Valerio Potì

University College Dublin

Professor of Finance

M. Smurfit School of Business

Carysfort Avenue, Blackrock

Dublin, Co Dublin

Ireland

http://https://people.ucd.ie/valerio.poti

  • University College Dublin

SCHOLARLY PAPERS

43

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56

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44

Scholarly Papers (43)

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1.

International Portfolio Formation, Skewness and the Role of Gold

Downloads 344 ( 17,267)
Citation 14

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 344 (121,314)
Citation 16

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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 904 (36,645)

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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 561 (68,759)

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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 529 (74,013)
Citation 10

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Correlation dynamics, GARCH, idiosyncratic risk

5.

Predictability and 'Good Deals' in Currency Markets

Downloads 430 ( 94,776)
Citation 7

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 260 (162,739)

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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 146 (274,319)

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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: 22 May 2022
Richard M. Levich and Valerio Potì
New York University (NYU) - Department of Finance and University College Dublin
Downloads 24 (684,037)

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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 381 (108,996)
Citation 15

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

7.

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 344 (122,482)
Citation 2

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Commodity prices, financialization, speculation

8.

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 321 (131,451)

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Coskewness, asset pricing

9.

Fed Put in the Equity Options Markets

Number of pages: 89 Posted: 28 Jun 2017 Last Revised: 24 Mar 2022
Sandeep Dahiya, Bardia Kamrad, Valerio Potì and Akhtar R. Siddique
Georgetown University - Department of Finance, Georgetown University - McDonough School of Business, University College Dublin and Office of the Comptroller of the Currency
Downloads 305 (138,800)
Citation 1

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

10.

Commodity Futures Return Predictability and Intertemporal Asset Pricing

Downloads 249 (170,342)
Citation 2

Commodity Futures Return Predictability and Intertemporal Asset Pricing

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-8
Number of pages: 55 Posted: 23 Oct 2020 Last Revised: 14 Jun 2021
John Cotter, Emmanuel Eyiah-Donkor and Valerio Potì
University College Dublin, Rennes School of Business and University College Dublin
Downloads 193 (216,129)
Citation 2

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Commodity futures returns; Predictability; Asset allocation; Macroeconomic risk; Intertemporal pricing

Commodity Futures Return Predictability and Intertemporal Asset Pricing

Number of pages: 44 Posted: 28 Apr 2022
John Cotter, Emmanuel Eyiah-Donkor and Valerio Potì
University College Dublin, Rennes School of Business and University College Dublin
Downloads 56 (502,407)

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Commodity futures, Return predictability, Asset allocation, Business cycle, Intertemporal asset pricing

11.

Coskewness and Conditional Asset Pricing

Downloads 239 (177,234)
Citation 1

Coskewness and Conditional Asset Pricing

Number of pages: 19 Posted: 21 Apr 2005
Valerio Potì
University College Dublin
Downloads 154 (262,541)
Citation 1

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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 85 (401,044)

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Asset Pricing, Coskewness

12.

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 199 (210,380)
Citation 1

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Correlation dynamics, idiosyncratic risk, asset pricing

13.

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 197 (212,285)
Citation 1

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

14.

Predictability and Diversification Benefits of Investing in Commodity and Currency Futures

International Review of Financial Analysis, Vol. 50, 2017
Number of pages: 34 Posted: 02 Mar 2016 Last Revised: 26 Aug 2019
John Cotter, Emmanuel Eyiah-Donkor and Valerio Potì
University College Dublin, Rennes School of Business and University College Dublin
Downloads 171 (239,928)
Citation 1

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

15.

The Impact of ESG Score on the Value Relevance of Fair Value Hierarchy: Evidence from European Banks

Number of pages: 31 Posted: 09 Feb 2022 Last Revised: 08 Mar 2022
Giuseppe Di Martino, Federica Miglietta and Valerio Potì
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Business Studies and Private Law, Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Business Studies and Private Law and University College Dublin
Downloads 165 (247,294)

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Bank, CSR, ESG, fair value hierarchy, value relevance

16.

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 163 (249,842)

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Cash holdings, Private firms, Financing policies

17.

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 Office of the Comptroller of the Currency
Downloads 163 (249,842)

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Foreign Exchange, Predictability, Market Efficiency

18.

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 157 (257,860)
Citation 1

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

19.

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

Downloads 155 (260,456)
Citation 10

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 153 (263,922)
Citation 10

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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 (898,697)

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20.

A Note on Return Predictability and Price Bubbles

Downloads 140 (282,419)

A Note on Return Predictability and Price Bubbles

Number of pages: 21 Posted: 16 Feb 2009
Valerio Potì
University College Dublin
Downloads 73 (438,385)

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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 67 (459,382)

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bubbles, equity risk premium, predictability

21.

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 138 (285,595)
Citation 3

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Asset Pricing, Coskewness

22.

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 136 (288,953)

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Asset Pricing, Coskewness, Linear Pricing, Maximal Sharpe Ratios

23.

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 135 (290,531)

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Predictability, Foreign Exchange, Filter Rules, Market Efficiency

24.

The Price of Shelter - Downside Risk Reduction with Precious Metals

International Review of Financial Analysis, 2007, 49, 48-58
Number of pages: 34 Posted: 05 Apr 2016 Last Revised: 20 Feb 2020
Don Bredin, Thomas Conlon and Valerio Potì
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and University College Dublin
Downloads 127 (304,244)
Citation 4

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

25.

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 98 (363,801)

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Asset Pricing, Coskewness, Linear Pricing, Maximal Sharpe Ratios

26.

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

Downloads 90 (383,557)

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 57 (498,285)

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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 33 (620,516)

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

27.

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 89 (386,167)

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

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 71 (439,687)
Citation 1

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29.

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 Office of the Comptroller of the Currency
Downloads 68 (449,799)

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Asset Pricing, GMM, Learning, Size Effect

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 67 (453,319)

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

31.

Shall the winning last? A Study of Recent Bubbles and Persistence

Number of pages: 34 Posted: 12 Mar 2021
Akanksha Jalan, Roman Matkovskyy and Valerio Potì
ESC Rennes School of Business, Rennes School of Business and University College Dublin
Downloads 66 (456,777)

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COVID19, bubble, persistence

32.

Nonparametric Tests for Superior Predictive Ability

Number of pages: 64 Posted: 12 Oct 2018 Last Revised: 08 Mar 2020
Stelios Arvanitis, Selcuk Karabati, Thierry Post and Valerio Potì
Athens University of Economics and Business, Koc University - College of Administrative Sciences and Economics, Graduate School of Business of Nazarbayev University and University College Dublin
Downloads 63 (467,578)
Citation 2

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Forecast Comparison, Stochastic Dominance, Empirical Likelihood, Inflation Forecasting

33.

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 60 (478,861)

Abstract:

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Correlation dynamics, idiosyncratic risk, asset pricing, portfolio management

34.

A New Tight and General Bound on Return Predictability

Downloads 57 (490,491)
Citation 1

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 40 (579,625)

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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 17 (742,726)
Citation 1

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Market Efficiency, Asset Return Predictabiltity, Foreign Exchange

35.

Crypto-Market Network In-Formation and Bitcoin Price Dynamics and Tail Behaviour

Number of pages: 10 Posted: 09 Apr 2022
Valerio Potì, Rocco Caferra and Andrea Morone
University College Dublin, University of Bari and affiliation not provided to SSRN
Downloads 50 (519,642)

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Cryptocurrencies, Network analysis, quantile regression

36.

Revisiting The Hunt Brothers Case

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 22-3
Number of pages: 16 Posted: 09 Feb 2022
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 40 (567,252)

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Commodity prices, manipulation

37.

Food Prices, Ethics and Forms of Speculation

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-9
Number of pages: 27 Posted: 26 Oct 2020
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 38 (577,422)

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Commodity prices, financialization, commodity speculation

38.

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 38 (577,422)
Citation 1

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39.

Does U.S. Investor Sentiment Attract Foreign Investors?

Number of pages: 9 Posted: 28 May 2021 Last Revised: 24 Jan 2022
Maurizio Montone, Valerio Potì and Remco C. J. Zwinkels
Utrecht University, University College Dublin and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 37 (582,805)

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Investor sentiment, Foreign direct investments, Financial development, Educational attaiment

40.

Optimal COVID Restrictions

Number of pages: 17 Posted: 24 Feb 2022
Maurizio Montone and Valerio Potì
Utrecht University and University College Dublin
Downloads 20 (694,112)

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Pandemic; Government response; Trust; Productivity; Public health.

41.

Revisiting the Silver Crisis

Number of pages: 17 Posted: 18 Feb 2022
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 6 (818,150)

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Commodity prices, manipulation

42.

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

43.

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