Valentina
Raponi

Assistant Professor of Financial Management

• Ph.D. in Finance, Imperial College Business School
• Ph.D. in Methodological Statistics, University of Rome La Sapienza
• M.Sc in Econometrics and Mathematical Economics, London School of Economics and Political Science
• M.Sc in Statistics and Economics, University of Rome La Sapienza
• B.Sc in Statistics and Economics, University of Rome La Sapienza

Valentina Raponi is Assistant Professor at the Financial Management Department of IESE. She holds a Ph.D. in Finance from Imperial College Business School, a PhD in Methodological Statistics from the University of Rome La Sapienza, an MSc in Econometrics and Mathematical Economics from the London School of Economics and Political Science, an MSc in Statistics and Economics from the University of Rome La Sapienza and a BSc in Statistics and Economics from the University of Rome La Sapienza.

Her research interests include Financial Econometrics, Asset Pricing and Portfolio Choice, Econometric Theory and Machine Learning. Her dissertation has been published on the Review of Financial Studies.

Before joining IESE, Valentina has also worked as intern at the European Central Bank, the Bank of Italy and the Italian Ministry of Economy and Finance.

Areas of interest.

* Financial Econometrics
* Empirical asset pricing
* Asset pricing anomalies
* Portfolio Choice
* Econometric Theory
* Machine Learning

Publications

Journal Articles (refereed)

MERLO, L., PETRELLA, L., RAPONI, V. (2021). Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation. Journal of Banking & Finance, 133, Article 106248. doi:10.1016/j.jbankfin.2021.106248. MERLO, L., PETRELLA, L., RAPONI, V. (2020). Sectoral decomposition of CO2 world emissions. A Joint quantile regression approach. International Review of Environmental and Resource Economics, 14 (2-3), 197-239. doi:10.1561/101.00000116. RAPONI, V., ROBOTTI, C., ZAFFARONI, P. (2020). Testing Beta-Pricing Models Using Large Cross-Sections. The Review of Financial Studies, 33 (6), 2796-2842. doi:10.1093/rfs/hhz064. RAPONI, V., CENTONI, M., DEL PANTA, V., MARUOTTI, A. (2019). Concomitant-variable latent-class beta inflated models to assess students’ performance. An Italian case study. Social Indicators Research, 146, 7-18. doi:10.1007/s11205-018-1882-7. RAPONI, V., PETRELLA, L. (2019). Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress. JOURNAL OF MULTIVARIATE ANALYSIS, 173, 70-84. doi:10.1016/j.jmva.2019.02.008. RAPONI, V. (2019). Short‐term forecasts of economic activity. Are fortnightly factors useful? JOURNAL OF FORECASTING, 38 (3), 207-221. doi:10.1002/for.2565. RAPONI, V., MARUOTTI, A., LAGONA, F. (2016). Handling endogeneity and nonnegativity in correlated random effects models. Evidence from ambulatory expenditure. BIOMETRICAL JOURNAL, 58 (2), 280-302. doi:10.1002/bimj.201400121. RAPONI, V., MARTELLA, F., MARUOTTI, A. (2015). A biclustering approach to university performances. An Italian case study. Journal of Applied Statistics, 43 (1), 31-45. doi:10.1080/02664763.2015.1009005. RAPONI, V., FRALE, C. (2014). Revisions in official data and forecasting. Statistical Methods and Applications, 23, 451-472. doi:10.1007/s10260-014-0262-y.

Working Papers

KIM, S., RAPONI, V., ZAFFARONI, P. (2024). Testing for weak factors in asset pricing. RAPONI, V., ZAFFARONI, P. (2024). Dissecting anomalies in conditional asset pricing. RAPONI, V., UPPAL, R., ZAFFARONI, P. (2024). Robust Portfolio Choice.