Valentyn Panchenko : Citation Profile


Are you Valentyn Panchenko?

UNSW (Australia)

9

H index

8

i10 index

422

Citations

RESEARCH PRODUCTION:

16

Articles

27

Papers

RESEARCH ACTIVITY:

   11 years (2004 - 2015). See details.
   Cites by year: 38
   Journals where Valentyn Panchenko has often published
   Relations with other researchers
   Recent citing documents: 67.    Total self citations: 13 (2.99 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa214
   Updated: 2018-05-19    RAS profile: 2016-03-24    
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Relations with other researchers


Works with:

van Dijk, Dick (2)

Anufriev, Mikhail (2)

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

Is cited by:

Lach, Łukasz (36)

Gurgul, Henryk (32)

GUPTA, RANGAN (15)

Dergiades, Theologos (13)

Rossi, Barbara (9)

Balcilar, Mehmet (9)

Bekiros, Stelios (7)

Tuinstra, Jan (7)

Shahbaz, Muhammad (6)

Panagiotidis, Theodore (6)

Tsoulfidis, Lefteris (5)

Cites to:

Hommes, Cars (28)

Brock, William (17)

Diks, Cees (16)

Giacomini, Raffaella (13)

Diebold, Francis (13)

van Dijk, Dick (11)

Timmermann, Allan (10)

Swanson, Norman (10)

Anufriev, Mikhail (9)

Chiarella, Carl (9)

White, Halbert (9)

Main data


Where Valentyn Panchenko has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control5
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 Wales4
Tinbergen Institute Discussion Papers / Tinbergen Institute4
Computing in Economics and Finance 2004 / Society for Computational Economics2
Post-Print / HAL2

Recent works citing Valentyn Panchenko (2018 and 2017)


YearTitle of citing document
2017Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751.

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2017Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Dungey, Mardi ; Veredas, David ; Matei, Marius. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:1-19.

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2017Linear and Non-Linear Granger Causality Between Short-Term and Long-Term Interest Rates: A Rolling Window Strategy. (2017). Lavoie, Marc ; Chu, Ba ; Ba M. Chu, ; Rahimi, Azadeh. In: Metroeconomica. RePEc:bla:metroe:v:68:y:2017:i:4:p:882-902.

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2017Short- and long-run causality across the implied volatility of crude oil and agricultural commodities. (2017). Roubaud, David ; Bouri, Elie ; Lien, Donald ; Kachacha, Imad . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00098.

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2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach. (2017). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:74-81.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2017Frontier and emerging government bond markets. (2017). Swinkels, Laurens ; Piljak, Vanja. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:232-255.

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2017Wavelet-based test of co-movement and causality between oil and renewable energy stock prices. (2017). Ugolini, Andrea ; Reboredo, Juan ; Rivera-Castro, Miguel A. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:241-252.

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2017Joint price and volumetric risk in wind power trading: A copula approach. (2017). Pircalabu, A ; Hog, E ; Jung, J ; Hvolby, T. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:139-154.

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2017The CO2–growth nexus revisited: A nonparametric analysis for the G7 economies over nearly two centuries. (2017). Shahbaz, Muhammad ; Papavassiliou, Vassilios ; Hammoudeh, Shawkat ; Shafiullah, Muhammad. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:183-193.

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2017The relationship between regional natural gas markets and crude oil markets from a multi-scale nonlinear Granger causality perspective. (2017). Ji, Qiang ; Geng, Jiang-Bo ; Fan, Ying. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:98-110.

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2017Dynamic multiscale interactions between European carbon and electricity markets during 2005–2016. (2017). Wei, Yi-Ming ; Chevallier, Julien ; Han, Dong ; Zhu, Bangzhu. In: Energy Policy. RePEc:eee:enepol:v:107:y:2017:i:c:p:309-322.

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2017The impacts of oil price shocks on small oil-importing economies: Time series evidence for Liberia. (2017). Repha, Isaac Yak ; Wesseh, Presley K ; Wang, Zhen ; Gbatu, Abimelech Paye. In: Energy. RePEc:eee:energy:v:139:y:2017:i:c:p:975-990.

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2018Future directions in international financial integration research - A crowdsourced perspective. (2018). Zaghini, Andrea ; Fernandez, Viviana ; Gonzalez-Urteaga, Ana ; Vu, Anh N ; Marin, Matej ; Gogolin, Fabian ; Versteeg, Roald ; Ly, Kim Cuong ; Urquhart, Andrew ; Lonarski, Igor ; Dimic, Nebojsa ; Stafylas, Dimitrios ; Lindblad, Annika ; Carchano, Oscar ; Sheng, Xin ; Larkin, Charles J ; Brzeszczynski, Janusz ; Sevic, Aleksandar ; Laing, Elaine ; Barbopoulos, Leonidas ; Piljak, Vanja ; Kearney, Fearghal ; Ballester, Laura ; Ohagan-Luff, Martha ; Ichev, Riste ; Vigne, Samuel A ; Yarovaya, Larisa ; Neville, Conor ; Helbing, Pia ; Lucey, Brian M ; Wolfe, Simon ; McGroarty, Frank ; Goodell, John W ; McGee, Richard J. In: International Review of Financial Analysis. RePEc:eee:finana:v:
2017Price dynamics, social networks and communication. (2017). Li, Bingqing ; Lu, Guoxiang ; Wang, Lijia . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:197-201.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017The value of bank capital buffers in maintaining financial system resilience. (2017). Bui, Christina ; Wu, Eliza ; Scheule, Harald . In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:23-40.

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2017Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

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2018Are macroeconomic density forecasts informative?. (2018). Clements, Michael. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:181-198.

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2017Investor sentiment, flight-to-quality, and corporate bond comovement. (2017). Bethke, Sebastian ; Kempf, Alexander ; Gehde-Trapp, Monika . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:112-132.

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2018Revisiting the bi-directional causality between debt and growth: Evidence from linear and nonlinear tests. (2018). de Vita, Glauco ; Luo, Yun ; Trachanas, Emmanouil. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:55-74.

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2017.

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2017Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices. (2017). Roubaud, David ; Bouri, Elie ; Biswal, P C ; Jain, Anshul . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:201-206.

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2017Does oil predict gold? A nonparametric causality-in-quantiles approach. (2017). Shahbaz, Muhammad ; Balcilar, Mehmet ; Ozdemir, Zeynel Abidin . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:257-265.

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2017Why do vulnerability cycles matter in financial networks?. (2017). Tabak, Benjamin ; Silva, Thiago ; Guerra, Solange. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:592-606.

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2017Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA. (2017). Lu, Xinsheng ; Ge, Jintian ; Sun, Xinxin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:474:y:2017:i:c:p:144-161.

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2017Multiscale Shannon entropy and its application in the stock market. (2017). Gu, Rongbao . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:215-224.

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2017Low-traffic limit and first-passage times for a simple model of the continuous double auction. (2017). Scalas, Enrico ; Radivojevi, Tijana ; Rapallo, Fabio . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:61-72.

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2018A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test. (2018). Faria, S H ; Neumann, M B ; Polanco-Martinez, J M ; Fernandez-Macho, J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1211-1227.

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2018The lead-lag relationships between spot and futures prices of natural gas. (2018). Zhang, Yahui ; Liu, LI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:203-211.

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2018A global network topology of stock markets: Transmitters and receivers of spillover effects. (2018). Shahzad, Syed Jawad Hussain ; Zakaria, Muhammad ; Al-Yahyaee, Khamis Hamed ; Ur, Mobeen ; Hernandez, Jose Areola ; Hussain, Syed Jawad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:492:y:2018:i:c:p:2136-2153.

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2018Co-movement between equity and bond markets. (2018). Sakemoto, Ryuta. In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:25-38.

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2017Mapping the Stocks in MICEX: Who Is Central in Moscow Stock Exchange?. (2017). Vladimirov, Evgenii . In: EUSP Department of Economics Working Paper Series. RePEc:eus:wpaper:ec0117.

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2018Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey. (2018). Gozde, Zafer Adali. In: Fiscaoeconomia. RePEc:fis:journl:180105.

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2018Exchange Rate and Oil Price Interactions in Selected CEE Countries. (2018). Drachal, Krzysztof . In: Economies. RePEc:gam:jecomi:v:6:y:2018:i:2:p:31-:d:146114.

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2017Individual Dynamic Choice Behaviour and the Common Consequence Effect. (2017). Ruiz, Maria J. In: ThE Papers. RePEc:gra:wpaper:17/01.

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2018Systemic risk in Europe: deciphering leading measures, common patterns and real effects. (2018). Stolbov, Mikhail ; Shchepeleva, Maria. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0310-3.

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2017Contrarian Behavior, Information Networks and Heterogeneous Expectations in an Asset Pricing Model. (2017). Makarewicz, Tomasz. In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:2:d:10.1007_s10614-016-9607-y.

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2018Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data. (2018). Huang, Ya-Chi ; Tsao, Chueh-Yung. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-016-9643-7.

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2017Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market. (2017). Poshakwale, Sunil S ; Mandal, Anandadeep . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0580-2.

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2017Untangling the causal relationship between tax burden distribution and economic growth in 23 OECD countries: Fresh evidence from linear and non-linear Granger causality. (2017). FARHAT, Abdeljelil ; Haj, Meriem Bel ; Saafi, Sami . In: European Journal of Comparative Economics. RePEc:liu:liucej:v:14:y:2017:i:2:p:265-301.

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2017Does Oil Predict Gold? A Nonparametric Causality-in-Quantiles Approach. (2017). Shahbaz, Muhammad ; Ozdemir, Zeynel ; Balcilar, Mehmet. In: MPRA Paper. RePEc:pra:mprapa:77324.

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2017Determinants of stock-bond market comovement in the Eurozone under model uncertainty. (2017). Skintzi, Vasiliki. In: MPRA Paper. RePEc:pra:mprapa:78278.

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2017The CO2-Growth nexus revisited: A nonparametric analysis for G7 economies over nearly two centuries. (2017). Shahbaz, Muhammad ; Papavassiliou, Vassilios ; Shafiullah, Muhammad ; Hammoudeh, Shawkat. In: MPRA Paper. RePEc:pra:mprapa:79019.

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2017Credit Ratings and Predictability of Stock Returns and Volatility of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach. (2017). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Bathia, Deven . In: Working Papers. RePEc:pre:wpaper:201719.

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2017The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test. (2017). GUPTA, RANGAN ; Balcilar, Mehmet ; Bahloul, Walid ; Cunado, Juncal. In: Working Papers. RePEc:pre:wpaper:201725.

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2017OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach. (2017). Yoon, Seong-Min ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201726.

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2017Partisan Conflict and Income Distribution in the United States: A Nonparametric Causality-in-Quantiles Approach. (2017). Miller, Stephen ; GUPTA, RANGAN ; Balcilar, Mehmet ; Akadiri, Seyi. In: Working Papers. RePEc:pre:wpaper:201741.

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2017The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over 250 Years of Data. (2017). Wohar, Mark ; GUPTA, RANGAN ; Volkman, David A ; Risse, Marian. In: Working Papers. RePEc:pre:wpaper:201755.

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2017Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks. (2017). Wohar, Mark ; GUPTA, RANGAN ; Suleman, Tahir. In: Working Papers. RePEc:pre:wpaper:201767.

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2017The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility. (2017). Wohar, Mark ; GUPTA, RANGAN ; Suleman, Tahir. In: Working Papers. RePEc:pre:wpaper:201770.

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2017Time-Varying Causality between Equity and Currency Returns in the United Kingdom: Evidence from Over Two Centuries of Data. (2017). Kanda, Patrick ; GUPTA, RANGAN ; Burke, Michael. In: Working Papers. RePEc:pre:wpaper:201778.

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2018Volatility Jumps: The Role of Geopolitical Risks. (2018). GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Wohar, Mark E. In: Working Papers. RePEc:pre:wpaper:201805.

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2018Information Spillover across International Real Estate Investment Trusts: Evidence from an Entropy-Based Network Analysis. (2018). GUPTA, RANGAN ; Marfatia, Hardik A ; Ji, Qiang. In: Working Papers. RePEc:pre:wpaper:201815.

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2018A Density-based Estimator of Core/Periphery Network Structures: Analysing the Australian Interbank Market. (2018). Brassil, Anthony ; Nodari, Gabriela. In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2018-01.

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2018On the robustness of portfolio allocation under copula misspecification. (2018). Prigent, Jean-Luc ; ben Saida, Abdallah. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2137-0.

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2018Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis. (2018). Xu, Xiaojie . In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1245-2.

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2017A new look at oil price pass-through into inflation: evidence from disaggregated European data. (2017). Poncela, Pilar ; Jiménez-Rodríguez, Rebeca ; Senra, Eva ; Jimenez-Rodriguez, Rebeca ; Castro, Cesar . In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:34:y:2017:i:1:d:10.1007_s40888-016-0048-9.

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2017Defence expenditure and economic growth in Latin American countries: evidence from linear and nonlinear causality tests. (2017). Tzeremes, Nickolaos ; Paleologou, Suzanna ; Kollias, Christos. In: Latin American Economic Review. RePEc:spr:laecrv:v:26:y:2017:i:1:d:10.1007_s40503-017-0039-4.

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2017The Discouraged Worker and Suicide in the United States. (2017). Liu, De-Chih . In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:134:y:2017:i:2:d:10.1007_s11205-016-1437-8.

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2018US Economic Uncertainty, EU Business Cycles and the Global Financial Crisis. (2018). Hassan, Syed ; Choudhry, Taufiq ; Shabi, Sarosh. In: Working Papers. RePEc:swn:wpaper:2018-05.

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2018The dynamic causality between commodity prices, inflation and output in China: a bootstrap rolling window approach. (2018). Zhang, XU ; Yao, Dengbao ; Liu, Xiaoxing. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:4:p:407-425.

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2017The changing international network of sovereign debt and financial institutions. (2017). Dungey, Mardi ; Volkov, Vladimir ; Harvey, John . In: Working Papers. RePEc:tas:wpaper:23500.

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2018Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction. (2018). Li, Mengheng ; Koopman, Siem Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180027.

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2017Partisan Conflict and Income Distribution in the United States: A Nonparametric Causality-in-Quantiles Approach. (2017). Miller, Stephen ; GUPTA, RANGAN ; Balcilar, Mehmet ; Akadiri, Seyi. In: Working papers. RePEc:uct:uconnp:2017-11.

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2017Alternative tests for correct specification of conditional predictive densities. (2017). Sekhposyan, Tatevik ; Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1416.

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2017INTERMITTENT BEHAVIOR INDUCED BY ASYNCHRONOUS INTERACTIONS IN A CONTINUOUS DOUBLE AUCTION MODEL. (2017). Sasai, Kazuto ; Kinoshita, Tetsuo ; Gunji, Yukio-Pegio. In: Advances in Complex Systems (ACS). RePEc:wsi:acsxxx:v:20:y:2017:i:02n03:n:s0219525917500059.

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Works by Valentyn Panchenko:


YearTitleTypeCited
2004A note on the Hiemstra-Jones test for Granger non-causality In: CeNDEF Working Papers.
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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: 52
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2004A new statistic and practical guidelines for nonparametric Granger causality testing In: CeNDEF Working Papers.
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2006A new statistic and practical guidelines for nonparametric Granger causality testing.(2006) In: Journal of Economic Dynamics and Control.
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2004Goodness-of-fit test for copulas In: CeNDEF Working Papers.
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2005Goodness-of-fit test for copulas.(2005) In: Physica A: Statistical Mechanics and its Applications.
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2005Nonparametric Tests for Serial Independence Based on Quadratic Forms In: CeNDEF Working Papers.
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2005Nonparametric Tests for Serial Independence Based on Quadratic Forms.(2005) In: Tinbergen Institute Discussion Papers.
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2006Rank-based entropy tests for serial independence In: CeNDEF Working Papers.
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2008Rank-based Entropy Tests for Serial Independence.(2008) In: Studies in Nonlinear Dynamics & Econometrics.
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2006E&F Chaos: a user friendly software package for nonlinear economic dynamics In: CeNDEF Working Papers.
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2008E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics.(2008) In: Computational Economics.
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2007Asset Prices, Traders Behavior, and Market Design In: CeNDEF Working Papers.
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2009Asset prices, traders behavior and market design.(2009) In: Journal of Economic Dynamics and Control.
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2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails In: CeNDEF Working Papers.
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2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Discussion Papers.
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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: 5
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2008Out-of-sample comparison of copula specifications in multivariate density forecasts In: CeNDEF Working Papers.
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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: 15
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2010Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Post-Print.
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2008Out-of-sample comparison of copula specifications in multivariate density forecasts.(2008) In: Discussion Papers.
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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: 15
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2010Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information In: CeNDEF Working Papers.
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2013Efficiency of continuous double auctions under individual evolutionary learning with full or limited information.(2013) In: Journal of Evolutionary Economics.
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2010Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs In: CeNDEF Working Papers.
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2011Efficient estimation of parameters in marginals in semiparametric multivariate models In: Working Papers.
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2013Asset price dynamics with heterogeneous beliefs and local network interactions In: Journal of Economic Dynamics and Control.
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2013Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions.(2013) In: Discussion Papers.
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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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2011Likelihood-based scoring rules for comparing density forecasts in tails In: Journal of Econometrics.
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2011Likelihood-based scoring rules for comparing density forecasts in tails.(2011) In: Post-Print.
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2010Is there a symmetric nonlinear causal relationship between large and small firms? In: Journal of Empirical Finance.
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2009Time-varying market integration and stock and bond return concordance in emerging markets In: Journal of Banking & Finance.
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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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2010Learning and adaptations impact on market efficiency In: Journal of Economic Behavior & Organization.
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2004Modified Hiemstra-Jones Test for Granger Non-causality In: Computing in Economics and Finance 2004.
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2004Testing multivariate hypotheses with positive definite bilinear forms In: Computing in Economics and Finance 2004.
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2005Test for serial independence based on quadratic forms In: Computing in Economics and Finance 2005.
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2006Evaluating the Predictive Abilities of Semiparametric Multivariate Models In: Computing in Economics and Finance 2006.
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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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2007Impact of Analysts Recommendations on Stock Performance In: The European Journal of Finance.
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2013Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support In: Tinbergen Institute Discussion Papers.
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2007Asset price dynamics with small world interactions under hetereogeneous beliefs In: Working Papers.
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