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Sample covariance shrinkage for high dimensional dependent data
Sancetta, Alessio (contributor) - 2006
Persistent link: https://www.econbiz.de/10003328154
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Nearest neighbor conditional estimation for Harris recurrent Markov chains
Sancetta, Alessio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003520013
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Intraday end-of-day volume prediction
Sancetta, Alessio - In: Journal of financial econometrics 19 (2021) 3, pp. 472-495
Persistent link: https://www.econbiz.de/10012654952
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Estimation for the prediction of point processes with many covariates
Sancetta, Alessio - In: Econometric theory 34 (2018) 3, pp. 598-627
Persistent link: https://www.econbiz.de/10011951015
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Intraday trades profile estimation : an intensity approach
Sancetta, Alessio - In: Journal of financial econometrics 21 (2023) 3, pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
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A nonparametric estimator for the covariance function of functional data
Sancetta, Alessio - In: Econometric theory 31 (2015) 6, pp. 1359-1381
Persistent link: https://www.econbiz.de/10011545550
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The Bernstein copula and its applications to modelling and approximations of multivariate distributions
Sancetta, Alessio; Satchell, Stephen - In: Econometric theory 20 (2004) 3, pp. 535-562
Persistent link: https://www.econbiz.de/10002068268
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Consistent estimation of a general nonparametric regression function in time series
Linton, Oliver; Sancetta, Alessio - In: Journal of econometrics 152 (2009) 1, pp. 70-78
Persistent link: https://www.econbiz.de/10003878797
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Empirical asset pricing with functional factors
Nadler, Philip; Sancetta, Alessio - In: Journal of financial econometrics 21 (2023) 4, pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457