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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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Calculating hedge fund risk : the draw down and the maximum draw down
Sancetta, Alessio; Satchell, Stephen - In: Applied mathematical finance 11 (2004) 3, pp. 259-282
Persistent link: https://www.econbiz.de/10002243487
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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