Alessio Sancetta

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A Recursive Algorithm for Mixture of Densities Estimation

Alessio Sancetta, 2013, IEEE Transactions on Information Theory.

Online Forecast Combination for Dependent Heterogeneous Data

Alessio Sancetta, Alessio Sancetta, 2007 .

Nearest neighbor conditional estimation for Harris recurrent Markov chains

Alessio Sancetta, Alessio Sancetta, 2009, J. Multivar. Anal..

Semiparametric estimation of a class of generalized linear models without smoothing

Alessio Sancetta, Alessio Sancetta, 2014, J. Multivar. Anal..

Weak conditions for shrinking multivariate nonparametric density estimators

Alessio Sancetta, Alessio Sancetta, 2013, J. Multivar. Anal..

Conditional estimation for dependent functional data

Alessio Sancetta, Heather Battey, Alessio Sancetta, 2013, J. Multivar. Anal..

Forecasting Distributions with Experts Advice

Alessio Sancetta, Alessio Sancetta, 2005 .

Consistency Results for Stationary Autoregressive Processes With Constrained Coefficients

Alessio Sancetta, Alessio Sancetta, 2017, IEEE Transactions on Information Theory.

Estimation in Reproducing Kernel Hilbert Spaces With Dependent Data

Alessio Sancetta, 2021, IEEE Transactions on Information Theory.

Intraday Trades Profile Estimation: An Intensity Approach

Alessio Sancetta, Alessio Sancetta, 2021, Journal of Financial Econometrics.

Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses

Alessio Sancetta, Stephen E. Satchell, 2003 .

Universality of Bayesian Predictions

Alessio Sancetta, Alessio Sancetta, 2007 .

Decoupling and Convergence to Independence with Applications to Functional Limit Theorems

Alessio Sancetta, Alessio Sancetta, 2004 .

Copula Based Monte Carlo Integration in Financial Problems

Alessio Sancetta, Alessio Sancetta, 2004 .

Bernstein Approximations to the Copula Function and Portfolio Optimization

Alessio Sancetta, Stephen E. Satchell, 2001 .

Consistent estimation of a general nonparametric regression function in time series

Alessio Sancetta, Oliver Linton, O. Linton, 2009 .

Greedy algorithms for prediction

Alessio Sancetta, Alessio Sancetta, 2016, 1602.01951.

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

Alessio Sancetta, Georg Strasser, Alexander Kurov, 2016, SSRN Electronic Journal.

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

Alessio Sancetta, S. Satchell, Alessio Sancetta, 2007 .