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Details about Valentyn Panchenko

Homepage:http://research.economics.unsw.edu.au/vpanchenko
Workplace:School of Economics, UNSW Business School, UNSW (Australia), (more information at EDIRC)

Access statistics for papers by Valentyn Panchenko.

Last updated 2016-03-24. Update your information in the RePEc Author Service.

Short-id: ppa214


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Working Papers

2015

  1. Now you see it, now you don’t: How to make the Allais Paradox appear, disappear, or reverse
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (1)

2013

  1. Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2013)
  2. Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2011

  1. Efficient estimation of parameters in marginals in semiparametric multivariate models
    Working Papers, Concordia University, Department of Economics Downloads View citations (1)
  2. Likelihood-based scoring rules for comparing density forecasts in tails
    Post-Print, HAL Downloads View citations (16)
    See also Journal Article in Journal of Econometrics (2011)

2010

  1. Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (4)
  2. Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (3)
    See also Journal Article in Journal of Evolutionary Economics (2013)
  3. Out-of-sample comparison of copula specifications in multivariate density forecasts
    Post-Print, HAL Downloads View citations (5)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads
    Discussion Papers, School of Economics, The University of New South Wales (2008) Downloads View citations (2)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2008) Downloads View citations (1)

    See also Journal Article in Journal of Economic Dynamics and Control (2010)

2008

  1. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (5)
    Also in Discussion Papers, School of Economics, The University of New South Wales (2008) Downloads View citations (5)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads

2007

  1. Asset Prices, Traders' Behavior, and Market Design
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2009)
  2. Asset price dynamics with small world interactions under hetereogeneous beliefs
    Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia Downloads View citations (5)

2006

  1. E&F Chaos: a user friendly software package for nonlinear economic dynamics
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (4)
    See also Journal Article in Computational Economics (2008)
  2. Evaluating the Predictive Abilities of Semiparametric Multivariate Models
    Computing in Economics and Finance 2006, Society for Computational Economics
  3. Rank-based entropy tests for serial independence
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2008)

2005

  1. Nonparametric Tests for Serial Independence Based on Quadratic Forms
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2005) Downloads
  2. Test for serial independence based on quadratic forms
    Computing in Economics and Finance 2005, Society for Computational Economics

2004

  1. A new statistic and practical guidelines for nonparametric Granger causality testing
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2006)
  2. A note on the Hiemstra-Jones test for Granger non-causality
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (10)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2005)
  3. Goodness-of-fit test for copulas
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (8)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2005)
  4. Modified Hiemstra-Jones Test for Granger Non-causality
    Computing in Economics and Finance 2004, Society for Computational Economics
  5. Testing multivariate hypotheses with positive definite bilinear forms
    Computing in Economics and Finance 2004, Society for Computational Economics

Journal Articles

2015

  1. Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions
    Journal of Banking & Finance, 2015, 61, (S2), S241-S255 Downloads View citations (5)

2014

  1. Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
    Journal of Economic Dynamics and Control, 2014, 48, (C), 79-94 Downloads View citations (1)

2013

  1. Asset price dynamics with heterogeneous beliefs and local network interactions
    Journal of Economic Dynamics and Control, 2013, 37, (12), 2623-2642 Downloads View citations (2)
    See also Working Paper (2013)
  2. Efficiency of continuous double auctions under individual evolutionary learning with full or limited information
    Journal of Evolutionary Economics, 2013, 23, (3), 539-573 Downloads View citations (4)
    See also Working Paper (2010)

2011

  1. Likelihood-based scoring rules for comparing density forecasts in tails
    Journal of Econometrics, 2011, 163, (2), 215-230 Downloads View citations (32)
    See also Working Paper (2011)

2010

  1. Is there a symmetric nonlinear causal relationship between large and small firms?
    Journal of Empirical Finance, 2010, 17, (1), 23-38 Downloads View citations (8)
  2. Learning and adaptation's impact on market efficiency
    Journal of Economic Behavior & Organization, 2010, 76, (3), 635-653 Downloads View citations (9)
  3. Out-of-sample comparison of copula specifications in multivariate density forecasts
    Journal of Economic Dynamics and Control, 2010, 34, (9), 1596-1609 Downloads View citations (14)
    See also Working Paper (2010)

2009

  1. Asset prices, traders' behavior and market design
    Journal of Economic Dynamics and Control, 2009, 33, (5), 1073-1090 Downloads View citations (26)
    See also Working Paper (2007)
  2. Time-varying market integration and stock and bond return concordance in emerging markets
    Journal of Banking & Finance, 2009, 33, (6), 1014-1021 Downloads View citations (29)

2008

  1. E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics
    Computational Economics, 2008, 32, (1), 221-244 Downloads View citations (14)
    See also Working Paper (2006)
  2. Rank-based Entropy Tests for Serial Independence
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (1), 1-21 Downloads
    See also Working Paper (2006)

2007

  1. Impact of Analysts' Recommendations on Stock Performance
    The European Journal of Finance, 2007, 13, (2), 165-179 Downloads View citations (1)

2006

  1. A new statistic and practical guidelines for nonparametric Granger causality testing
    Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1647-1669 Downloads View citations (134)
    See also Working Paper (2004)

2005

  1. A Note on the Hiemstra-Jones Test for Granger Non-causality
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (2), 1-9 Downloads View citations (40)
    See also Working Paper (2004)
  2. Goodness-of-fit test for copulas
    Physica A: Statistical Mechanics and its Applications, 2005, 355, (1), 176-182 Downloads View citations (16)
    See also Working Paper (2004)
 
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