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1

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

Kurov, Alexander, Sancetta, Alessio, Strasser, Georg, Wolfe, Marketa Halova

Journal:

Journal of Financial and Quantitative Analysis

Year:

2019

Language:

english

File:

PDF, 526 KB

english, 2019

2

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

Kurov, Alexander, Sancetta, Alessio, Strasser, Georg, Wolfe, Marketa Halova

Journal:

Journal of Financial and Quantitative Analysis

Year:

2019

File:

PDF, 526 KB

2019

3

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

Sancetta, Alessio, Satchell, Steve E.

Journal:

Applied Mathematical Finance

Year:

2007

Language:

english

File:

PDF, 455 KB

english, 2007

4

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

Sancetta, Alessio, Satchell, Steve E.

Journal:

Applied Mathematical Finance

Year:

2004

Language:

english

File:

PDF, 515 KB

english, 2004

5

Molten lava meets market languor

Sancetta, Alessio, Satchell, Steve E

Journal:

Quantitative Finance

Year:

2002

Language:

english

File:

PDF, 247 KB

english, 2002

6

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

Alessio Sancetta and Stephen Satchell

Journal:

Econometric Theory

Year:

2004

Language:

english

File:

PDF, 2.51 MB

english, 2004

7

Rejoinder

Sancetta, Alessio

Journal:

Bayesian Analysis

Year:

2012

Language:

english

File:

PDF, 212 KB

english, 2012

8

Universality of Bayesian Predictions

Sancetta, Alessio

Journal:

Bayesian Analysis

Year:

2012

Language:

english

File:

PDF, 456 KB

english, 2012

9

Price Drift Before U.S. Macroeconomic News: Private Information About Public Announcements?

Kurov, Alexander, Sancetta, Alessio, Strasser, Georg, Wolfe, Marketa Halova

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 1.13 MB

english, 2015

10

Online forecast combinations of distributions: Worst case bounds

Alessio Sancetta

Journal:

Journal of Econometrics

Year:

2007

Language:

english

File:

PDF, 731 KB

english, 2007

11

Consistent estimation of a general nonparametric regression function in time series

Oliver Linton, Alessio Sancetta

Journal:

Journal of Econometrics

Year:

2009

Language:

english

File:

PDF, 1.77 MB

english, 2009

12

Sample covariance shrinkage for high dimensional dependent data

Alessio Sancetta

Journal:

Journal of Multivariate Analysis

Year:

2008

Language:

english

File:

PDF, 224 KB

english, 2008

13

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

Alessio Sancetta

Journal:

Statistics & Probability Letters

Year:

2005

Language:

english

File:

PDF, 207 KB

english, 2005

14

Bootstrap model selection for possibly dependent and heterogeneous data

Alessio Sancetta

Journal:

Annals of the Institute of Statistical Mathematics

Year:

2010

Language:

english

File:

PDF, 396 KB

english, 2010

15

Weak Convergence of Laws on ℝKwith Common Marginals

Alessio Sancetta

Journal:

Journal of Theoretical Probability

Year:

2007

Language:

english

File:

PDF, 368 KB

english, 2007

16

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

Alessio Sancetta

Journal:

Statistical Inference for Stochastic Processes

Year:

2009

Language:

english

File:

PDF, 175 KB

english, 2009

17

Nonparametric estimation of distributions with given marginals via Bernstein–Kantorovich polynomials: and pointwise convergence theory

Alessio Sancetta

Journal:

Journal of Multivariate Analysis

Year:

2007

Language:

english

File:

PDF, 224 KB

english, 2007

18

Nearest neighbor conditional estimation for Harris recurrent Markov chains

Alessio Sancetta

Journal:

Journal of Multivariate Analysis

Year:

2009

Language:

english

File:

PDF, 717 KB

english, 2009

19

THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS

Sancetta, Alessio, Satchell, Stephen

Journal:

Econometric Theory

Year:

2004

Language:

english

File:

PDF, 248 KB

english, 2004

20

Conditional estimation for dependent functional data

Battey, Heather, Sancetta, Alessio

Journal:

Journal of Multivariate Analysis

Year:

2013

Language:

english

File:

PDF, 400 KB

english, 2013

21

Weak conditions for shrinking multivariate nonparametric density estimators

Sancetta, Alessio

Journal:

Journal of Multivariate Analysis

Year:

2013

Language:

english

File:

PDF, 339 KB

english, 2013

22

Semiparametric estimation of a class of generalized linear models without smoothing

Sancetta, Alessio

Journal:

Journal of Multivariate Analysis

Year:

2014

Language:

english

File:

PDF, 344 KB

english, 2014

23

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

Sancetta, Alessio, Satchell, Stephen E.

Journal:

European Journal of Finance

Year:

2005

Language:

english

File:

PDF, 312 KB

english, 2005

24

Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions

Sancetta, Alessio, Nikandrova, Arina

Journal:

Journal of Time Series Econometrics

Year:

2009

Language:

english

File:

PDF, 1.42 MB

english, 2009

25

A NONPARAMETRIC ESTIMATOR FOR THE COVARIANCE FUNCTION OF FUNCTIONAL DATA

Sancetta, Alessio

Journal:

Econometric Theory

Year:

2014

Language:

english

File:

PDF, 274 KB

english, 2014

26

RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA

Sancetta, Alessio

Journal:

Econometric Theory

Year:

2010

Language:

english

File:

PDF, 269 KB

english, 2010

27

Greedy algorithms for prediction

Sancetta, Alessio

Journal:

Year:

2016

Language:

english

File:

PDF, 462 KB

english, 2016

28

ESTIMATION FOR THE PREDICTION OF POINT PROCESSES WITH MANY COVARIATES

Sancetta, Alessio

Journal:

Econometric Theory

Year:

2017

Language:

english

File:

PDF, 296 KB

english, 2017

29

Consistency Results for Stationary Autoregressive Processes With Constrained Coefficients

Sancetta, Alessio

Journal:

IEEE Transactions on Information Theory

Year:

2019

Language:

english

File:

PDF, 53 KB

english, 2019

30

Consistency Results for Stationary Autoregressive Processes With Constrained Coefficients

Sancetta, Alessio

Journal:

IEEE Transactions on Information Theory

Year:

2019

File:

PDF, 53 KB

2019