Professor Valentyn Panchenko
Professor

Professor Valentyn Panchenko

Business School
School 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
  • 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', Journal of Economic Dynamics and Control, pp. 104387 - 104387, http://dx.doi.org/10.1016/j.jedc.2022.104387
    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, vol. 201, pp. 105417 - 105417, http://dx.doi.org/10.1016/j.jet.2022.105417
    Journal articles | 2022
    Blavatskyy P; Ortmann A; Panchenko V, 2022, 'On the Experimental Robustness of the Allais Paradox', American Economic Journal: Microeconomics, vol. 14, pp. 143 - 163, http://dx.doi.org/10.1257/mic.20190153
    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, vol. 101, pp. 211 - 238, http://dx.doi.org/10.1016/j.jedc.2018.10.006
    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, vol. 61, pp. S241 - S255, http://dx.doi.org/10.1016/j.jbankfin.2015.08.034
    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, vol. 48, pp. 79 - 94, http://dx.doi.org/10.1016/j.jedc.2014.08.021
    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, vol. 23, pp. 539 - 573, http://dx.doi.org/10.1007/s00191-011-0230-8
    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, vol. 37, pp. 2623 - 2642, http://dx.doi.org/10.1016/j.jedc.2013.06.015
    Journal articles | 2011
    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
    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
    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
    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
    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
    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
    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
    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
    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 | 2007
    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 | 2006
    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
    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
    Journal articles | 2005
    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
  • Working Papers | 2018
    Kolotilin A; Panchenko V, 2018, Estimation of a Scale-Free Network Formation Model, Elsevier BV, http://dx.doi.org10.2139/ssrn.3202168
    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, http://dx.doi.org, http://www1.fee.uva.nl/cendef/publications/papers/iel_book_r1.pdf
  • 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, http://research.economics.unsw.edu.au/vpanchenko/software/2006_GC_JEDC_c_and_exe_code.zip
    Preprints |
    Anufriev M; Duffy J; Panchenko V, Planar Beauty Contests, http://dx.doi.org/10.2139/ssrn.3404334
    Preprints |
    Anufriev M; Duffy J; Panchenko V, Planar Beauty Contests, http://dx.doi.org/10.2139/ssrn.3405083
    Preprints |
    Anufriev M; Panchenko V, Connecting the Dots: Econometric Methods for Uncovering Networks with an Application to the Australian Financial Institutions, http://dx.doi.org/10.2139/ssrn.2560594
    Preprints |
    Anufriev M; Panchenko V; Pinotti P, A Model of Network Formation for the Overnight Interbank Market, http://dx.doi.org/10.2139/ssrn.2763964
    Preprints |
    Blavatskyy P; Ortmann A; Panchenko V, How Common Is the Common-Ratio Effect?, http://dx.doi.org/10.2139/ssrn.3641566
    Preprints |
    Blavatskyy PR; Ortmann A; Panchenko V, Now You See It, Now You Donnt: How to Make the Allais Paradox Appear, Disappear, or Reverse, http://dx.doi.org/10.2139/ssrn.2621917
    Preprints |
    Diks CGH; Panchenko V, Nonparametric Tests for Serial Independence Based on Quadratic Forms, http://dx.doi.org/10.2139/ssrn.776286
    Preprints |
    Diks CGH; Panchenko V; van Dijk DJC, Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support, http://dx.doi.org/10.2139/ssrn.2254892
    Preprints |
    Diks CGH; Panchenko V; van Dijk DJC, Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts, http://dx.doi.org/10.2139/ssrn.1294250
    Preprints |
    Diks CGH; Panchenko V; van Dijk DJC, Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails, http://dx.doi.org/10.2139/ssrn.1135531
    Preprints |
    Panchenko V; Gerasymchuk S; Pavlov OV, Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions, http://dx.doi.org/10.2139/ssrn.2284547
    Preprints |
    Panchenko V; Gerasymchuk S; Pavlov OV, Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs, http://dx.doi.org/10.2139/ssrn.1288281
    Preprints |
    Way R; Lillo F; Panchenko V, Wright Meets Markowitz: How Standard Portfolio Theory Changes When Assets Are Technologies Following Experience Curves, http://dx.doi.org/10.2139/ssrn.2965695