Valentyn Panchenko

Head of School

Valentyn Panchenko joined UNSW in 2006. He is currently a Professor in Economics, UNSW Business School and the Head in Economics. 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.

Valentyn has published articles in the AEJ:Micro, Journal of Econometrics, 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 research website.

 

Journal articles
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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, vol. 101, pp. 211 - 238, http://dx.doi.org/10.1016/j.jedc.2018.10.006
2019
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, vol. 61, pp. S241 - S255, http://dx.doi.org/10.1016/j.jbankfin.2015.08.034
2015
Diks C; Panchenko V; Sokolinskiy O; van Dijk D, 2014, 'Evaluating Copula-Based Multivariate Density Forecasts in Selected Regions of Support', IEICE Proceeding Series, vol. 46, pp. 220 - 220, http://dx.doi.org/10.34385/proc.46.b1l-b1
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, vol. 48, pp. 79 - 94, http://dx.doi.org/10.1016/j.jedc.2014.08.021
2014
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, vol. 23, pp. 539 - 573, http://dx.doi.org/10.1007/s00191-011-0230-8
2013
Panchenko V; Gerasymchuk S; Pavlov OV, 2013, 'Asset price dynamics with heterogeneous beliefs and local network interactions', Journal of Economic Dynamics and Control, vol. 37, pp. 2623 - 2642, http://dx.doi.org/10.1016/j.jedc.2013.06.015
2013
Diks C; Panchenko V; van Dijk DV, 2011, 'Likelihood-based scoring rules for comparing density forecasts in tails', Journal of Econometrics, vol. 163, pp. 215 - 230, http://dx.doi.org/10.1016/j.jeconom.2011.04.001
2011
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, vol. 34, pp. 1596 - 1609, http://dx.doi.org/10.1016/j.jedc.2010.06.021
2010
Goldbaum D; Panchenko V, 2010, 'Learning and adaptation's impact on market efficiency', Journal of Economic Behavior and Organization, vol. 76, pp. 635 - 653, http://dx.doi.org/10.1016/j.jebo.2010.09.003
2010
Francis BB; Mougoue M; Panchenko V, 2010, 'Is there a symmetric nonlinear causal relationship between large and small firms?', Journal of Empirical Finance, vol. 17, pp. 23 - 38, http://dx.doi.org/10.1016/j.jempfin.2009.08.003
2010
Anufriev M; Panchenko V, 2009, 'Asset Prices, Traders` Behavior, and Market Design', Journal of Economic Dynamics and Control, vol. 33, pp. 1073 - 1090, http://dx.doi.org/10.1016/j.jedc.2008.09.008
2009
Panchenko V; Wu EW, 2009, 'Time-varying market integration and stock and bond return concordance in emerging markets', Journal of Banking and Finance, vol. 33, pp. 1014 - 1021, http://dx.doi.org/10.1016/j.jbankfin.2008.10.016
2009
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, vol. 32, pp. 221 - 244, http://dx.doi.org/10.1007/s10614-008-9130-x
2008
Diks C; Panchenko V, 2008, 'Rank-based entropy tests for serial independence', Studies in Nonlinear Dynamics and Econometrics, vol. 12, pp. 1 - 19, http://dx.doi.org/10.2202/1558-3708.1476
2008
Panchenko V, 2007, 'Impact of analysts` recommendations on stock performance', European Journal of Finance, vol. 13, pp. 165 - 180, http://dx.doi.org/10.1080/13518470500459782
2007
Diks C; Panchenko V, 2007, 'Nonparametric tests for serial independence based on quadratic forms', Statistica Sinica, vol. 17, pp. 81 - 98, http://www3.stat.sinica.edu.tw/statistica/oldpdf/A17n14.pdf
2007
Diks C; Panchenko V, 2006, 'A new statistics and practical guidelines for nonparametric Granger causality testing', Journal of Economic Dynamics and Control, vol. 30, pp. 1647 - 1669, http://dx.doi.org/10.1016/j.jedc.2005.08.008
2006
Panchenko V, 2005, 'Goodness-of-fit test for copulas', Physica A - Statistical Mechanics and Its Applications, vol. 355, pp. 176 - 182, http://dx.doi.org/10.1016/j.physa.2005.02.081
2005
Diks C; Panchenko V, 2005, 'A note on the Hiemstra-Jones test for Granger non-causality', Studies in Nonlinear Dynamics and Econometrics, vol. 9, http://dx.doi.org/10.2202/1558-3708.1234
2005
Kolotilin A; Panchenko V, 'Estimation of a Scale-Free Network Formation Model', SSRN Electronic Journal, http://dx.doi.org/10.2139/ssrn.3202168
Software / Code
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Panchenko V, 2009, Non-parametric test for Granger Causality, Published: 2009, Software / Code, http://research.economics.unsw.edu.au/vpanchenko/software/2006_GC_JEDC_c_and_exe_code.zip
2009

Financial econometrics; time series analysis; dependence measures and copulae; non-parametric and semi-parametric statistics; agent-based models.