Professor Alessio Sancetta

  1. 2019
  2. Published

    Intraday End-of-Day Volume Prediction

    Sancetta, A., 9 Jun 2019, In : Journal of Financial Econometrics. p. 1-24 24 p., nbz019.

    Research output: Contribution to journalArticle

  3. Published

    Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?

    Kurov, A., Sancetta, A., Strasser, G. & Wolfe, M., Feb 2019, In : Journal of Financial and Quantitative Analysis . 54, 1, p. 449-479 31 p.

    Research output: Contribution to journalArticle

  4. 2018
  5. E-pub ahead of print

    Consistency results for stationary autoregressive processes with constrained coefficients

    Sancetta, A., 19 Sep 2018, In : IEEE Transactions on Information Theory. 65, 1, p. 538 - 550 13 p.

    Research output: Contribution to journalArticle

  6. Published

    Estimation for the Prediction of Point Processes with Many Covariates

    Sancetta, A., Jun 2018, In : Econometric Theory. 34, 3, p. 598-627 30 p.

    Research output: Contribution to journalArticle

  7. 2016
  8. Published

    Greedy algorithms for prediction

    Sancetta, A., 1 May 2016, In : Bernoulli. 22, 2, p. 1227-1277 51 p.

    Research output: Contribution to journalArticle

  9. 2015
  10. Published

    A Nonparametric Estimator of the Covariance Function for Functional Data

    Sancetta, A., Dec 2015, In : Econometric Theory. 31, 6, p. 1359-1381 23 p.

    Research output: Contribution to journalArticle

  11. 2014
  12. Published

    An open Problem on Strongly Consistent Learning of the Best Prediction for Gaussian Processes

    Györfi, L. & Sancetta, A., 2014, Topics in Nonparametric Statistics: Proceedings of the First Conference of the International Society for Nonparametric Statistics. Akritas, M. G., Lahiri, S. N. & Politis, D. N. (eds.). Springer-Verlag, p. 115-136 22 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

  13. Published

    Semiparametric Estimation of a Class of Generalized Linear Models without Smoothing

    Sancetta, A., 2014, In : Journal of Multivariate Analysis. 130, p. 141-154

    Research output: Contribution to journalArticle

  14. 2013
  15. Published

    A Recursive Algorithm for Mixture of Densities Estimation

    Sancetta, A., 2013, In : IEEE Transactions on Information Theory. 59, p. 6893-6906

    Research output: Contribution to journalArticle

  16. Published

    Conditional Estimation for Dependent Functional Data

    Battey, H. & Sancetta, A., 2013, In : Journal of Multivariate Analysis. 120 , p. 1-17

    Research output: Contribution to journalArticle

  17. Published

    Weak Conditions for Nonparametric Density Shrinkage

    Sancetta, A., 2013, In : Journal of Multivariate Analysis. 115, p. 285-300

    Research output: Contribution to journalArticle

  18. 2012
  19. Published

    Universality of Bayesian Predictions (with rejoinder). Bayesian Analysis

    Sancetta, A., 2012, In : Bayesian Analysis. 7, p. 1-36 47-50

    Research output: Contribution to journalArticle

  20. 2010
  21. Published

    Bootstrap Model Selection for Possibly Dependent and Heterogeneous Data.

    Sancetta, A., 2010, In : Annals of the Institute of Statistical Mathematics. 62, p. 515-546

    Research output: Contribution to journalArticle

  22. Published

    Recursive Forecast Combination for Dependent Heterogeneous Data

    Sancetta, A., 2010, In : Econometric Theory. 26, p. 598-631

    Research output: Contribution to journalArticle

  23. 2009
  24. E-pub ahead of print

    Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions

    Sancetta, A. & Nikandrova, A., 8 Dec 2009, In : Journal of Time Series Econometrics. 1, 2

    Research output: Contribution to journalArticle

  25. Published

    Consistent Estimation of a General Nonparametric Regression Function in Time Series

    Sancetta, A. & Linton, O., Sep 2009, In : Journal of Econometrics. 152, 1, p. 70-78

    Research output: Contribution to journalArticle

  26. Published

    Strong law of large numbers for pairwise positive quadrant dependent random variables

    Sancetta, A., Feb 2009, In : Statistical Inference for Stochastic Processes. 12, 1, p. 55-64 10 p.

    Research output: Contribution to journalArticle

  27. Published

    Maximal Inequalities for U-Processes of Strongly Mixing Random Variables

    Sancetta, A., 2009, In : Probability and Mathematical Statistics . 29, 1, p. 155-167 13 p.

    Research output: Contribution to journalArticle

  28. Published

    Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains.

    Sancetta, A., 2009, In : Journal of Multivariate Analysis. 100, p. 2224-2236

    Research output: Contribution to journalArticle

  29. 2008
  30. Published

    Sample Covariance Shrinkage for High Dimensional Dependent Dat

    Sancetta, A., 2008, In : Journal of Multivariate Analysis. 99, p. 949-967 19 p.

    Research output: Contribution to journalArticle

  31. 2007
  32. Published

    Online forecast combinations of distributions: Worst case bounds

    Sancetta, A., Dec 2007, In : Journal of Econometrics. 141, 2, p. 621-651 31 p.

    Research output: Contribution to journalArticle

  33. E-pub ahead of print

    Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines

    Sancetta, A. & Satchell, S., 14 Jun 2007, In : Applied Mathematical Finance. 14, 3, p. 227-242 16 p.

    Research output: Contribution to journalArticle

  34. Published

    Weak Convergence of Laws on ℝK with Common Marginals

    Sancetta, A., Jun 2007, In : Journal of Theoretical Probability. 20, 2, p. 371-380 10 p.

    Research output: Contribution to journalArticle

  35. Published

    Nonparametric Estimation of Distributions with Given Marginals via Bernstein-Kantorovich Polynomials: L1 and Pointwise Convergence Theory.

    Sancetta, A., 2007, In : Journal of Multivariate Analysis. 98, p. 1376-1390

    Research output: Contribution to journalArticle

  36. 2005
  37. Published

    Distance between nonidentically weakly dependent random vectors and Gaussian random vectors under the bounded Lipschitz metric

    Sancetta, A., 1 Dec 2005, In : Statistics and Probability Letters. 75, 3, p. 158-168 11 p.

    Research output: Contribution to journalArticle

  38. Published

    New test statistics for market timing with applications to emerging markets hedge funds

    Sancetta, A. & Satchell, S., Oct 2005, In : European Journal of Finance. 11, 5, p. 419-443 25 p.

    Research output: Contribution to journalArticle

  39. 2004
  40. Published

    Calculating hedge fund risk: the draw down and the maximum draw down

    Sancetta, A. & Satchell, S., Sep 2004, In : Applied Mathematical Finance. 11, 3, p. 259-282 24 p.

    Research output: Contribution to journalArticle

  41. Published

    The Bernstein Copula and Its Applications to Modeling and Approximations of Multivariate Distributions

    Sancetta, A. & Satchell, S., 8 Jun 2004, In : Econometric Theory. 20, 3, p. 535-562 28 p.

    Research output: Contribution to journalArticle

  42. 2002
  43. Published

    Molten lava meets market languor

    Sancetta, A. & Satchell, S., 2002, In : Quantitative Finance. 2, 6, p. 405 1 p.

    Research output: Contribution to journalArticle