-10, Warwick Business School, Finance Group.
    29. Durante, Fabrizio & Fernández Sánchez, Juan & Sempi, Carlo, 2013. "Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 897-905.
    30. Martin Burda & Artem Prokhorov, 2012. "Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models," Working Papers 12012, Concordia University, Department of Economics.
    31. Romera, Rosario & Molanes, Elisa M., 2008. "Copulas in finance and insurance," DES - Working Papers. Statistics and Econometrics. WS ws086321, Universidad Carlos III de Madrid. Departamento de Estadística.
    32. Wiper, Michael Peter & Ausín Olivera, María Concepción & Zhao, Yanyun, 2013. "Bayesian multivariate Bernstein polynomial density estimation," DES - Working Papers. Statistics and Econometrics. WS ws131211, Universidad Carlos III de Madrid. Departamento de Estadística.
    33. Coqueret, Guillaume, 2014. "Second order risk aggregation with the Bernstein copula," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 150-158.
    34. Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, Department of Economics and Business Economics, Aarhus University.
    35. Segers, Johan & Sibuya, Masaaki & Tsukahara, Hideatsu, 2017. "The empirical beta copula," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 35-51.
    36. Guo, Nan & Wang, Fang & Yang, Jingping, 2017. "Remarks on composite Bernstein copula and its application to credit risk analysis," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 38-48.
    37. Qu, Leming & Yin, Wotao, 2012. "Copula density estimation by total variation penalized likelihood with linear equality constraints," Computational Statistics & Data Analysis, Elsevier, vol. 56(2), pages 384-398.
    38. Sebastian Kiwitt & Natalie Neumeyer, 2013. "A note on testing independence by a copula-based order selection approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(1), pages 62-82, March.
    39. Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2011. "Bernstein estimator for unbounded density copula," UC3M Working papers. Economics we1143, Universidad Carlos III de Madrid. Departamento de Economía.
    40. Nadarajah, Saralees, 2015. "Expansions for bivariate copulas," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 77-84.
    41. Paul Janssen & Jan Swanepoel & Noël Veraverbeke, 2016. "Bernstein estimation for a copula derivative with application to conditional distribution and regression functionals," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(2), pages 351-374, June.
    42. Diers, Dorothea & Eling, Martin & Marek, Sebastian D., 2012. "Dependence modeling in non-life insurance using the Bernstein copula," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 430-436.
    43. 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.
    44. Baker, Rose, 2008. "An order-statistics-based method for constructing multivariate distributions with fixed marginals," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2312-2327, November.
    45. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
    46. Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, Elsevier.
    47. Gregor Wei{ss} & Marcus Scheffer, 2012. "Smooth Nonparametric Bernstein Vine Copulas," Papers 1210.2043, arXiv.org.
    48. Wu, Ximing, 2010. "Exponential Series Estimator of multivariate densities," Journal of Econometrics, Elsevier, vol. 156(2), pages 354-366, June.

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

    Cited by:

    1. Caicedo-Llano, Juliana & Dionysopoulos, Thomas, 2008. "Market integration: A risk-budgeting guide for pure alpha investors," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 313-327, October.
    2. Sager, Michael & Taylor, Mark P., 2014. "Generating currency trading rules from the term structure of forward foreign exchange premia," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 230-250.
    3. J-H Steffi Yang, 2004. "The Markovian Dynamics of "Smart Money"," Econometric Society 2004 Far Eastern Meetings 797, Econometric Society.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. 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
  2. NEP-FIN: Finance (3) 2001-06-14 2003-03-25 2005-02-01
  3. NEP-FOR: Forecasting (3) 2007-04-28 2007-08-14 2007-11-24
  4. NEP-ETS: Econometric Time Series (2) 2007-04-28 2007-11-24
  5. NEP-FMK: Financial Markets (2) 2002-10-08 2003-03-25
  6. NEP-ACC: Accounting & Auditing (1) 2004-07-26
  7. NEP-CBA: Central Banking (1) 2007-11-24
  8. NEP-CMP: Computational Economics (1) 2005-02-01
  9. NEP-REG: Regulation (1) 2004-07-26
  10. NEP-RMG: Risk Management (1) 2002-10-08

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