| A new statistic and practical guidelines for nonparametric Granger causality testing C Diks, V Panchenko Journal of Economic Dynamics and Control 30 (9-10), 1647-1669, 2006 | 560 | 2006 |
| A note on the Hiemstra-Jones test for Granger non-causality C Diks, V Panchenko Studies in nonlinear dynamics & econometrics 9 (2), 2005 | 206 | 2005 |
| Goodness-of-fit test for copulas V Panchenko Physica A: Statistical Mechanics and its Applications 355 (1), 176-182, 2005 | 121 | 2005 |
| Likelihood-based scoring rules for comparing density forecasts in tails C Diks, V Panchenko, D Van Dijk Journal of Econometrics 163 (2), 215-230, 2011 | 96 | 2011 |
| Time-varying market integration and stock and bond return concordance in emerging markets V Panchenko, E Wu Journal of Banking & Finance 33 (6), 1014-1021, 2009 | 80 | 2009 |
| E&F Chaos: a user friendly software package for nonlinear economic dynamics C Diks, C Hommes, V Panchenko, R Van Der Weide Computational Economics 32 (1-2), 221-244, 2008 | 65 | 2008 |
| Asset prices, traders’ behavior and market design M Anufriev, V Panchenko Journal of Economic dynamics and control 33 (5), 1073-1090, 2009 | 61 | 2009 |
| Out-of-sample comparison of copula specifications in multivariate density forecasts C Diks, V Panchenko, D Van Dijk Journal of Economic Dynamics and Control 34 (9), 1596-1609, 2010 | 57 | 2010 |
| Asset price dynamics with heterogeneous beliefs and local network interactions V Panchenko, S Gerasymchuk, OV Pavlov Journal of Economic Dynamics and Control 37 (12), 2623-2642, 2013 | 36 | 2013 |
| Is there a symmetric nonlinear causal relationship between large and small firms? BB Francis, M Mougoué, V Panchenko Journal of Empirical Finance 17 (1), 23-38, 2010 | 34 | 2010 |
| Efficiency of continuous double auctions under individual evolutionary learning with full or limited information M Anufriev, J Arifovic, J Ledyard, V Panchenko Journal of Evolutionary Economics 23 (3), 539-573, 2013 | 30 | 2013 |
| Nonparametric tests for serial independence based on quadratic forms CGH Diks, V Panchenko Tinbergen Institute Discussion Paper No. TI 05-076/1, 2005 | 27 | 2005 |
| Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions M Anufriev, V Panchenko Journal of Banking & Finance 61, S241-S255, 2015 | 23 | 2015 |
| Characteristics and predictability of Twitter sentiment series A Logunov, V Panchenko 19th International COngress on Modelling and Simulation, 1617-1623, 2011 | 19 | 2011 |
| Comparing the accuracy of multivariate density forecasts in selected regions of the copula support C Diks, V Panchenko, O Sokolinskiy, D van Dijk Journal of Economic Dynamics and Control 48, 79-94, 2014 | 13 | 2014 |
| Partial likelihood-based scoring rules for evaluating density forecasts in tails C Diks, V Panchenko, D Van Dijk Tinbergen Institute Discussion paper, 2008 | 13 | 2008 |
| Estimating and evaluating the predictive abilities of semiparametric multivariate models with application to risk management V Panchenko Computing in Economics and Finance 382, 2006 | 13 | 2006 |
| Rank-based entropy tests for serial independence C Diks, V Panchenko Studies in Nonlinear Dynamics & Econometrics 12 (1), 2008 | 10 | 2008 |
| Learning and adaptation's impact on market efficiency D Goldbaum, V Panchenko Journal of Economic Behavior & Organization 76 (3), 635-653, 2010 | 8 | 2010 |
| Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves R Way, F Lafond, F Lillo, V Panchenko, JD Farmer Journal of Economic Dynamics and Control 101, 211-238, 2019 | 7 | 2019 |
Dick van DijkProfessor of Financial Econometrics, Erasmus University RotterdamVerified email at ese.eur.nl
