IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to follow this author

Alessio Sancetta

This is information that was supplied by Alessio Sancetta in registering through RePEc. If you are Alessio Sancetta , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Alessio
Middle Name:
Last Name:Sancetta
Suffix:
RePEc Short-ID:psa66
Email:[This author has chosen not to make the email address public]
Homepage:http://www.sancetta.googlepages.com/
Postal Address:
Phone:
in new window

  1. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge.
  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.
  3. Sancetta, A., 2007. "Universality of Bayesian Predictions," Cambridge Working Papers in Economics 0755, 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., 2005. "Copula Based Monte Carlo Integration in Financial Problems," Cambridge Working Papers in Economics 0506, Faculty of Economics, University of Cambridge.
  6. Sancetta, A., 2005. "Forecasting Distributions with Experts Advice," Cambridge Working Papers in Economics 0517, Faculty of Economics, University of Cambridge.
  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.
  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. & 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.
  10. Sancetta, A., 2003. "Nonparametric Estimation of Multivariate Distributions with Given Marginals," Cambridge Working Papers in Economics 0320, 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.
  1. Battey, Heather & Sancetta, Alessio, 2013. "Conditional estimation for dependent functional data," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 1-17.
  2. Sancetta, Alessio, 2013. "Weak conditions for shrinking multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 285-300.
  3. Alessio Sancetta, 2010. "Bootstrap model selection for possibly dependent and heterogeneous data," Annals of the Institute of Statistical Mathematics, Springer, 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. 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.
  6. 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.
  7. Sancetta, Alessio, 2009. "Nearest neighbor conditional estimation for Harris recurrent Markov chains," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2224-2236, November.
  8. 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.
  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. 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.
  14. 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.
  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.
  1. Econometrics Journal, Royal Economic Society.
12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  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

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Alessio Sancetta should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.