Alessio Sancetta

673 total citations
31 papers, 373 citations indexed

About

Alessio Sancetta is a scholar working on Finance, Economics and Econometrics and Statistics and Probability. According to data from OpenAlex, Alessio Sancetta has authored 31 papers receiving a total of 373 indexed citations (citations by other indexed papers that have themselves been cited), including 20 papers in Finance, 12 papers in Economics and Econometrics and 12 papers in Statistics and Probability. Recurrent topics in Alessio Sancetta's work include Financial Risk and Volatility Modeling (14 papers), Statistical Methods and Inference (12 papers) and Financial Markets and Investment Strategies (9 papers). Alessio Sancetta is often cited by papers focused on Financial Risk and Volatility Modeling (14 papers), Statistical Methods and Inference (12 papers) and Financial Markets and Investment Strategies (9 papers). Alessio Sancetta collaborates with scholars based in United Kingdom, United States and Germany. Alessio Sancetta's co-authors include Stephen Satchell, Alexander Kurov, Georg Strasser, Oliver Linton and Heather Battey and has published in prestigious journals such as IEEE Transactions on Information Theory, Journal of Econometrics and Journal of Financial and Quantitative Analysis.

In The Last Decade

Alessio Sancetta

28 papers receiving 360 citations

Peers

Alessio Sancetta

FINAN

SP

EE

GEEF

MSOR

Abderrahim Taamouti United Kingdom

Éric Bouyé United Kingdom

Paramsothy Silvapulle Australia

Carsten Jentsch Germany

Robert Stelzer Germany

Pavel Krupskii Canada

Zhibiao Zhao United States

Beatriz Vaz de Melo Mendes Brazil

Rolf Tschernig Germany

Lorenzo Pascual Spain

Abderrahim Taamouti United Kingdom

Alessio Sancetta

298 ×1.3

FINAN

104 ×0.8

SP

256 ×2.2

EE

115 ×1.6

GEEF

32 ×0.6

MSOR

Citations per year, relative to Alessio Sancetta Alessio Sancetta (= 1×) peers Abderrahim Taamouti

Countries citing papers authored by Alessio Sancetta

Since Specialization

Citations

This map shows the geographic impact of Alessio Sancetta's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Alessio Sancetta with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Alessio Sancetta more than expected).

Fields of papers citing papers by Alessio Sancetta

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Alessio Sancetta. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Alessio Sancetta. The network helps show where Alessio Sancetta may publish in the future.

Co-authorship network of co-authors of Alessio Sancetta

This figure shows the co-authorship network connecting the top 25 collaborators of Alessio Sancetta. A scholar is included among the top collaborators of Alessio Sancetta based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Alessio Sancetta. Alessio Sancetta is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

1.

Sancetta, Alessio, et al.. (2024). Consistent causal inference for high-dimensional time series. Journal of Econometrics. 246(1-2). 105902–105902. 2 indexed citations

2.

Sancetta, Alessio, et al.. (2023). Estimation of an Order Book Dependent Hawkes Process for Large Datasets. Journal of Financial Econometrics. 22(4). 1098–1129. 3 indexed citations

3.

Sancetta, Alessio, et al.. (2022). ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS. Econometric Theory. 39(5). 989–1008.

4.

Sancetta, Alessio. (2021). Intraday Trades Profile Estimation: An Intensity Approach. Journal of Financial Econometrics. 21(3). 651–677. 1 indexed citations

5.

Sancetta, Alessio, et al.. (2020). Empirical Asset Pricing with Functional Factors. SSRN Electronic Journal.

6.

Kurov, Alexander, et al.. (2019). Drift Begone! Release Policies and Preannouncement Informed Trading. SSRN Electronic Journal. 1 indexed citations

7.

Sancetta, Alessio. (2019). Intraday End-of-Day Volume Prediction. Journal of Financial Econometrics. 19(3). 472–495. 2 indexed citations

8.

Kurov, Alexander, et al.. (2015). Price Drift Before U.S. Macroeconomic News: Private Information About Public Announcements?. SSRN Electronic Journal. 13 indexed citations

9.

Battey, Heather & Alessio Sancetta. (2013). Conditional estimation for dependent functional data. Journal of Multivariate Analysis. 120. 1–17. 2 indexed citations

10.

Sancetta, Alessio. (2013). A Recursive Algorithm for Mixture of Densities Estimation. IEEE Transactions on Information Theory. 59(10). 6893–6906. 2 indexed citations

11.

Sancetta, Alessio, et al.. (2009). Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions. BIROn (Birkbeck, University of London). 1(2). 1 indexed citations

12.

Sancetta, Alessio. (2009). Nearest neighbor conditional estimation for Harris recurrent Markov chains. Journal of Multivariate Analysis. 100(10). 2224–2236. 5 indexed citations

13.

Sancetta, Alessio. (2009). RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA. Econometric Theory. 26(2). 598–631. 11 indexed citations

14.

Sancetta, Alessio. (2008). Strong law of large numbers for pairwise positive quadrant dependent random variables. Statistical Inference for Stochastic Processes. 12(1). 55–64. 2 indexed citations

15.

Sancetta, Alessio. (2008). Bootstrap model selection for possibly dependent and heterogeneous data. Annals of the Institute of Statistical Mathematics. 62(3). 515–546.

16.

Sancetta, Alessio. (2007). Sample covariance shrinkage for high dimensional dependent data. Journal of Multivariate Analysis. 99(5). 949–967. 18 indexed citations

17.

Sancetta, Alessio. (2007). Nonparametric estimation of distributions with given marginals via Bernstein–Kantorovich polynomials: L1 and pointwise convergence theory. Journal of Multivariate Analysis. 98(7). 1376–1390. 15 indexed citations

18.

Sancetta, Alessio. (2007). Weak Convergence of Laws on ℝ K with Common Marginals. Journal of Theoretical Probability. 20(2). 371–380. 3 indexed citations

19.

Sancetta, Alessio & Stephen Satchell. (2004). THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS. Econometric Theory. 20(3). 163 indexed citations

20.

Sancetta, Alessio & Stephen Satchell. (2004). Calculating hedge fund risk: the draw down and the maximum draw down. Applied Mathematical Finance. 11(3). 259–282. 4 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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