Concepedia

Alessio Sancetta

AS

14

Publications

568

Citations

12

H-Index

2001

Active since

Affiliations

University of Cambridge(Current)

West Virginia University

Skidmore College

Royal Holloway University of London

European Central Bank

Alessio Sancetta is an author at University of Cambridge specializing in engineering, statistics, and business.

Top concepts

StatisticsEngineeringBusinessStatistical InferenceFinanceAsset PricingCopulasForecastingFinancial EconomicsPredictive Analytics

Publications per year

2001–2018

14

Publications

14

THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS

Alessio Sancetta, Stephen Satchell · Econometric Theory · 2004 · 267 citations

Bernstein Copula Density, Density Estimation, Statistical Foundation +12

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

Alexander Kurov, Alessio Sancetta, Georg Strasser et al. · Journal of Financial and Quantitative Analysis · 2018 · 83 citations · Full text

Superior Forecasting, Market Microstructure, Treasury Futures +17

Nearest neighbor conditional estimation for Harris recurrent Markov chains

Alessio Sancetta · Journal of Multivariate Analysis · 2009 · 31 citations

Engineering, Machine Learning, Pattern Recognition +6

Sample covariance shrinkage for high dimensional dependent data

Alessio Sancetta · Journal of Multivariate Analysis · 2007 · 26 citations

Engineering, High-dimensional Method, Statistical Inference +4

Universality of Bayesian Predictions

Alessio Sancetta · Bayesian Analysis · 2012 · 23 citations · Full text

Bayesian Statistic, Bayesian Statistics, Minimal Conditions +13

Rows per page

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