Details about Valerio Potì

Access statistics for papers by Valerio Potì.

Last updated 2024-10-09. Update your information in the RePEc Author Service.

Short-id: ppo218

Working Papers

2024

1. Evaluating Financial Relational Graphs: Interpretation Before Prediction
   Papers, arXiv.org

2023

2. Commodity futures return predictability and intertemporal asset pricing
   Post-Print, HAL View citations (2)
   Also in Working Papers, Geary Institute, University College Dublin (2020) View citations (2)
   See also Journal Article Commodity futures return predictability and intertemporal asset pricing, Journal of Commodity Markets, Elsevier (2023) View citations (2) (2023)
3. Sentiment, Productivity, and Economic Growth
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2022

4. COVID risk narratives: a computational linguistic approach to the econometric identification of narrative risk during a pandemic
   Post-Print, HAL View citations (3)
   See also Journal Article COVID risk narratives: a computational linguistic approach to the econometric identification of narrative risk during a pandemic, Digital Finance, Springer (2022) View citations (4) (2022)
5. Shall the winning last? A study of recent bubbles and persistence
   Post-Print, HAL View citations (2)
   See also Journal Article Shall the winning last? A study of recent bubbles and persistence, Finance Research Letters, Elsevier (2022) View citations (2) (2022)

2008

6. Predictability and 'Good Deals' in Currency Markets
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   See also Journal Article Predictability and ‘good deals’ in currency markets, International Journal of Forecasting, Elsevier (2015) View citations (7) (2015)

2006

7. Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area
   The Institute for International Integration Studies Discussion Paper Series, IIIS View citations (5)
   See also Journal Article Have European Stocks become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area, European Financial Management, European Financial Management Association (2008) View citations (31) (2008)

2005

8. Correlation Dynamics in European Equity Markets
   Finance, University Library of Munich, Germany View citations (19)
   See also Journal Article Correlation dynamics in European equity markets, Research in International Business and Finance, Elsevier (2006) View citations (39) (2006)
9. International Portfolio Formation, Skewness & the Role of Gold
   The Institute for International Integration Studies Discussion Paper Series, IIIS View citations (2)
   See also Journal Article International Portfolio Formation, Skewness & the Role of Gold, Frontiers in Finance and Economics, SKEMA Business School (2006) (2006)

2004

10. Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets
    The Institute for International Integration Studies Discussion Paper Series, IIIS View citations (7)

Journal Articles

2024

1. Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies
   Quantitative Finance, 2024, 24, (7), 975-992
2. Corrigendum to “The impact of ESG scores on the value relevance of fair value hierarchy of financial instruments: Evidence from European banks” [Res. Int. Bus. Financ. 71 (2024) 102451]
   Research in International Business and Finance, 2024, 72, (PA)
3. Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns
   Economics Letters, 2024, 235, (C)
4. The impact of ESG scores on the value relevance of fair value hierarchy of financial instruments: Evidence from European Banks
   Research in International Business and Finance, 2024, 71, (C)

2023

5. Commodity futures return predictability and intertemporal asset pricing
   Journal of Commodity Markets, 2023, 31, (C) View citations (2)
   See also Working Paper Commodity futures return predictability and intertemporal asset pricing, Post-Print (2023) View citations (2) (2023)
6. Revisiting the Silver Crisis
   Journal of Commodity Markets, 2023, 30, (C)

2022

7. COVID risk narratives: a computational linguistic approach to the econometric identification of narrative risk during a pandemic
   Digital Finance, 2022, 4, (1), 17-61 View citations (4)
   See also Working Paper COVID risk narratives: a computational linguistic approach to the econometric identification of narrative risk during a pandemic, Post-Print (2022) View citations (3) (2022)
8. Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour
   Economics Letters, 2022, 218, (C) View citations (4)
9. Discussion on: “Programmable money: next generation blockchain based conditional payments” by Ingo Weber and Mark Staples
   Digital Finance, 2022, 4, (2), 139-140
10. Food Prices, Ethics and Forms of Speculation
    Journal of Business Ethics, 2022, 179, (2), 495-509 View citations (4)
11. Shall the winning last? A study of recent bubbles and persistence
    Finance Research Letters, 2022, 45, (C) View citations (2)
    See also Working Paper Shall the winning last? A study of recent bubbles and persistence, Post-Print (2022) View citations (2) (2022)

2021

12. Nonparametric tests for Optimal Predictive Ability
    International Journal of Forecasting, 2021, 37, (2), 881-898 View citations (2)

2020

13. Precautionary motives for private firms’ cash holdings
    International Review of Economics & Finance, 2020, 68, (C), 150-166 View citations (2)
14. Predictability and pricing efficiency in forward and spot, developed and emerging currency markets
    Journal of International Money and Finance, 2020, 107, (C) View citations (1)

2019

15. Measuring excess-predictability of asset returns and market efficiency over time
    Economics Letters, 2019, 175, (C), 92-96 View citations (11)

2018

16. A new tight and general bound on return predictability
    Economics Letters, 2018, 162, (C), 140-145 View citations (7)

2017

17. Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood
    Management Science, 2017, 63, (1), 153-165 View citations (11)
18. Predictability and diversification benefits of investing in commodity and currency futures
    International Review of Financial Analysis, 2017, 50, (C), 52-66 View citations (6)
19. The price of shelter - Downside risk reduction with precious metals
    International Review of Financial Analysis, 2017, 49, (C), 48-58 View citations (49)

2016

20. Orthogonal polynomials for tailoring density functions to excess kurtosis, asymmetry, and dependence
    Communications in Statistics - Theory and Methods, 2016, 45, (1), 49-62 View citations (3)

2015

21. Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon
    International Review of Financial Analysis, 2015, 41, (C), 320-328 View citations (171)
22. Predictability and ‘good deals’ in currency markets
    International Journal of Forecasting, 2015, 31, (2), 454-472 View citations (7)
    See also Working Paper Predictability and 'Good Deals' in Currency Markets, NBER Working Papers (2008) View citations (3) (2008)
23. The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
    Statistical Papers, 2015, 56, (4), 1205-1234 View citations (9)

2014

24. Predictability, trading rule profitability and learning in currency markets
    International Review of Financial Analysis, 2014, 33, (C), 117-129 View citations (1)
25. The signature of sentiment in conditional consumption CAPM estimates: A note
    Journal of Behavioral and Experimental Finance, 2014, 2, (C), 1-9 View citations (1)

2013

26. Cost of entrepreneurial capital and under-diversification: A Euro-Mediterranean perspective
    Research in International Business and Finance, 2013, 27, (1), 12-27 View citations (7)
27. What drives currency predictability?
    Journal of International Money and Finance, 2013, 36, (C), 86-106 View citations (9)

2010

28. The coskewness puzzle
    Journal of Banking & Finance, 2010, 34, (8), 1827-1838 View citations (27)

2008

29. Have European Stocks become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area
    European Financial Management, 2008, 14, (3), 419-444 View citations (31)
    See also Working Paper Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area, The Institute for International Integration Studies Discussion Paper Series (2006) View citations (5) (2006)

2006

30. Correlation dynamics in European equity markets
    Research in International Business and Finance, 2006, 20, (3), 305-321 View citations (39)
    See also Working Paper Correlation Dynamics in European Equity Markets, Finance (2005) View citations (19) (2005)
31. International Portfolio Formation, Skewness & the Role of Gold
    Frontiers in Finance and Economics, 2006, 3, (1), 49-68
    See also Working Paper International Portfolio Formation, Skewness & the Role of Gold, The Institute for International Integration Studies Discussion Paper Series (2005) View citations (2) (2005)