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Information about:
Valentyn Panchenko

Personal Details | Affiliation | Works
This is information that was supplied by Valentyn Panchenko in registering through RePEc. If you are Valentyn Panchenko , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Valentyn
Middle Name:
Last Name: Panchenko
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RePEc Short-ID: ppa214

Email: [This author has chosen not to make the email address public]
Homepage: http://www.economics.unsw.edu.au/ValentynPanchenko
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers 08-050/4, Tinbergen Institute. [Downloadable!]
    Other versions:

  2. 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. [Downloadable!]
    Published as:

  3. 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, University of Venice. [Downloadable!]

  4. 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. [Downloadable!]
    Published as:

  5. 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. [Downloadable!]
    Published as:

  6. Valentyn Panchenko, 2006. "Evaluating the Predictive Abilities of Semiparametric Multivariate Models," Computing in Economics and Finance 2006 382, Society for Computational Economics.

  7. Cees Diks & Valentyn Panchenko, 2005. "Nonparametric Tests for Serial Independence Based on Quadratic Forms," Tinbergen Institute Discussion Papers 05-076/1, Tinbergen Institute. [Downloadable!]
    Other versions:

  8. Cees Diks & Valentyn Panchenko, 2005. "Test for serial independence based on quadratic forms," Computing in Economics and Finance 2005 279, Society for Computational Economics.

  9. Valentyn Panchenko & Cees Diks, 2004. "Testing multivariate hypotheses with positive definite bilinear forms," Computing in Economics and Finance 2004 201, Society for Computational Economics.

  10. 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. [Downloadable!]
    Published as:

  11. 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. [Downloadable!]
    Published as:

  12. Cees Diks & Valentyn Panchenko, 2004. "Modified Hiemstra-Jones Test for Granger Non-causality," Computing in Economics and Finance 2004 192, Society for Computational Economics.

  13. 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. [Downloadable!]

  14. Cees Diks & Valentyn Panchenko & Dick van Dijk, . "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers 08-105/4, Tinbergen Institute. [Downloadable!]
    Other versions:

Articles

  1. 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. [Downloadable!] (restricted)
    Other versions:

  2. 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. [Downloadable!] (restricted)

  3. Cees Diks & Cars Hommes & Valentyn Panchenko & Roy Weide, 2008. "E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics," Computational Economics, Springer, vol. 32(1), pages 221-244, September. [Downloadable!] (restricted)
    Other versions:

  4. Cees Diks & Valentyn Panchenko, 2008. "Rank-based Entropy Tests for Serial Independence," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 12(1), pages 1476-1476. [Downloadable!] (restricted)
    Other versions:

  5. Valentyn Panchenko, 2007. "Impact of Analysts' Recommendations on Stock Performance," European Journal of Finance, Taylor and Francis Journals, vol. 13(2), pages 165-179. [Downloadable!] (restricted)

  6. 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. [Downloadable!] (restricted)
    Other versions:

  7. Cees Diks & Valentyn Panchenko, 2005. "A Note on the Hiemstra-Jones Test for Granger Non-causality," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 9(2), pages 1234-1234. [Downloadable!] (restricted)
    Other versions:

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (4) 2006-01-24 2008-06-07 2009-01-03 2009-01-17 Author is listed
  2. NEP-ETS: Econometric Time Series (1) 2006-01-24
  3. NEP-FOR: Forecasting (5) 2008-06-07 2008-06-13 2008-06-21 2009-01-03 2009-01-17 Author is listed
  4. NEP-NET: Network Economics (1) 2007-04-28
  5. NEP-ORE: Operations Research (2) 2008-06-07 2008-06-13 Author is listed
  6. NEP-RMG: Risk Management (3) 2008-06-07 2008-06-13 2008-06-21 Author is listed
Did you know? RePEc stands for Research Papers in Economics.

This page was last updated on 2009-10-29.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.