Browsing by Author "Sancetta, Alessio"
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Bernstein Approximations to the Copula Function and Portfolio Optimization
Sancetta, Alessio; Satchell, Stephen E. (Faculty of Economics, 20040616)The copula function is considered within the context of financial multivariate data sets that are not normally distributed. The Bernstein polynomial approximation to copulae is given and motivated by its desirable ... 
Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses
Sancetta, Alessio; Satchell, Stephen E. (Faculty of Economics, 20040616)We consider Sharpe�s one factor model of asset returns and its extension to K factors in order to explain theoretically why diversification can fail. This model can be used to explain nonlinear dependence amongst the ... 
Copula Based Monte Carlo Integration in Financial Problems
Sancetta, Alessio (Faculty of Economics, 20060314)A computational technique that transform integrals over RK, or some of its subsets, into the hypercube [0, 1]K can be exploited in order to solve integrals via Monte Carlo integration without the need to simulate from the ... 
Cost of Capital and Regulator’s Preferences: Investigation into a new method of estimating regulatory bias
Sancetta, Alessio; Satchell, Stephen E. (Faculty of Economics, 200407)When computing regulated prices, the standard method is the capital asset pricing model (CAPM) which involves the estimation of a single parameter: the beta of the company. Yet, these computational methods fail to take ... 
Forecasting Distributions with Experts Advice
Sancetta, Alessio (Faculty of Economics, 20060314)This paper considers forecasts of the distribution of data whose distribution function is possibly time varying. The forecast is achieved via time varying combinations of experts’ forecasts. We derive theoretical worse ... 
Forecasting Using Time Varying MetaElliptical Distributions with a Study of Commodity Futures Prices
Sancetta, Alessio; Nikanrova, Arina (Faculty of Economics, 20060314)We propose a methodological approach to the forecast and evaluation of multivariate distributions with time varying parameters. For reasons related to feasible inference attention is restricted to metaelliptical distributions. ... 
Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains
Sancetta, Alessio (Faculty of Economics, 200707)This paper is concerned with consistent nearest neighbor time series estimation for data generated by a Harris recurrent Markov chain. The goal is to validate nearest neighbor estimation in this general time series context, ... 
New Test Statistics for Market Timing with Application to Emerging markets
Sancetta, Alessio; Satchell, Stephen E. (Faculty of Economics, 20040616)New Test Statistics for Market Timing with Application to Emerging markets 
Nonparametric Estimation of Multivariate Distributions with Given Marginals
Sancetta, Alessio (Faculty of Economics, 20040616)Nonparametric estimation of the copula function using Bernstein polynomials is studied. Convergence in the uniform topology is established. From the nonparametric Bernstein copula, the nonparametric Bernstein copula density ... 
Online Forecast Combination for Dependent Heterogeneous Data
Sancetta, Alessio (Faculty of Economics, 200704)This paper studies a procedure to combine individual forecasts that achieve theoretical optimal performance. The results apply to a wide variety of loss functions and no conditions are imposed on the data sequences and the ... 
Universality of Bayesian Predictions
Sancetta, Alessio (Faculty of Economics, 200711)Given the sequential update nature of Bayes rule, Bayesian methods find natural application to prediction problems. Advances in computational methods allow to routinely use Bayesian methods in econometrics. Hence, there ...