Valerio Potì

University College Dublin

Professor of Finance

M. Smurfit School of Business

Carysfort Avenue, Blackrock

Dublin, Co Dublin

Ireland

  • University College Dublin

SCHOLARLY PAPERS

34

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Scholarly Papers (34)

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1.

International Portfolio Formation, Skewness and the Role of Gold

Downloads 310 ( 14,023)

International Portfolio Formation, Skewness and the Role of Gold

IIIS Discussion Paper No. 30
Number of pages: 23 Posted: 05 Jul 2005
Brian M. Lucey, Edel Tully and Valerio Potì
Trinity Business School, Trinity College Dublin, Trinity College (Dublin) - School of Business Studies and University College Dublin
Downloads 310 (95,300)

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Portfolio allocation, skewness, gold

2.

Technical Trading, Predictability and Learning in Currency Markets

NYU Working Paper No. 2451/31452
Number of pages: 45 Posted: 28 Jan 2012 Last Revised: 10 Sep 2013
Valerio Potì, Richard M. Levich and Pierpaolo Pattitoni
University College Dublin, New York University (NYU) - Department of Finance and University of Bologna - Department of Statistical Sciences
Downloads 852 (26,769)

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3.

The Dcc-Varma Model: A Simple Estimation Procedure of the Conditional Correlation Dynamics Parameters for Large Variance-Covariance Matrices

Number of pages: 7 Posted: 22 Oct 2003
Valerio Potì
University College Dublin
Downloads 521 (51,541)

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Correlation Dynamics, GARCH, Multivariate Estimation

4.

Correlation Dynamics in European Equity Markets

Research in International Business and Finance, Vol. 20, No. 3, pp. 305-321, 2006, EFA 2003 Annual Conference Paper No. 744
Number of pages: 25 Posted: 06 Aug 2003 Last Revised: 05 Jan 2011
Colm Kearney and Valerio Potì
Monash University - Monash Business School and University College Dublin
Downloads 512 (52,667)

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Correlation dynamics, GARCH, idiosyncratic risk

5.

Predictability and 'Good Deals' in Currency Markets

Downloads 413 ( 68,668)

Predictability and 'Good Deals' in Currency Markets

Number of pages: 54 Posted: 22 Dec 2008
Richard M. Levich and Valerio Potì
New York University (NYU) - Department of Finance and University College Dublin
Downloads 258 (115,612)

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Foreign Exchange, Predictability, Filter Rules, Market Efficiency

Predictability and 'Good Deals' in Currency Markets

NYU Working Paper No. FIN-08-007
Number of pages: 51 Posted: 09 Mar 2009
Richard M. Levich and Valerio Potì
New York University (NYU) - Department of Finance and University College Dublin
Downloads 137 (207,214)

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Predictability and 'Good Deals' in Currency Markets

NBER Working Paper No. w14597
Number of pages: 55 Posted: 29 Dec 2008 Last Revised: 27 Jan 2009
Richard M. Levich and Valerio Potì
New York University (NYU) - Department of Finance and University College Dublin
Downloads 18 (542,058)

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6.

Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon

International Review of Financial Analysis, Vol. 41, 2015
Number of pages: 50 Posted: 21 Aug 2014 Last Revised: 31 Mar 2016
Don Bredin, Thomas Conlon and Valerio Potì
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and University College Dublin
Downloads 327 (90,082)

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Downside Risk, Gold, Hedge, Horizon, Safe Haven, Wavelet Analysis

7.

The Coskewness Puzzle

Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 19 Oct 2005 Last Revised: 07 Dec 2009
Valerio Potì and Dengli Wang
University College Dublin and affiliation not provided to SSRN
Downloads 310 (95,527)

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Coskewness, asset pricing

8.

Coskewness and Conditional Asset Pricing

Downloads 227 (132,212)

Coskewness and Conditional Asset Pricing

Number of pages: 19 Posted: 21 Apr 2005
Valerio Potì
University College Dublin
Downloads 147 (195,673)

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Conditional asset pricing, coskewness

Coskewness and Conditional Asset Pricing

Number of pages: 20 Posted: 05 Mar 2005
Valerio Potì
University College Dublin
Downloads 80 (302,448)

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Asset Pricing, Coskewness

9.

Commodity Pricing: Evidence from Rational and Behavioral Models

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-1
Number of pages: 64 Posted: 08 May 2018 Last Revised: 01 Aug 2018
Don Bredin, Valerio Potì and Enrique Salvador
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 222 (135,653)

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Commodity prices, financialization, speculation

10.

Have European Stocks Become More Volatile? An Empirical Investigation of Volatilities and Correlations in Emu Equity Markets at the Firm, Industry and Market Level

Number of pages: 35 Posted: 10 Nov 2004
Colm Kearney and Valerio Potì
Monash University - Monash Business School and University College Dublin
Downloads 193 (154,147)

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Correlation dynamics, idiosyncratic risk, asset pricing

11.

Stochastic Efficiency Analysis using Relative Entropy and Empirical Likelihood

Number of pages: 26 Posted: 10 Feb 2017
Thierry Post and Valerio Potì
Graduate School of Business of Nazarbayev University and University College Dublin
Downloads 176 (167,443)

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Stochastic Dominance, utility theory, Relative Entropy, Empirical Likelihood, Linear Programming, portfolio theory, asset pricing

12.

Predictability and Diversification Benefits of Investing in Commodity and Currency Futures

Number of pages: 34 Posted: 02 Mar 2016 Last Revised: 11 Apr 2016
John Cotter, Emmanuel Eyiah-Donkor and Valerio Potì
University College Dublin, University College Dublin (UCD) - Michael Smurfit Graduate School of Business and University College Dublin
Downloads 155 (186,758)

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Portfolio choice, Asset classes, Spanning tests, Predictability, Performance evaluation

13.

What Drives Currency Predictability?

Number of pages: 52 Posted: 08 Oct 2012 Last Revised: 01 Apr 2013
Valerio Potì and Akhtar R. Siddique
University College Dublin and Government of the United States of America - Risk Analysis Division
Downloads 148 (194,165)

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Foreign Exchange, Predictability, Market Efficiency

14.

Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area

Downloads 146 (196,273)

Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area

IIIS Discussion Paper No. 132
Number of pages: 46 Posted: 12 Aug 2006
Colm Kearney and Valerio Potì
Monash University - Monash Business School and University College Dublin
Downloads 144 (198,999)

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Idiosyncratic risk, correlation, portfolio management, asset pricing

Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area

European Financial Management, Vol. 14, Issue 3, pp. 419-444, June 2008
Number of pages: 26 Posted: 13 May 2008
Colm Kearney and Valerio Potì
Monash University - Monash Business School and University College Dublin
Downloads 2 (655,418)
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15.

Management Fee Base: Financing and Investment Decisions

Journal of European Real Estate Research, 8(1)
Number of pages: 29 Posted: 17 Jun 2011 Last Revised: 10 Apr 2015
Pierpaolo Pattitoni, Barbara Petracci, Valerio Potì and Massimo Spisni
University of Bologna - Department of Statistical Sciences, University of Bologna- Department of Management, University College Dublin and University of Bologna - Department of Management
Downloads 141 (201,854)

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Managerial Incentives, Leverage, Investment, Real Estate Investment Trusts, Capital Structure

16.

The Greenspan Put

Number of pages: 37 Posted: 28 Jun 2017 Last Revised: 10 Jan 2019
Sandeep Dahiya, Bardia Kamrad, Valerio Potì and Akhtar R. Siddique
Georgetown University - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business, University College Dublin and Government of the United States of America - Risk Analysis Division
Downloads 138 (205,397)

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Fed Funds Rate, Implied Volatility, Volatility Skew Surface, Greenspan Put.

17.

Multiple Precautionary Motives for Private Firms’ Cash Holdings

Number of pages: 51 Posted: 27 Nov 2014 Last Revised: 22 Mar 2018
Valerio Potì, Pierpaolo Pattitoni and Barbara Petracci
University College Dublin, University of Bologna - Department of Statistical Sciences and University of Bologna- Department of Management
Downloads 133 (211,574)

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Cash holdings, Private firms, Financing policies

18.

A Note on Return Predictability and Price Bubbles

Downloads 133 (211,574)

A Note on Return Predictability and Price Bubbles

Number of pages: 21 Posted: 16 Feb 2009
Valerio Potì
University College Dublin
Downloads 68 (332,428)

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Bubbles, Equity Risk Premium, Predictability, GARCH

A Note on Return Predictability and Price Bubbles

Number of pages: 13 Posted: 18 Nov 2008
Valerio Potì
University College Dublin
Downloads 65 (340,645)

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bubbles, equity risk premium, predictability

19.

The Coskewness Puzzle in the Cross-Section of Industry Portfolio Returns

Number of pages: 52 Posted: 06 Mar 2006
Valerio Potì
University College Dublin
Downloads 126 (220,678)

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Asset Pricing, Coskewness

20.

A Stochastic Discount Factor Volatility Upper Bound in a Mean-Variance-Skewness World: No Good Deal Implications for Multi-Factor Models Estimates

Number of pages: 50 Posted: 22 Mar 2007
Valerio Potì
University College Dublin
Downloads 120 (228,956)

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Asset Pricing, Coskewness, Linear Pricing, Maximal Sharpe Ratios

21.

The Price of Shelter - Downside Risk Reduction with Precious Metals

Number of pages: 34 Posted: 05 Apr 2016 Last Revised: 21 Feb 2017
Don Bredin, Thomas Conlon and Valerio Potì
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and University College Dublin
Downloads 112 (240,711)

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Downside Risk, Precious Metals, Horizon, Safe Haven, Value-at-Risk

22.

Predictability and Good Deals in Emerging and Developed Currency Markets: The Role of Spot vs. Forward Speculation

Number of pages: 53 Posted: 12 Jun 2018
Richard M. Levich, Thomas Conlon and Valerio Potì
New York University (NYU) - Department of Finance, University College Dublin and University College Dublin
Downloads 100 (260,469)

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Predictability, Foreign Exchange, Filter Rules, Market Efficiency

23.

Arbitrage, Good Deals and Stochastic Discount Factor Restrictions on Multi-Factor Models With Coskewness

Number of pages: 51 Posted: 04 Mar 2007
Valerio Potì
University College Dublin
Downloads 95 (269,354)

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Asset Pricing, Coskewness, Linear Pricing, Maximal Sharpe Ratios

24.

Cost of Entrepreneurial Capital and Under-diversification: A Euro-Mediterranean Perspective

Downloads 78 (304,113)

Cost of Entrepreneurial Capital and Under-diversification: A Euro-Mediterranean Perspective

Research in International Business and Finance, 27(1):12-27, 2013
Number of pages: 34 Posted: 10 Jun 2010 Last Revised: 02 Jan 2013
Pierpaolo Pattitoni, Barbara Petracci, Valerio Potì and Massimo Spisni
University of Bologna - Department of Statistical Sciences, University of Bologna- Department of Management, University College Dublin and University of Bologna - Department of Management
Downloads 50 (387,642)

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Opportunity cost of capital, Commitment, Small and Medium Business, Entrepreneurship

Cost of Entrepreneurial Capital and Under-Diversification: A Euro-Mediterranean Perspective

Research in International Business and Finance, 27(1):12-27, 2013
Number of pages: 34 Posted: 03 Oct 2011 Last Revised: 12 Jul 2012
Pierpaolo Pattitoni, Barbara Petracci, Valerio Potì and Massimo Spisni
University of Bologna - Department of Statistical Sciences, University of Bologna- Department of Management, University College Dublin and University of Bologna - Department of Management
Downloads 28 (481,158)

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Opportunity cost of capital, Commitment, Small and Medium Business, Entrepreneurship

25.

Tailoring the Logistic Distribution to Fit the Empirical Distribution of Financial Asset Returns

Number of pages: 19 Posted: 06 Feb 2013
Valerio Potì and Maria Grazia Zoia
University College Dublin and Catholic University of the Sacred Heart of Milan
Downloads 74 (313,640)

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Orthogonal Polynomials vs. Moments, Kurtosis, Asymmetry, Between-squares Dependence

26.

GMM-Based Tests of Efficient Market Learning and an Application to Testing for a Small Firm Effect in Equity Pricing

Number of pages: 38 Posted: 06 Feb 2013 Last Revised: 15 Dec 2013
Valerio Potì and Akhtar R. Siddique
University College Dublin and Government of the United States of America - Risk Analysis Division
Downloads 56 (362,194)

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Asset Pricing, GMM, Learning, Size Effect

27.

Have European Stocks Become More Volatile

Number of pages: 32 Posted: 12 Mar 2005
Valerio Potì and Colm Kearney
University College Dublin and Monash University - Monash Business School
Downloads 54 (368,486)

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Correlation dynamics, idiosyncratic risk, asset pricing, portfolio management

28.

Measuring Excess-Predictability of Asset Returns and Market Efficiency over Time

Number of pages: 14 Posted: 02 Jan 2019
Richard M. Levich, Thomas Conlon and Valerio Potì
New York University (NYU) - Department of Finance, University College Dublin and University College Dublin
Downloads 52 (374,731)

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29.

A New Tight and General Bound on Return Predictability

Downloads 49 (384,473)

A New Tight and General Bound on Return Predictability

Economics Letters, Forthcoming
Number of pages: 18 Posted: 08 Nov 2017
Valerio Potì
University College Dublin
Downloads 37 (438,115)

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Predictability Bounds, Market Efficiency, Currency Strategies

A New Tight and General Bound on Return Predictability

Economics Letters, Forthcoming
Number of pages: 18 Posted: 27 Nov 2017
Valerio Potì
University College Dublin
Downloads 12 (580,952)

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Market Efficiency, Asset Return Predictabiltity, Foreign Exchange

30.

What Drives the Profitability of Momentum Strategies?

Number of pages: 36 Posted: 02 Feb 2017 Last Revised: 18 Sep 2017
Thomas Conlon, Richard M. Levich and Valerio Potì
University College Dublin, New York University (NYU) - Department of Finance and University College Dublin
Downloads 42 (409,170)

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Predictability, Momentum, Reversal, Horizon, Safe Havens, Market Efficiency

31.

Tailoring Density Functions via Orthogonal Polynomials

Number of pages: 20 Posted: 06 Feb 2013
Mario Faliva, Maria Grazia Zoia and Valerio Potì
Catholic University of the Sacred Heart of Milan, Catholic University of the Sacred Heart of Milan and University College Dublin
Downloads 29 (463,403)

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32.

Nonparametric Tests for Superior Predictive Ability

Number of pages: 60 Posted: 12 Oct 2018 Last Revised: 15 Jun 2019
Thierry Post, Valerio Potì, Stelios Arvanitis and Selcuk Karabati
Graduate School of Business of Nazarbayev University, University College Dublin, Athens University of Economics and Business and Koc University - College of Administrative Sciences and Economics
Downloads 24 (489,443)

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Forecast Comparison, Stochastic Dominance, Empirical Likelihood, Inflation Forecasting

33.

A Minimum Discrepancy Formulation of Stochastic Dominance Analysis and Implications for Asset Pricing

Posted: 21 Sep 2014 Last Revised: 12 Oct 2014
Valerio Potì
University College Dublin

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Asset Pricing, Stochastic Dominance, GMM, EL

34.

A Behavioral Perspective on the Privacy Calculus Model

Posted: 15 Aug 2013
Maria Moloney and Valerio Potì
University College Dublin (UCD) - College of Business and Law and University College Dublin

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privacy, risk perception, trust propensity, behavioral intention, social contract