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Valentyn Panchenko

Personal Details

First Name:Valentyn
Middle Name:
Last Name:Panchenko
Suffix:
RePEc Short-ID:ppa214
[This author has chosen not to make the email address public]
http://research.economics.unsw.edu.au/vpanchenko

Affiliation

School of Economics
UNSW Business School
UNSW Sydney

Sydney, Australia
http://www.economics.unsw.edu.au/
RePEc:edi:senswau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Mikhail Anufriev & John Duffy & Valentyn Panchenko, 2019. "Planar Beauty Contests," Working Papers 181907, University of California-Irvine, Department of Economics.
  2. Anton Kolotilin & Valentyn Panchenko, 2018. "Estimation of a Scale-Free Network Formation Model," Discussion Papers 2018-10, School of Economics, The University of New South Wales.
  3. Rupert Way & Franc{c}ois Lafond & Fabrizio Lillo & Valentyn Panchenko & J. Doyne Farmer, 2017. "Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves," Papers 1705.03423, arXiv.org, revised Aug 2018.
  4. Pavlo Blavatskyy & Andreas Ortmann & Valentyn Panchenko, 2015. "Now you see it, now you don’t: How to make the Allais Paradox appear, disappear, or reverse," Discussion Papers 2015-14, School of Economics, The University of New South Wales.
  5. Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2013. "Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions," Discussion Papers 2013-18, School of Economics, The University of New South Wales.
  6. Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy, & Dick van Dijk, 2013. "Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support," Tinbergen Institute Discussion Papers 13-061/III, Tinbergen Institute.
  7. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print hal-00834423, HAL.
  8. Valentyn Panchenko & Artem Prokhorov, 2011. "Efficient estimation of parameters in marginals in semiparametric multivariate models," Working Papers 11001, Concordia University, Department of Economics.
  9. Gerasymchuk, S. & Pavlov, O.V., 2010. "Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs," CeNDEF Working Papers 10-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  10. Anufriev, M. & Arifovic, J. & Ledyard, D. & Panchenko, V., 2010. "Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information," CeNDEF Working Papers 10-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  11. Diks, C.G.H. & Dijk, D. van & Panchenko, V., 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," CeNDEF Working Papers 08-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  12. Dijk, D. van & Diks, C.G.H. & Panchenko, V., 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," CeNDEF Working Papers 08-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  13. Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2007. "Asset price dynamics with small world interactions under hetereogeneous beliefs," Working Papers 149, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  14. Anufriev, M. & Panchenko, V., 2007. "Asset Prices, Traders' Behavior, and Market Design," CeNDEF Working Papers 07-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  15. Diks, C.G.H. & Hommes, C.H. & Panchenko, V. & Weide, R. van der, 2006. "E&F Chaos: a user friendly software package for nonlinear economic dynamics," CeNDEF Working Papers 06-15, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  16. Diks, C.G.H. & Panchenko, V., 2006. "Rank-based entropy tests for serial independence," CeNDEF Working Papers 06-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  17. Valentyn Panchenko, 2006. "Evaluating the Predictive Abilities of Semiparametric Multivariate Models," Computing in Economics and Finance 2006 382, Society for Computational Economics.
  18. Diks, C.G.H. & Panchenko, V., 2005. "Nonparametric Tests for Serial Independence Based on Quadratic Forms," CeNDEF Working Papers 05-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  19. Cees Diks & Valentyn Panchenko, 2005. "Test for serial independence based on quadratic forms," Computing in Economics and Finance 2005 279, Society for Computational Economics.
  20. Cees Diks & Valentyn Panchenko, 2004. "Modified Hiemstra-Jones Test for Granger Non-causality," Computing in Economics and Finance 2004 192, Society for Computational Economics.
  21. Diks, C.G.H. & Panchenko, V., 2004. "A note on the Hiemstra-Jones test for Granger non-causality," CeNDEF Working Papers 04-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  22. Panchenko, V., 2004. "Goodness-of-fit test for copulas," CeNDEF Working Papers 04-16, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  23. Valentyn Panchenko & Cees Diks, 2004. "Testing multivariate hypotheses with positive definite bilinear forms," Computing in Economics and Finance 2004 201, Society for Computational Economics.
  24. Diks, C.G.H. & Panchenko, V., 2004. "A new statistic and practical guidelines for nonparametric Granger causality testing," CeNDEF Working Papers 04-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.

Articles

  1. Pavlo Blavatskyy & Andreas Ortmann & Valentyn Panchenko, 2022. "On the Experimental Robustness of the Allais Paradox," American Economic Journal: Microeconomics, American Economic Association, vol. 14(1), pages 143-163, February.
  2. Anufriev, Mikhail & Duffy, John & Panchenko, Valentyn, 2022. "Learning in two-dimensional beauty contest games: Theory and experimental evidence," Journal of Economic Theory, Elsevier, vol. 201(C).
  3. Anufriev, Mikhail & Arifovic, Jasmina & Ledyard, John & Panchenko, Valentyn, 2022. "The role of information in a continuous double auction: An experiment and learning model," Journal of Economic Dynamics and Control, Elsevier, vol. 141(C).
  4. Way, Rupert & Lafond, François & Lillo, Fabrizio & Panchenko, Valentyn & Farmer, J. Doyne, 2019. "Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 211-238.
  5. Anufriev, Mikhail & Panchenko, Valentyn, 2015. "Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 241-255.
  6. Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014. "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 79-94.
  7. Panchenko, Valentyn & Gerasymchuk, Sergiy & Pavlov, Oleg V., 2013. "Asset price dynamics with heterogeneous beliefs and local network interactions," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2623-2642.
  8. Mikhail Anufriev & Jasmina Arifovic & John Ledyard & Valentyn Panchenko, 2013. "Efficiency of continuous double auctions under individual evolutionary learning with full or limited information," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 539-573, July.
  9. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, vol. 163(2), pages 215-230, August.
  10. Francis, Bill B. & Mougoué, Mbodja & Panchenko, Valentyn, 2010. "Is there a symmetric nonlinear causal relationship between large and small firms?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 23-38, January.
  11. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1596-1609, September.
  12. Goldbaum, David & Panchenko, Valentyn, 2010. "Learning and adaptation's impact on market efficiency," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 635-653, December.
  13. Panchenko, Valentyn & Wu, Eliza, 2009. "Time-varying market integration and stock and bond return concordance in emerging markets," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1014-1021, June.
  14. Anufriev, Mikhail & Panchenko, Valentyn, 2009. "Asset prices, traders' behavior and market design," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1073-1090, May.
  15. Diks Cees & Panchenko Valentyn, 2008. "Rank-based Entropy Tests for Serial Independence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-21, March.
  16. Cees Diks & Cars Hommes & Valentyn Panchenko & Roy Weide, 2008. "E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 221-244, September.
  17. Valentyn Panchenko, 2007. "Impact of Analysts' Recommendations on Stock Performance," The European Journal of Finance, Taylor & Francis Journals, vol. 13(2), pages 165-179.
  18. Diks, Cees & Panchenko, Valentyn, 2006. "A new statistic and practical guidelines for nonparametric Granger causality testing," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1647-1669.
  19. Diks Cees & Panchenko Valentyn, 2005. "A Note on the Hiemstra-Jones Test for Granger Non-causality," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-9, June.
  20. Panchenko, Valentyn, 2005. "Goodness-of-fit test for copulas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 176-182.

Chapters

  1. Mikhail Anufriev & Valentyn Panchenko, 2006. "Heterogeneous Beliefs Under Different Market Architectures," Lecture Notes in Economics and Mathematical Systems, in: Charlotte Bruun (ed.), Advances in Artificial Economics, chapter 1, pages 3-15, Springer.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (5) 2009-01-03 2009-01-17 2011-04-02 2016-04-30 2018-07-09. Author is listed
  2. NEP-FOR: Forecasting (5) 2008-06-07 2008-06-13 2008-06-21 2009-01-03 2009-01-17. Author is listed
  3. NEP-EXP: Experimental Economics (4) 2015-08-13 2019-06-17 2019-07-08 2020-08-10
  4. NEP-RMG: Risk Management (4) 2008-06-07 2008-06-13 2008-06-21 2017-05-14
  5. NEP-GTH: Game Theory (3) 2019-06-17 2019-07-08 2020-08-10
  6. NEP-NET: Network Economics (3) 2007-04-28 2013-07-15 2018-07-09
  7. NEP-ORE: Operations Research (2) 2008-06-07 2008-06-13
  8. NEP-URE: Urban and Real Estate Economics (2) 2013-07-15 2018-07-09
  9. NEP-CBE: Cognitive and Behavioural Economics (1) 2015-08-13
  10. NEP-EVO: Evolutionary Economics (1) 2020-08-10
  11. NEP-KNM: Knowledge Management and Knowledge Economy (1) 2018-07-09
  12. NEP-MIC: Microeconomics (1) 2019-07-08
  13. NEP-UPT: Utility Models and Prospect Theory (1) 2015-08-13

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