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Sancetta, Alessio
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1
Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*
Sancetta, Alessio
;
Satchell, Steve E.
- In:
Applied mathematical finance
14
(
2007
)
3
,
pp. 227-242
Persistent link: https://www.econbiz.de/10008221753
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2
How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models
Hwang, Soosung
;
Satchell, Steve E.
;
Valls Pereira, Pedro L.
- In:
Journal of business finance & accounting : JBFA
34
(
2007
)
5
,
pp. 1002
Persistent link: https://www.econbiz.de/10007750908
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3
GARCH model with cross-sectional volatility: GARCHX models
Hwang, Soosung
;
Satchell, Steve E.
- In:
Applied financial economics
15
(
2005
)
3
,
pp. 203
Persistent link: https://www.econbiz.de/10007635927
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4
New test statistics for market timing with applications to emerging markets hedge funds
Sancetta, Alessio
;
Satchell, Stephen
- In:
The European journal of finance
11
(
2005
)
5
,
pp. 419-444
Persistent link: https://www.econbiz.de/10005920381
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5
A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS
Sancetta, Alessio
- In:
Econometric theory
26
(
2010
)
2
,
pp. 564-598
Persistent link: https://www.econbiz.de/10008388019
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6
Optimal tuning parameter estimation in maximum penalized likelihood method
Sancetta, Alessio
- In:
Annals of the Institute of Statistical Mathematics : AISM
62
(
2010
)
3
,
pp. 413-439
Persistent link: https://www.econbiz.de/10008399187
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7
Online forecast combinations of distributions: Worst case bounds
Sancetta, Alessio
- In:
Journal of econometrics
141
(
2007
)
2
,
pp. 621-651
Persistent link: https://www.econbiz.de/10007859775
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8
THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
Sancetta, Alessio
;
Satchell, Stephen
- In:
Econometric theory
20
(
2004
)
3
,
pp. 535-562
Persistent link: https://www.econbiz.de/10006963726
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9
Consistent estimation of a general nonparametric regression function in time series
Linton, Oliver
;
Sancetta, Alessio
- In:
Journal of econometrics
152
(
2009
)
1
,
pp. 70-79
Persistent link: https://www.econbiz.de/10008883213
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10
Consistent estimation of a general nonparametric regression function in time series
Linton, Oliver
;
Sancetta, Alessio
- In:
Journal of econometrics
152
(
2009
)
1
,
pp. 70
Persistent link: https://www.econbiz.de/10008301015
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