Valentyn Panchenko
Valentyn Panchenko
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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
A note on the Hiemstra-Jones test for Granger non-causality
C Diks, V Panchenko
Studies in nonlinear dynamics & econometrics 9 (2), 2005
Goodness-of-fit test for copulas
V Panchenko
Physica A: Statistical Mechanics and its Applications 355 (1), 176-182, 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
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
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), 221-244, 2008
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
Asset prices, traders’ behavior and market design
M Anufriev, V Panchenko
Journal of Economic dynamics and control 33 (5), 1073-1090, 2009
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
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
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
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
Nonparametric tests for serial independence based on quadratic forms
C Diks, V Panchenko
Statistica Sinica 17 (1), 81-S4, 2007
Characteristics and predictability of Twitter sentiment series
A Logunov, V Panchenko
19th International Congress on Modelling and Simulation, 1617-1623, 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
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
Partial likelihood-based scoring rules for evaluating density forecasts in tails
C Diks, V Panchenko, D Van Dijk
Tinbergen Institute Discussion paper, 2008
Rank-based entropy tests for serial independence
C Diks, V Panchenko
Studies in Nonlinear Dynamics & Econometrics 12 (1), 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
Impact of Analysts' Recommendations on Stock Performance
V Panchenko
European Journal of Finance 13 (2), 165-179, 2007
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