Professor Valentyn Panchenko

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Valentyn Panchenko is a Professor in Economics at UNSW Business School. He holds a PhD degree from the University of Amsterdam, Netherlands, an MPhil degree from Tingergen Institute, Netherlands.

Valentyn's main research area is Econometrics including big data, networks, dependence modelling, Granger causality, model evaluation and prediction, and structural modelling. He is also interested in economic models with bounded rationality, heterogeneous agents, learning and economic interactions, and economic experiments.

Valentyn has published articles in the Journal of Econometric Theory, AEJ:Micro, Journal of Econometrics, Experimental Economics, Journal of Economic Dynamics &��Control and��Journal of Banking & Finance among others. Valentyn has been the chief investigator on various research projects and grants including the ARC Discovery Projects and DECRA.

For more information, visit Valentyn's.

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Phone

+61-2-9065 1096

E-mail

v.panchenko@unsw.edu.au

Location

Room 440, UNSW Business School building

Journal articles | 2024

Anufriev M; Arifovic J; Donmez A; Ledyard J; Panchenko V, 2024, 'IEL-CDA model: A more accurate theory of behavior in continuous double auctions', Journal of Economic Dynamics and Control,

Journal articles | 2024

Anufriev M; Duffy J; Panchenko V, 2024, 'Individual evolutionary learning in repeated beauty contest games', Journal of Economic Behavior and Organization, 218, pp. 550 - 567,

Journal articles | 2023

Blavatskyy P; Panchenko V; Ortmann A, 2023, 'How common is the common-ratio effect?', Experimental Economics, 26, pp. 253 - 272,

Journal articles | 2022

Anufriev M; Arifovic J; Ledyard J; Panchenko V, 2022, 'The role of information in a continuous double auction: An experiment and learning model: The Role of Information in CDA', Journal of Economic Dynamics and Control, 141,

Journal articles | 2022

Anufriev M; Duffy J; Panchenko V, 2022, 'Learning in two-dimensional beauty contest games: Theory and experimental evidence', Journal of Economic Theory, 201,

Journal articles | 2022

Blavatskyy P; Ortmann A; Panchenko V, 2022, 'On the Experimental Robustness of the Allais Paradox', American Economic Journal: Microeconomics, 14, pp. 143 - 163,

Journal articles | 2019

Way R; Lafond F; Lillo F; Panchenko V; Farmer JD, 2019, 'Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves', Journal of Economic Dynamics and Control, 101, pp. 211 - 238,

Journal articles | 2015

Anufriev M; Panchenko V, 2015, 'Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions', Journal of Banking and Finance, 61, pp. S241 - S255,

Journal articles | 2014

Diks C; Panchenko V; Sokolinskiy O; van Dijk D, 2014, 'Comparing the accuracy of multivariate density forecasts in selected regions of the copula support', Journal of Economic Dynamics and Control, 48, pp. 79 - 94,

Journal articles | 2013

Anufriev M; Arifovic J; Ledyard J; Panchenko V, 2013, 'Efficiency of continuous double auctions under individual evolutionary learning with full or limited information', Journal of Evolutionary Economics, 23, pp. 539 - 573,

Journal articles | 2013

Panchenko V; Gerasymchuk S; Pavlov OV, 2013, 'Asset price dynamics with heterogeneous beliefs and local network interactions', Journal of Economic Dynamics and Control, 37, pp. 2623 - 2642,

Journal articles | 2011

Diks C; Panchenko V; van Dijk DV, 2011, 'Likelihood-based scoring rules for comparing density forecasts in tails', Journal of Econometrics, 163, pp. 215 - 230,

Journal articles | 2010

Diks C; Panchenko V; van Dijk D, 2010, 'Out-of-sample comparison of copula specifications in multivariate density forecasts', Journal of Economic Dynamics and Control, 34, pp. 1596 - 1609,

Journal articles | 2010

Francis BB; Mougoue M; Panchenko V, 2010, 'Is there a symmetric nonlinear causal relationship between large and small firms?', Journal of Empirical Finance, 17, pp. 23 - 38,

Journal articles | 2010

Goldbaum D; Panchenko V, 2010, 'Learning and adaptation's impact on market efficiency', Journal of Economic Behavior and Organization, 76, pp. 635 - 653,

Journal articles | 2009

Anufriev M; Panchenko V, 2009, 'Asset Prices, Traders` Behavior, and Market Design', Journal of Economic Dynamics and Control, 33, pp. 1073 - 1090,

Journal articles | 2009

Panchenko V; Wu EW, 2009, 'Time-varying market integration and stock and bond return concordance in emerging markets', Journal of Banking and Finance, 33, pp. 1014 - 1021,

Journal articles | 2008

Diks C; Hommes C; Panchenko V; van der Weide R, 2008, 'E&F Chaos: A user friendly software package for nonlinear economic dynamics', Computational Economics, 32, pp. 221 - 244,

Journal articles | 2008

Diks C; Panchenko V, 2008, 'Rank-based entropy tests for serial independence', Studies in Nonlinear Dynamics and Econometrics, 12, pp. 1 - 19,

Journal articles | 2007

Diks C; Panchenko V, 2007, 'Nonparametric tests for serial independence based on quadratic forms', Statistica Sinica, 17, pp. 81 - 98,

Journal articles | 2007

Panchenko V, 2007, 'Impact of analysts` recommendations on stock performance', European Journal of Finance, 13, pp. 165 - 180,

Journal articles | 2006

Diks C; Panchenko V, 2006, 'A new statistics and practical guidelines for nonparametric Granger causality testing', Journal of Economic Dynamics and Control, 30, pp. 1647 - 1669,

Journal articles | 2005

Diks C; Panchenko V, 2005, 'A note on the Hiemstra-Jones test for Granger non-causality', Studies in Nonlinear Dynamics and Econometrics, 9,

Journal articles | 2005

Panchenko V, 2005, 'Goodness-of-fit test for copulas', Physica A - Statistical Mechanics and Its Applications, 355, pp. 176 - 182,
Working Papers | 2018

Kolotilin A; Panchenko V, 2018, Estimation of a Scale-Free Network Formation Model,

Working Papers | 2010

Anufriev M; Arifovic J; Ledyard J; Panchenko V, 2010, Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information, University of Amsterdam, CeNDEF Working paper 10-01, ,
Preprints | 2017

Way R; Lafond F; Lillo F; Panchenko V; Farmer JD, 2017, Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves,

Software / Code | 2009

Panchenko V, 2009, Non-parametric test for Granger Causality, Published: 2009, Software / Code,

Preprints |

Anufriev M; Duffy J; Panchenko V; Young B, (Re-) Inventing the Traffic Light: Designing Recommendation Devices for Play of Strategic Games, ,

Preprints |

Anufriev M; Duffy J; Panchenko V, Planar Beauty Contests,

Preprints |

Anufriev M; Duffy J; Panchenko V, Planar Beauty Contests, ,

Preprints |

Anufriev M; Panchenko V; Pinotti P, A Model of Network Formation for the Overnight Interbank Market,

Preprints |

Anufriev M; Panchenko V, Connecting the Dots: Econometric Methods for Uncovering Networks with an Application to the Australian Financial Institutions,

Preprints |

Blavatskyy P; Ortmann A; Panchenko V, How Common Is the Common-Ratio Effect?, ,

Preprints |

Blavatskyy PR; Ortmann A; Panchenko V, Now You See It, Now You Donnt: How to Make the Allais Paradox Appear, Disappear, or Reverse,

Preprints |

Diks CGH; Panchenko V; van Dijk DJC, Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support,

Preprints |

Diks CGH; Panchenko V; van Dijk DJC, Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts,

Preprints |

Diks CGH; Panchenko V; van Dijk DJC, Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails, ,

Preprints |

Diks CGH; Panchenko V, Nonparametric Tests for Serial Independence Based on Quadratic Forms,

Preprints |

Panchenko V; Gerasymchuk S; Pavlov OV, Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions, ,

Preprints |

Panchenko V; Gerasymchuk S; Pavlov OV, Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs, ,

Preprints |

Way R; Lillo F; Panchenko V, Wright Meets Markowitz: How Standard Portfolio Theory Changes When Assets Are Technologies Following Experience Curves,

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