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Valerio Potì

Per un'Europa coesa, libera, prospera ed in pace

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PUBLISHED WORK

PUBBLICAZIONI SCIENTIFICHE

Indicatori sintetici di produttività e qualità della produzione scientifica:

  • Numero di citazioni secondo Scopus: 540 (per via dell’accento nel cognome, non contemplato sulle tastiere in Inglese, questo numero è sottostimato)

  • Scopus H-Index: 11

Articoli in riviste di fascia A secondo la classificazione ANVUR:

  1. “Assessing Network Risk with FRM: Links with Pricing Kernel Volatility and Application to Cryptocurrencies” (con W. Härdle e R. Wang), Quantitative Finance (in stampa), 2024. 

  2. “Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns” (con Y. Chen), Economics Letters 235, 2024. [ISI Journal Citation Reports® Impact Factor: 2,000]

  3. “Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour” (con R. Caferra ed A. Morone), Economics Letters 218, 2022. [ISI Journal Citation Reports® Impact Factor: 2,000]

  4. “Food Prices, Ethics and Forms of Speculation”, con D. Bredin and E. Salvador, Journal of Business Ethics 179, 495-509, 2022 [ISI Journal Citation Reports® Impact Factor: 6,331].

  5. “Shall the winning last? A study of recent bubbles and persistence” (con A. Jalan and R. Matkovskyy), Finance Research Letters 45, 102-162, 2022 [ISI Journal Citation Reports® Impact Factor: 9,848].

  6. “Nonparametric Tests for Superior Predictive Ability”, con S. Karabati, S. Arvanitis and T. Post, International Journal of Forecasting 37(2), 2021. [ISI Journal Citation Reports® Impact Factor: 7,022]

  7. “Precautionary motives for private firms’ cash holdings” (con P. Pattitoni e B. Petracci), International Review of Economics & Finance 68, 150–166, 2020. [ISI Journal Citation Reports® Impact Factor: 3,399]

  8. “Predictability and Pricing Efficiency in Forward and Spot, Developed and Emerging Currency Markets” (con T. Conlon e R. Levich), Journal of International Money and Finance 107, 2019. 

  9. “A New Tight and General Bound on Return Predictability”, Economics Letters 162, 140–145, 2018. [ISI Journal Citation Reports® Impact Factor: 2,000]

  10. “The price of shelter: Downside risk reduction with precious metals” (con D. Bredin e T. Conlon), International Review of Financial Analysis 49, 48–58, 2017. [56 citazioni secondo Google Scholar; ISI Journal Citation Reports® Impact Factor: 8,235]

  11. “Predictability and Diversification Benefits of Investing in Commodity and Currency Futures” (con J. Cotter ed E. Eyiah-Donkor), International Review of Financial Analysis 50, 52-66, 2017. [ISI Journal Citation Reports® Impact Factor: 8,235]

  12. “Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood” (con T. Post), Management Science, 63:1, 153-165, 2016. [Management Science è classificato come una rivista di livello “4 star” dall’Association of Business School (ABS); ISI Journal Citation Reports® Impact Factor: 6,172]

  13. “Predictability and ‘Good Deals’ in Currency Markets” (con R.M. Levich), International Journal of Forecasting 31, 454-472, 2015. [ISI Journal Citation Reports® Impact Factor: 7,022]

  14. “What Drives Currency Predictability” (con A.R. Siddique), Journal of International Money and Finance 36, 2013. [ISI Journal Citation Reports® Impact Factor: 2,762]

  15. “The Coskewness Puzzle” (con DengLi Wang), Journal of Banking and Finance 34(8), 2010.

  16. “Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro-Area” (con C. Kearney), European Financial Management 14(3), 2008.

Articoli in riviste di livello pari almeno a 3 secondo la classificazione della “Association of Business Schools” (ABS /AJG):

  1. “Revisiting the Silver Crisis” (con D. Bredin ed E. Salvador), Journal of Commodity Markets 30, 2022. [ISI Journal Citation Reports® Impact Factor: 3,317] 

  2. “Commodity Futures Return Predictability and Intertemporal Asset Pricing” (con J. Cotter ed E. Eyiah-Donkor), Journal of Commodity Markets, in stampa, 2022. [ISI Journal Citation Reports® Impact Factor: 3,317] 

  3. “Measuring Excess-Predictability of Asset Returns and Market Efficiency over Time” (con R.M. Levich and T. Conlon), Economics Letters 175, 92-96, 2019.

  4. “Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon” (con D. Bredin e T. Conlon), International Review of Financial Analysis 41, 320-328, 2015. [citato 232 volte secondo Google Scholar; ISI Journal Citation Reports® Impact Factor: 8,235]

  5. “Predictability, Trading Rule Profitability and Learning in Currency Markets” (con R.M. Levich, P. Pattitoni e P. Cucurachi), International Review of Financial Analysis 33, 2014. [ISI Journal Citation Reports® Impact Factor: 8,235]

Pubblicazioni in altre riviste scientifiche (comunque avvalentesi di revisione da pari):

  1. “Cost of Entrepreneurial Capital and Under-diversification: A Euro-Mediterranean Perspective” (con P. Pattitoni, B. Petracci, e M. Spisni), Research In International Business and Finance 27(1), 2013 [ISI Journal Citation Reports® Impact Factor: 6,143]

  2. “COVID risk narratives: a computational linguistic approach to the econometric identification of narrative risk during a pandemic” (con Chen, Y., D. Bredin e R. Matkovskyy), Digital Finance 4, 17-61, 2022.

  3. “Discussion on: “Programmable money: next generation blockchain based conditional payments” by Ingo Weber and Mark Staples”, Digital Finance 4, 139-140, 2022.

  4. “Management fee base: financing and investment decisions: The Case of REITs” (con P. Pattitoni, B. Petracci, e M. Spisni), Journal of European Real Estate Research 8, 2015.

  5. “The Role of Orthogonal Polynomials in Adjusting Hyperpolic Secant and Logistic Distributions to Analyse Financial Asset Returns” (con G. Zoia e L. Bagnato), Statistical Papers 56(4), 1205-1234, 2015.

  6. “Orthogonal Polynomials for Tailoring Density Functions to Excess Kurtosis, Asymmetry and Dependence” (con G. Zoia e M. Faliva), Communications in Statistics: Theory and Methods 45(1), 49-62, 2014. 

  7. “The signature of sentiment in conditional consumption CAPM estimates: A note” (con H. Shefrin), Journal of Behavioural and Experimental Finance 2, 2014. [ISI Journal Citation Reports® Impact Factor: 8,222]

  8. “From Boom to Bust: A Post-Celtic Tiger Analysis of the Norms, Values and Roles of Irish Financial Journalists” (con D. Fahy e M. O’Brian), Irish Communications Review 12, 2010.

  9. “Correlation Dynamics in European Equity Markets” (con C. Kearney), Research In International Business and Finance 20(3), 2006. [2* ABS; ISI Journal Citation Reports® Impact Factor: 6,143]

  10. “International Portfolio Formation, Skewness and the Role of Gold” (con B. Lucey e E. Tully), Frontiers in Finance and Economics 3(1), 2006. 

  11. “Discount Factor and Conditional Return Volatility”, Applied Financial Economics Letters (ora fuso in Applied Economics Letters) 1(6), 2005. [ISI Journal Citation Reports® Impact Factor: 1.287]

Contributi in curatele e saggi (sottoposti a revisione da pari)

  1. “Evaluation of Value-at-Risk Models: An Empirical Likelihood Approach” (con D. Lynch, A. Siddique e F. Campobasso), in D. Lynch, I. Hasan and A. Siddique, (eds), Validation of Risk Management Models for Financial Institutions, ISBN: 9781108608602, Cambridge University Press, Cambridge, 2023. [https://www.cambridge.org/core/books/validation-of-risk-management-models-for-financial-institutions/643DA518B981853D142806EEA5E1E7AA]

  2. “Performance Attribution for Chinese Investment Vehicles: An Application to Open-End Active Mutual Funds” (con Dengli Wang), in Gregoriou, G.N. and D.K.C. Lee (eds.), Handbook of Asian Finance: REITs, Trading, and Fund Performance, Elsevier, 2014.

  3. “Tailoring the logistic density to fit the distribution of financial asset returns” (con M.G. Zoia) in J. Bozeman, V. Girardin and C. H. Skiadas (eds), New Perspectives on Stochastic Modeling and Data Analysis (pp. 1-15), ISAST, 2014.

  4. “A DCC-VARMA Model of Portfolio Risk”, in Gregoriou, G.N. (eds.), Stock Market Volatility, Chapman Hall-CRC/Taylor & Francis, 2009.

  5. “Credit Risk Capital Allocation and Performance Measurement in Banking Institutions”, in Gregoriou, G.N. and C. Hoppe (eds.), The Handbook of Credit Portfolio Management, McGraw-Hill, 2008.

  6. “Performance Persistence of Unit Funds: Evidence from a Small, Integrated Market” (con E. Duffy), in Gregoriou, G.N. (eds.), Performance of Mutual Funds, Palgrave MacMillan, 2006.

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