Details about Valentyn Panchenko

Access statistics for papers by Valentyn Panchenko.

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

Short-id: ppa214

Working Papers

2019

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

2018

2. Estimation of a Scale-Free Network Formation Model
   Discussion Papers, School of Economics, The University of New South Wales
3. Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
   Papers, arXiv.org View citations (4)
   See also Journal Article Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves, Journal of Economic Dynamics and Control, Elsevier (2019) View citations (9) (2019)

2016

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

2015

5. 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 View citations (3)

2013

6. Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions
   Discussion Papers, School of Economics, The University of New South Wales View citations (17)
   See also Journal Article Asset price dynamics with heterogeneous beliefs and local network interactions, Journal of Economic Dynamics and Control, Elsevier (2013) View citations (17) (2013)
7. Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2011

8. Likelihood-based scoring rules for comparing density forecasts in tails
   Post-Print, HAL View citations (69)
   See also Journal Article Likelihood-based scoring rules for comparing density forecasts in tails, Journal of Econometrics, Elsevier (2011) View citations (93) (2011)

2010

9. Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs
   CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (4)
10. 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 View citations (3)
    See also Journal Article Efficiency of continuous double auctions under individual evolutionary learning with full or limited information, Journal of Evolutionary Economics, Springer (2013) View citations (18) (2013)
11. Out-of-sample comparison of copula specifications in multivariate density forecasts
    Post-Print, HAL View citations (28)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) View citations (1)
    Discussion Papers, School of Economics, The University of New South Wales (2008) View citations (2)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2008) View citations (2)
    See also Journal Article Out-of-sample comparison of copula specifications in multivariate density forecasts, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (31) (2010)

2008

12. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
    Discussion Papers, School of Economics, The University of New South Wales View citations (6)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) View citations (6)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2008) View citations (6)

2007

13. Asset Prices, Traders' Behavior, and Market Design
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (1)
    See also Journal Article Asset prices, traders' behavior and market design, Journal of Economic Dynamics and Control, Elsevier (2009) View citations (44) (2009)
14. Asset price dynamics with small world interactions under hetereogeneous beliefs
    Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia View citations (6)

2006

15. 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 View citations (5)
    See also Journal Article E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics, Computational Economics, Springer (2008) View citations (25) (2008)
16. Evaluating the Predictive Abilities of Semiparametric Multivariate Models
    Computing in Economics and Finance 2006, Society for Computational Economics
17. Rank-based entropy tests for serial independence
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
    See also Journal Article Rank-based Entropy Tests for Serial Independence, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2008) View citations (2) (2008)

2005

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

2004

20. 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 View citations (3)
    See also Journal Article A new statistic and practical guidelines for nonparametric Granger causality testing, Journal of Economic Dynamics and Control, Elsevier (2006) View citations (486) (2006)
21. 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 View citations (10)
    See also Journal Article A Note on the Hiemstra-Jones Test for Granger Non-causality, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2005) View citations (125) (2005)
22. Goodness-of-fit test for copulas
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (8)
    See also Journal Article Goodness-of-fit test for copulas, Physica A: Statistical Mechanics and its Applications, Elsevier (2005) View citations (26) (2005)
23. Modified Hiemstra-Jones Test for Granger Non-causality
    Computing in Economics and Finance 2004, Society for Computational Economics
24. 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) View citations (4)
2. On the Experimental Robustness of the Allais Paradox
   American Economic Journal: Microeconomics, 2022, 14, (1), 143-63 View citations (10)
3. The role of information in a continuous double auction: An experiment and learning model
   Journal of Economic Dynamics and Control, 2022, 141, (C) View citations (4)

2019

4. 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 View citations (9)
   See also Working Paper Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves, Papers (2018) View citations (4) (2018)

2015

5. 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 View citations (48)

2014

6. 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 View citations (13)

2013

7. Asset price dynamics with heterogeneous beliefs and local network interactions
   Journal of Economic Dynamics and Control, 2013, 37, (12), 2623-2642 View citations (17)
   See also Working Paper Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions, Discussion Papers (2013) View citations (17) (2013)
8. Efficiency of continuous double auctions under individual evolutionary learning with full or limited information
   Journal of Evolutionary Economics, 2013, 23, (3), 539-573 View citations (18)
   See also Working Paper Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information, CeNDEF Working Papers (2010) View citations (3) (2010)

2011

9. Likelihood-based scoring rules for comparing density forecasts in tails
   Journal of Econometrics, 2011, 163, (2), 215-230 View citations (93)
   See also Working Paper Likelihood-based scoring rules for comparing density forecasts in tails, Post-Print (2011) View citations (69) (2011)

2010

10. Is there a symmetric nonlinear causal relationship between large and small firms?
    Journal of Empirical Finance, 2010, 17, (1), 23-38 View citations (21)
11. Learning and adaptation's impact on market efficiency
    Journal of Economic Behavior & Organization, 2010, 76, (3), 635-653 View citations (11)
12. Out-of-sample comparison of copula specifications in multivariate density forecasts
    Journal of Economic Dynamics and Control, 2010, 34, (9), 1596-1609 View citations (31)
    See also Working Paper Out-of-sample comparison of copula specifications in multivariate density forecasts, Post-Print (2010) View citations (28) (2010)

2009

13. Asset prices, traders' behavior and market design
    Journal of Economic Dynamics and Control, 2009, 33, (5), 1073-1090 View citations (44)
    See also Working Paper Asset Prices, Traders' Behavior, and Market Design, CeNDEF Working Papers (2007) View citations (1) (2007)
14. Time-varying market integration and stock and bond return concordance in emerging markets
    Journal of Banking & Finance, 2009, 33, (6), 1014-1021 View citations (53)

2008

15. E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics
    Computational Economics, 2008, 32, (1), 221-244 View citations (25)
    See also Working Paper E&F Chaos: a user friendly software package for nonlinear economic dynamics, CeNDEF Working Papers (2006) View citations (5) (2006)
16. Rank-based Entropy Tests for Serial Independence
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (1), 21 View citations (2)
    See also Working Paper Rank-based entropy tests for serial independence, CeNDEF Working Papers (2006) (2006)

2007

17. Impact of Analysts' Recommendations on Stock Performance
    The European Journal of Finance, 2007, 13, (2), 165-179 View citations (3)

2006

18. A new statistic and practical guidelines for nonparametric Granger causality testing
    Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1647-1669 View citations (486)
    See also Working Paper A new statistic and practical guidelines for nonparametric Granger causality testing, CeNDEF Working Papers (2004) View citations (3) (2004)

2005

19. A Note on the Hiemstra-Jones Test for Granger Non-causality
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (2), 9 View citations (125)
    See also Working Paper A note on the Hiemstra-Jones test for Granger non-causality, CeNDEF Working Papers (2004) View citations (10) (2004)
20. Goodness-of-fit test for copulas
    Physica A: Statistical Mechanics and its Applications, 2005, 355, (1), 176-182 View citations (26)
    See also Working Paper Goodness-of-fit test for copulas, CeNDEF Working Papers (2004) View citations (8) (2004)

Chapters

2006

1. Heterogeneous Beliefs Under Different Market Architectures
   Springer View citations (3)