EconPapers    
Economics at your fingertips  
 

Details about Valentyn Panchenko

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

Access statistics for papers by Valentyn Panchenko.

Last updated 2022-10-20. Update your information in the RePEc Author Service.

Short-id: ppa214


Jump to Journal Articles Chapters

Working Papers

2019

  1. Planar Beauty Contests
    Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (5)
    Also in Working Papers, University of California-Irvine, Department of Economics (2019) Downloads View citations (5)
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (5)

2018

  1. Estimation of a Scale-Free Network Formation Model
    Discussion Papers, School of Economics, The University of New South Wales Downloads
  2. Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in Journal of Economic Dynamics and Control (2019)

2016

  1. Efficient estimation of parameters in marginal in semiparametric multivariate models
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads View citations (1)
    Also in Working Papers, Concordia University, Department of Economics (2011) View citations (1)

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 (3)

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 (14)
    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. Likelihood-based scoring rules for comparing density forecasts in tails
    Post-Print, HAL Downloads View citations (70)
    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 (26)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads View citations (1)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2008) Downloads View citations (2)
    Discussion Papers, School of Economics, The University of New South Wales (2008) Downloads View citations (2)

    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
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2008) Downloads View citations (6)
    Discussion Papers, School of Economics, The University of New South Wales (2008) Downloads View citations (6)

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 (6)

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 (5)
    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
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (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 (3)
    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

2022

  1. Learning in two-dimensional beauty contest games: Theory and experimental evidence
    Journal of Economic Theory, 2022, 201, (C) Downloads View citations (1)
  2. On the Experimental Robustness of the Allais Paradox
    American Economic Journal: Microeconomics, 2022, 14, (1), 143-63 Downloads View citations (4)
  3. The role of information in a continuous double auction: An experiment and learning model
    Journal of Economic Dynamics and Control, 2022, 141, (C) Downloads View citations (2)

2019

  1. Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
    Journal of Economic Dynamics and Control, 2019, 101, (C), 211-238 Downloads View citations (7)
    See also Working Paper (2018)

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 (44)

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 (10)

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 (14)
    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 (17)
    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 (83)
    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 (20)
  2. Learning and adaptation's impact on market efficiency
    Journal of Economic Behavior & Organization, 2010, 76, (3), 635-653 Downloads View citations (11)
  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 (29)
    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 (44)
    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 (52)

2008

  1. E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics
    Computational Economics, 2008, 32, (1), 221-244 Downloads View citations (25)
    See also Working Paper (2006)
  2. Rank-based Entropy Tests for Serial Independence
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (1), 1-21 Downloads View citations (2)
    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 (2)

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 (428)
    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 (116)
    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 (25)
    See also Working Paper (2004)

Chapters

2006

  1. Heterogeneous Beliefs Under Different Market Architectures
    Springer View citations (3)
 
Page updated 2023-11-26