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Changing correlation and equity portfolio diversification failure for linear factor models during market declines
Sancetta, Alessio; Satchell, Stephen - In: Applied mathematical finance 14 (2007) 3, pp. 227-242
Persistent link: https://www.econbiz.de/10003543026
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Cost of capital and regulator's preferences : investigation into a new method of estimating regulatory beta
Sancetta, Alessio (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002153214
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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. 419-443
Persistent link: https://www.econbiz.de/10003183281
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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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Bernstein approximations to the copula function and portfolio optimization
Sancetta, Alessio; Satchell, Stephen - 2001
Persistent link: https://www.econbiz.de/10001592277
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Changing correlation and portfolio diversification failure in the presence of large market losses
Sancetta, Alessio (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001764558
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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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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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THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
Sancetta, Alessio; Satchell, Stephen - In: Econometric Theory 20 (2004) 03, pp. 535-562
Persistent link: https://www.econbiz.de/10005140602
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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. 419-443
A new framework is provided for identifying market timing. The analysis focuses on the local joint history of the hedge fund with the benchmark. The approach is fully nonparametric. Therefore, it has the advantage of avoiding the misspecification problems so common in this literature. The test...
Persistent link: https://www.econbiz.de/10005471893