Professor Valentyn   Panchenko
Head of School

Professor Valentyn Panchenko

Business School
Sch of Economics

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.

 

Phone
+61-2-9065 1096
Location
Room 440, UNSW Business School building

Publications

  • Journal articles | 2019
    Professor Valentyn Panchenko
    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
    Journal articles | 2015
    Professor Valentyn Panchenko
    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
    Journal articles | 2014
    Professor Valentyn Panchenko
    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
    Journal articles | 2014
    Professor Valentyn Panchenko
    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
    Journal articles | 2013
    Professor Valentyn Panchenko
    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
    Journal articles | 2013
    Professor Valentyn Panchenko
    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
    Journal articles | 2011
    Professor Valentyn Panchenko
    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
    Journal articles | 2010
    Professor Valentyn Panchenko
    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
    Journal articles | 2010
    Professor Valentyn Panchenko
    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
    Journal articles | 2010
    Professor Valentyn Panchenko
    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
    Journal articles | 2009
    Professor Valentyn Panchenko
    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
    Journal articles | 2009
    Professor Valentyn Panchenko
    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
    Journal articles | 2008
    Professor Valentyn Panchenko
    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
    Journal articles | 2008
    Professor Valentyn Panchenko
    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
    Journal articles | 2007
    Professor Valentyn Panchenko
    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
    Journal articles | 2007
    Professor Valentyn Panchenko
    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
    Journal articles | 2006
    Professor Valentyn Panchenko
    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
    Journal articles | 2005
    Professor Valentyn Panchenko
    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
    Journal articles | 2005
    Professor Valentyn Panchenko
    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
  • Software / Code | 2009
    Professor Valentyn Panchenko
    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

Awards

Grants

Media