Valentyn Panchenko : Citation Profile


Are you Valentyn Panchenko?

UNSW Sydney

11

H index

12

i10 index

872

Citations

RESEARCH PRODUCTION:

20

Articles

33

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2004 - 2022). See details.
   Cites by year: 48
   Journals where Valentyn Panchenko has often published
   Relations with other researchers
   Recent citing documents: 117.    Total self citations: 15 (1.69 %)

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   Permalink: http://citec.repec.org/ppa214
   Updated: 2022-11-19    RAS profile: 2022-10-20    
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Relations with other researchers


Works with:

Duffy, John (4)

Anufriev, Mikhail (3)

Lafond, François (2)

Farmer, J. (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Valentyn Panchenko.

Is cited by:

GUPTA, RANGAN (55)

Lach, Łukasz (37)

Gurgul, Henryk (33)

Shahbaz, Muhammad (17)

Wohar, Mark (15)

Balcilar, Mehmet (15)

Anufriev, Mikhail (14)

Dergiades, Theologos (14)

Demirer, Riza (12)

Tiwari, Aviral (12)

Shafiullah, Muhammad (11)

Cites to:

Hommes, Cars (43)

Brock, William (20)

Diks, Cees (20)

van Dijk, Dick (15)

Anufriev, Mikhail (15)

Diebold, Francis (15)

Giacomini, Raffaella (13)

Shiller, Robert (11)

Chiarella, Carl (10)

Bottazzi, Giulio (9)

White, Halbert (9)

Main data


Where Valentyn Panchenko has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control7
Journal of Banking & Finance2
Studies in Nonlinear Dynamics & Econometrics2

Working Papers Series with more than one paper published# docs
CeNDEF Working Papers / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance11
Discussion Papers / School of Economics, The University of New South Wales6
Tinbergen Institute Discussion Papers / Tinbergen Institute4
Post-Print / HAL2
Computing in Economics and Finance 2004 / Society for Computational Economics2

Recent works citing Valentyn Panchenko (2022 and 2021)


YearTitle of citing document
2022Expectations, Economic Uncertainty, and Sentiment. (2022). de Medeiros, Douglas. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:26:y:2022:i:5:1524.

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2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2022Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2002.09578.

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2021Fragmentation in trader preferences among multiple markets: Market coexistence versus single market dominance. (2020). Alori, Aleksandra ; Nicole, Robin ; Sollich, Peter. In: Papers. RePEc:arx:papers:2012.04103.

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2021Quantum Technology for Economists. (2021). Hull, Isaiah ; Sattath, OR ; Wendin, Goran ; Diamanti, Eleni. In: Papers. RePEc:arx:papers:2012.04473.

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2021Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693.

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2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262.

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2021Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031.

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2022Measurability of functionals and of ideal point forecasts. (2022). Fissler, Tobias ; Holzmann, Hajo. In: Papers. RePEc:arx:papers:2203.08635.

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2021Sectoral Nonlinear Causality Between Stock Market Volatility and the COVID-19 Pandemic - Evidence From India. (2021). Mohanty, Seba ; Bal, Debi. In: Asian Economics Letters. RePEc:ayb:jrnael:33.

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2021The nonlinear causal relationship between short? and long?term interest rates: An empirical assessment of the United States, the United Kingdom, and Japan. (2021). Su, Yang ; Li, Huiqing. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:3:p:332-355.

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2021Dynamics of Money Market Interest Rates in Ghana: Time?Frequency Analysis of Volatility Spillovers. (2021). Schaling, Eric ; Alagidede, Imhotep Paul ; Akosah, Nana Kwame. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:4:p:555-589.

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2021Fast & furious: Do psychological and legal factors affect commodity price volatility?. (2021). Algieri, Bernardina. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:4:p:980-1017.

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2021A Strategy for the Use of the Cross Recurrence Quantification Analysis. (2021). Dulce, Saura ; Teresa, Aparicio ; Eduardo, Pozo. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:14:n:2.

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2021The Asymmetric Effect of Oil Price on the Exchange Rate and Stock Price in Nigeria. (2021). Adeniji, Sesan Oluseyi ; Sakanko, Musa Abdullahi ; Ajala, Kamaldeen. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-04-25.

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2022Energy sector portfolio analysis with uncertainty. (2022). Baldwin, Samuel F ; Hughes, Caroline ; Newes, Emily ; Hunter, Chad ; Henrion, Max ; Milford, James. In: Applied Energy. RePEc:eee:appene:v:306:y:2022:i:pa:s030626192101237x.

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2021Expectation formation in finance and macroeconomics: A review of new experimental evidence. (2021). Hommes, Cars ; Bao, Te ; Pei, Jiaoying. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001350.

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2022Causal decomposition on multiple time scales: Evidence from stock price-volume time series. (2022). Wang, Yanwen ; Zhao, Xiaojun ; Xu, Chao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:159:y:2022:i:c:s0960077922003472.

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2021Network tail risk estimation in the European banking system. (2021). Tich, Toma ; Giacometti, Rosella ; Torri, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000609.

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2022The role of information in a continuous double auction: An experiment and learning model. (2022). Panchenko, Valentyn ; Ledyard, John ; Arifovic, Jasmina ; Anufriev, Mikhail. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:141:y:2022:i:c:s0165188922000914.

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2021Investigating the asymmetric impact of oil prices on GCC stock markets. (2021). Rault, Christophe ; Ben Cheikh, Nidhaleddine ; Kanaan, Oussama ; ben Naceur, Sami ; Bennaceur, Sami . In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001784.

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2021Does news tone help forecast oil?. (2021). Ren, Boru ; Lucey, Brian. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002248.

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2022Vine copula Granger causality in mean. (2022). Noh, Hohsuk ; Kim, Jong-Min ; Jang, Hyuna. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s026499932200044x.

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2021The joint spillover index. (2021). Wiesen, Thomas ; Lastrapes, William ; Thomas, . In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:681-691.

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2021Correlation regimes in international equity and bond returns. (2021). Martinez, Oscar ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:397-410.

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2021Time–frequency quantile dependence between Bitcoin and global equity markets. (2021). Abdoh, Hussein ; Maghyereh, Aktham. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302369.

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2021Systemic financial risk early warning of financial market in China using Attention-LSTM model. (2021). Lai, Yongzeng ; Yang, Xi-Te ; Ouyang, Zi-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s106294082100019x.

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2021Factor pricing of cryptocurrencies. (2021). CHONG, Terence Tai Leung ; Wang, Qiyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940820302308.

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2021Sensitivity of US equity returns to economic policy uncertainty and investor sentiments. (2021). Vo, Xuan Vinh ; Sensoy, Ahmet ; Hussain, Syed Jawad ; Eraslan, Veysel ; Ur, Mobeen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000280.

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2021Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis. (2021). Vuković, Darko ; Maiti, Moinak ; Lapshina, Kseniya A ; Vukovic, Darko B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000838.

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2021The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market. (2021). Xie, Wenhao ; Cao, Guangxi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001327.

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2022Examining interconnectedness between media attention and cryptocurrency markets: A transfer entropy story. (2022). Neto, David. In: Economics Letters. RePEc:eee:ecolet:v:214:y:2022:i:c:s0165176522001033.

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2021Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Zhou, Qing ; Liao, Yin ; Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, . In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

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2021Do financial variables help predict the conditional distribution of the market portfolio?. (2021). Zamenjani, Azam Shamsi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:327-345.

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2021Relationship between green investments, energy markets, and stock markets in the aftermath of the global financial crisis. (2021). Tiwari, Aviral ; Shahbaz, Muhammad ; Jiao, Zhilun ; Aikins, Emmanuel Joel ; Trabelsi, Nader. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005120.

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2021Can clean energy stock price rule oil price? New evidences from a regime-switching model at first and second moments. (2021). Ghosh, Sajal ; Uddin, Gazi Salah ; Dutta, Anupam ; Kanjilal, Kakali ; Yahya, Muhammad. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000219.

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2021OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013.

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2021Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics. (2021). Wang, Lei ; Liu, Liang ; Wei, YU ; Yang, Kun. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000542.

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2021Asymmetric oil price and Asian economies: A nonlinear ARDL approach. (2021). Olson, Dennis ; Nusair, Salah A. In: Energy. RePEc:eee:energy:v:219:y:2021:i:c:s0360544220327018.

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2022Systemic risk contribution of banks and non-bank financial institutions across frequencies: The Australian experience. (2022). Troster, Victor ; Yahya, Muhammad ; Uddin, Gazi Salah ; Rahman, Md Lutfur. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003082.

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2022Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach. (2022). Li, Youwei ; Stanley, Eugene H ; Pantelous, Athanasios A ; Chen, Yanhua. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003161.

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2022A bibliometric review of financial market integration literature. (2022). Yarovaya, Larisa ; Paltrinieri, Andrea ; Oriani, Marco Ercole ; Goodell, John W ; Patel, Ritesh. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000151.

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2021The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets. (2021). Mefteh-Wali, Salma ; Gharib, Cheima ; ben Jabeur, Sami. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320308497.

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2021The dynamic relationship between bitcoin and the foreign exchange market: A nonlinear approach to test causality between bitcoin and currencies. (2021). Klotzle, Marcelo Cabus ; de Souza, Gerson ; Palazzi, Rafael Baptista. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317074.

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2022Frequency volatility connectedness and market integration in international real estate investment trusts. (2022). Song, Jeongseop ; Liow, Kim Hiang. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002464.

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2022The asymmetric contagion effect between stock market and cryptocurrency market. (2022). Ji, Hao ; Yin, Siyuan ; Wang, Xiaoqian. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002889.

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2021The structure and degree of dependence in government bond markets. (2021). Vulanovic, Milos ; Swinkels, Laurens ; Piljak, Vanja ; Dimic, Nebojsa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001049.

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2021Conditional value-at-risk forecasts of an optimal foreign currency portfolio. (2021). Ho, Kyu ; Kim, Dongwhan. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:838-861.

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2022Optimal probabilistic forecasts: When do they work?. (2022). Ramírez Hassan, Andrés ; Loaiza Maya, Rubén ; Loaiza-Maya, Ruben ; Martin, Gael M ; Ramirez-Hassan, Andres ; Frazier, David T ; Maneesoonthorn, Worapree. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:384-406.

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2021An agent-based model of intra-day financial markets dynamics. (2021). Napoletano, Mauro ; Staccioli, Jacopo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:331-348.

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2021Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets. (2021). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:117-136.

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2022Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?. (2022). Maghyereh, Aktham ; Awartani, Basel ; Abdoh, Hussein. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000283.

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2021Financial contagion between the financial and the mining industries – Empirical evidence based on the symmetric and asymmetric CoVaR approach. (2021). Jonek-Kowalska, Izabela ; Jurkowska, Aleksandra ; Fijorek, Kamil. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309934.

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2021How do energy productivity and water resources affect air pollution in Iran? New evidence from a Markov Switching perspective. (2021). Rafei, Meysam ; Ashouri, Mohammad Javad. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420721000039.

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2022Rolling, recursive evolving and asymmetric causality between crude oil and gold prices: Evidence from an emerging market. (2022). Rajderkar, Nilay Pradeep ; Kennet, Joushita J ; Renganathan, Jayashree ; Ghate, Kshitish ; Mishra, Aswini Kumar. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004827.

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2022Using internet search keyword data for predictability of precious metals prices: Evidence from non-parametric causality-in-quantiles approach. (2022). Raza, Syed ; Yousufi, Sara Qamar ; Khaskheli, Asadullah ; Miao, Miao. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004864.

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2022Oil price and economic performance: Additional evidence from advanced economies. (2022). Anagreh, Suhaib ; Tabash, Mosab I ; Adeosun, Opeoluwa Adeniyi. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001143.

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2022Multiscale nonlinear Granger causality and time-varying effect analysis of the relationship between iron ore futures and spot prices. (2022). Jia, Hongxiang ; Hao, Hongchang ; Yuan, Xiaojing ; Sun, Xiaoyan ; Li, Pengyuan ; Wang, Anjian ; Ma, Zhe ; Wei, Jiangqiao. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002203.

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2021On the investors sentiments and the Islamic stock-bond interplay across investments horizons. (2021). Shahzad, Syed Jawad Hussain ; Khan, Muhammad Asif ; Hela, Ben hamida ; Hkiri, Besma ; Hussain, Syed Jawad ; Aloui, Chaker. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x20307034.

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2022Impacts of COVID-19 local spread and Google search trend on the US stock market. (2022). Panovska, Irina ; Das, Kumer P ; Toufiqul, G M ; Dey, Asim K. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121006968.

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2022Nonlinear analysis of economic policy uncertainty: Based on the data in China, the US and the global. (2022). Liu, Shengnan ; Gu, Rongbao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000280.

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2021Credit ratings and predictability of stock return dynamics of the BRICS and the PIIGS: Evidence from a nonparametric causality-in-quantiles approach. (2021). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Bathia, Deven. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:290-302.

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2021When, where, and how economic policy uncertainty predicts Bitcoin returns and volatility? A quantiles-based analysis. (2021). Mokni, Khaled. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:65-73.

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2021Does happiness forecast implied volatility? Evidence from nonparametric wave-based Granger causality testing. (2021). Shen, Dehua ; Goodell, John W ; Li, Yue. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:113-122.

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2021Does economic policy uncertainty affect renewable energy consumption?. (2021). Shafiullah, Muhammad ; Alam, Md Samsul ; Miah, Mohammad Dulal ; Atif, Muhammad. In: Renewable Energy. RePEc:eee:renene:v:179:y:2021:i:c:p:1500-1521.

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2021Technological improvement rate predictions for all technologies: Use of patent data and an extended domain description. (2021). Magee, Christopher L ; Triulzi, Giorgio ; Singh, Anuraag. In: Research Policy. RePEc:eee:respol:v:50:y:2021:i:9:s0048733321000950.

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2021Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears. (2021). Hussain, Syed Jawad ; Mbarki, Imen ; Naeem, Muhammad Abubakr. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:496-514.

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2021Comparing search-engine and social-media attentions in finance research: Evidence from cryptocurrencies. (2021). Shen, Dehua ; Goodell, John W ; Li, Yue. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:723-746.

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2021A wavelet analysis of the ripple effect in UK regional housing markets. (2021). lo Cascio, Iolanda. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:1093-1105.

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2021Effects of Price of Gold on Bombay Stock Exchange Sectoral Indices: New Evidence for Portfolio Risk Management. (2021). Tiwari, Aviral ; Gözgör, Giray ; Hammoudeh, Shawkat ; Gozgor, Giray ; Trabelsi, Nader. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920305560.

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2022Intraday volume-return nexus in cryptocurrency markets: Novel evidence from cryptocurrency classification. (2022). Ziba, Damian ; Yarovaya, Larisa. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002130.

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2021Central Bank Transparency with (semi-)public Information: Laboratory Experiments. (2021). trabelsi, emna ; Hichri, Walid. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:90:y:2021:i:c:s2214804320306881.

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2021Impact of technological innovation on energy efficiency in industry 4.0 era: Moderation of shadow economy in sustainable development. (2021). Sinha, Avik ; Hu, Kexiang ; Chen, Maozhi ; Shah, Muhammad Ibrahim. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:164:y:2021:i:c:s0040162520313470.

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2022Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security. (2022). Staugaitis, Algirdas Justinas ; Vaznonis, Bernardas. In: Agriculture. RePEc:gam:jagris:v:12:y:2022:i:11:p:1892-:d:969147.

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2022Short-Term Speculation Effects on Agricultural Commodity Returns and Volatility in the European Market Prior to and during the Pandemic. (2022). Vaznonis, Bernardas ; Staugaitis, Algirdas Justinas. In: Agriculture. RePEc:gam:jagris:v:12:y:2022:i:5:p:623-:d:803771.

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2021A Dynamic Linkage between Financial Development, Energy Consumption and Economic Growth: Evidence from an Asymmetric and Nonlinear ARDL Model. (2021). Pypacz, Paula ; Ur, Faheem ; Khan, Imran ; Liczmaska-Kopcewicz, Katarzyna ; Winiewska, Agnieszka. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:16:p:5006-:d:614743.

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2021Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting. (2021). Orzeszko, Witold. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6043-:d:640970.

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2021Investigating the Asymmetric Effect of Economic Growth on Environmental Quality in the Next 11 Countries. (2021). Ayimadu, Edwin Twum ; Cheng, Jinhua ; Minua, Gideon Kwaku ; Asante, Daniel Akwasi. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:2:p:491-:d:482454.

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2022Risk Contagion between Global Commodities from the Perspective of Volatility Spillover. (2022). Zhao, Li Li ; Pan, QI ; Shen, Hong ; Ng, Pin. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:7:p:2492-:d:781639.

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2022.

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2021Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails. (2021). Österholm, Pär ; Nguyen, Hoang ; Kiss, Tamas ; Osterholm, Par. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:506-:d:660957.

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2022The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms. (2022). Eratalay, Mustafa ; Cortes, Ariana Paola. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:4:p:153-:d:781555.

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2022Long-Term US Economic Growth and the Carbon Dioxide Emissions Nexus: A Wavelet-Based Approach. (2022). Grima, Simon ; DEMIRELI, Erhan ; Ayhan, Afife Duygu ; Torun, Erdost. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:17:p:10566-:d:896680.

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2021Evaluating Growth-at-Risk as a tool for monitoring macro-financial risks in the Peruvian economy. (2021). Nivin, Rafael ; Chicana, Diego. In: IHEID Working Papers. RePEc:gii:giihei:heidwp07-2021.

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2021Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model. (2021). Li, Han Dong ; Zhou, Xuan ; Shi, YU ; Luo, Qixuan. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09987-z.

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2022Predictor Choice, Investor Types, and the Price Impact of Trades on the Tokyo Stock Exchange. (2022). Yamamoto, Ryuichi. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10084-4.

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2021On the linkage between government expenditure and output: empirics of the Keynesian view versus Wagner’s law. (2021). Arestis, Philip ; Kaya, Aye ; En, Huseyin. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:54:y:2021:i:2:d:10.1007_s10644-020-09284-7.

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2021Fiscal and External Deficits Nexus in GIIPS Countries: Evidence from Parametric and Nonparametric Causality Tests. (2021). Ahmad, Ahmad Hassan ; Aworinde, Olalekan Bashir. In: International Advances in Economic Research. RePEc:kap:iaecre:v:27:y:2021:i:3:d:10.1007_s11294-021-09829-0.

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2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza-Maya, Ruben ; Martin, Gael M ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2022-1.

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2021DEEDP DIVING INTO THE S&P 350 EUROPE INDEX NETWORK ANS ITS REACTION TO COVID-19. (2021). Eratalay, Mustafa ; Corts, Ariana Paola. In: University of Tartu - Faculty of Economics and Business Administration Working Paper Series. RePEc:mtk:febawb:134.

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2022THE IMPACT OF ESG RATINGS ON THE SYSTEMIC RISK OF EUROPEAN BLUE-CHIP FIRMS. (2022). Corts, Ariana Paola ; Eratalay, Mustafa Hakan. In: University of Tartu - Faculty of Economics and Business Administration Working Paper Series. RePEc:mtk:febawb:139.

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2022THE EFFECTS OF THE ECB COMMUNICATIONS ON FINANCIAL MARKETS BEFORE AND DURING COVID-19 PANDEMICAbstract:The paper aims to estimate the effects of the European Central Bank communications on the sectora. (2022). Sharma, Rajesh ; Lapitskaya, Darya ; Eratalay, Mustafa Hakan ; Alfieri, Luca. In: University of Tartu - Faculty of Economics and Business Administration Working Paper Series. RePEc:mtk:febawb:140.

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2021Exchange Rate Jumps and Geopolitical Risks. (2021). GUPTA, RANGAN ; Vortelinos, Dimitrios ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202171.

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2021The Impact of Global Uncertainties on Economic Growth: Evidence from the US Economy (1996: Q1-2018: Q4). (2021). Elk, Ali Kemal ; Yalinkaya, Omer. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:2:p:35-54.

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2021Impacts of Stock Indices, Oil, and Twitter Sentiment on Major Cryptocurrencies during the COVID-19 First Wave. (2021). Kyriazis, Ikolaos A. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:133-146.

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2021Exchange Rate Uncertainty Effects on Domestic Investment in South Africa. (2021). Nuru, Naser Yenus ; Gidey, Hiluf Techane. In: Margin: The Journal of Applied Economic Research. RePEc:sae:mareco:v:15:y:2021:i:3:p:338-352.

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2021Modeling Economic Risk in the QISMUT Countries: Evidence From Nonlinear Cointegration Tests. (2021). Kirikkaleli, Dervis ; He, Xiaojuan ; Torun, Melike. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:4:p:21582440211052542.

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2021Bond market and macroeconomic stability in East Asia: a nonlinear causality analysis. (2021). Ftiti, Zied ; Sahut, Jeanmichel ; Boukhatem, Jamel. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03519-6.

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2021Brexit and foreign exchange market expectations: Could it have been predicted?. (2021). Gradojevic, Nikola. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03582-z.

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2022On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach. (2022). Boubaker, Sahbi ; Tissaoui, Kais ; Ftiti, Zied. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03652-2.

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2021Human capital, energy and economic growth in China: evidence from multivariate nonlinear Granger causality tests. (2021). Fang, Zheng ; Wolski, Marcin. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:2:d:10.1007_s00181-019-01781-7.

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More than 100 citations found, this list is not complete...

Works by Valentyn Panchenko:


YearTitleTypeCited
2022On the Experimental Robustness of the Allais Paradox In: American Economic Journal: Microeconomics.
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article0
2004A note on the Hiemstra-Jones test for Granger non-causality In: CeNDEF Working Papers.
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paper116
2005A Note on the Hiemstra-Jones Test for Granger Non-causality.(2005) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has another version. Agregated cites: 116
article
2004A new statistic and practical guidelines for nonparametric Granger causality testing In: CeNDEF Working Papers.
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paper386
2006A new statistic and practical guidelines for nonparametric Granger causality testing.(2006) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 386
article
2004Goodness-of-fit test for copulas In: CeNDEF Working Papers.
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paper24
2005Goodness-of-fit test for copulas.(2005) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 24
article
2005Nonparametric Tests for Serial Independence Based on Quadratic Forms In: CeNDEF Working Papers.
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paper0
2005Nonparametric Tests for Serial Independence Based on Quadratic Forms.(2005) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2006Rank-based entropy tests for serial independence In: CeNDEF Working Papers.
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paper2
2008Rank-based Entropy Tests for Serial Independence.(2008) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has another version. Agregated cites: 2
article
2006E&F Chaos: a user friendly software package for nonlinear economic dynamics In: CeNDEF Working Papers.
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paper26
2008E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics.(2008) In: Computational Economics.
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This paper has another version. Agregated cites: 26
article
2007Asset Prices, Traders Behavior, and Market Design In: CeNDEF Working Papers.
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paper40
2009Asset prices, traders behavior and market design.(2009) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 40
article
2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails In: CeNDEF Working Papers.
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paper6
2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Discussion Papers.
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This paper has another version. Agregated cites: 6
paper
2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 6
paper
2008Out-of-sample comparison of copula specifications in multivariate density forecasts In: CeNDEF Working Papers.
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paper25
2010Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 25
article
2010Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Post-Print.
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This paper has another version. Agregated cites: 25
paper
2008Out-of-sample comparison of copula specifications in multivariate density forecasts.(2008) In: Discussion Papers.
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This paper has another version. Agregated cites: 25
paper
2008Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts.(2008) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 25
paper
2010Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information In: CeNDEF Working Papers.
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paper18
2013Efficiency of continuous double auctions under individual evolutionary learning with full or limited information.(2013) In: Journal of Evolutionary Economics.
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This paper has another version. Agregated cites: 18
article
2010Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs In: CeNDEF Working Papers.
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paper4
2018Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves In: Papers.
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paper7
2019Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves.(2019) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 7
article
2011Efficient estimation of parameters in marginals in semiparametric multivariate models In: Working Papers.
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paper2
2016Efficient estimation of parameters in marginal in semiparametric multivariate models.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2022The role of information in a continuous double auction: An experiment and learning model In: Journal of Economic Dynamics and Control.
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article0
2013Asset price dynamics with heterogeneous beliefs and local network interactions In: Journal of Economic Dynamics and Control.
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article10
2013Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions.(2013) In: Discussion Papers.
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This paper has another version. Agregated cites: 10
paper
2014Comparing the accuracy of multivariate density forecasts in selected regions of the copula support In: Journal of Economic Dynamics and Control.
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article7
2011Likelihood-based scoring rules for comparing density forecasts in tails In: Journal of Econometrics.
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article69
2011Likelihood-based scoring rules for comparing density forecasts in tails.(2011) In: Post-Print.
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This paper has another version. Agregated cites: 69
paper
2010Is there a symmetric nonlinear causal relationship between large and small firms? In: Journal of Empirical Finance.
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article18
2009Time-varying market integration and stock and bond return concordance in emerging markets In: Journal of Banking & Finance.
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article50
2015Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions In: Journal of Banking & Finance.
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article39
2010Learning and adaptations impact on market efficiency In: Journal of Economic Behavior & Organization.
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article7
2022Learning in two-dimensional beauty contest games: Theory and experimental evidence In: Journal of Economic Theory.
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article1
2019Planar Beauty Contests In: Working Papers.
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paper5
2019Planar Beauty Contests.(2019) In: Discussion Papers.
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paper
2019Planar Beauty Contests.(2019) In: Working Paper Series.
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This paper has another version. Agregated cites: 5
paper
2004Modified Hiemstra-Jones Test for Granger Non-causality In: Computing in Economics and Finance 2004.
[Citation analysis]
paper0
2004Testing multivariate hypotheses with positive definite bilinear forms In: Computing in Economics and Finance 2004.
[Citation analysis]
paper0
2005Test for serial independence based on quadratic forms In: Computing in Economics and Finance 2005.
[Citation analysis]
paper0
2006Evaluating the Predictive Abilities of Semiparametric Multivariate Models In: Computing in Economics and Finance 2006.
[Citation analysis]
paper0
2006Heterogeneous Beliefs Under Different Market Architectures In: Lecture Notes in Economics and Mathematical Systems.
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chapter1
2015Now you see it, now you don’t: How to make the Allais Paradox appear, disappear, or reverse In: Discussion Papers.
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paper2
2018Estimation of a Scale-Free Network Formation Model In: Discussion Papers.
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paper0
2007Impact of Analysts Recommendations on Stock Performance In: The European Journal of Finance.
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article1
2013Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support In: Tinbergen Institute Discussion Papers.
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paper0
2007Asset price dynamics with small world interactions under hetereogeneous beliefs In: Working Papers.
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paper6

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