13
H index
15
i10 index
1063
Citations
UNSW Sydney | 13 H index 15 i10 index 1063 Citations RESEARCH PRODUCTION: 20 Articles 33 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Valentyn Panchenko. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Economic Dynamics and Control | 7 |
Journal of Banking & Finance | 2 |
Studies in Nonlinear Dynamics & Econometrics | 2 |
Year | Title of citing document |
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2024 | Zero-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. Full description at Econpapers || Download paper |
2024 | (Mis)information diffusion and the financial market. (2024). Peraire, Daniel Torren ; di Francesco, Tommaso. In: Papers. RePEc:arx:papers:2412.16269. Full description at Econpapers || Download paper |
2025 | The Response of Farmer Welfares Amidst Food Prices Shock and Inflation in the Province of East Java. (2025). Zaman, Moh Hairus ; Wahyuningsih, Diah ; Yudo, Ris Yuwono. In: Papers. RePEc:arx:papers:2501.08601. Full description at Econpapers || Download paper |
2025 | Transformer Based Time-Series Forecasting for Stock. (2025). Miikkulainen, Risto ; Schulwol, Zachery B ; Li, Shuozhe. In: Papers. RePEc:arx:papers:2502.09625. Full description at Econpapers || Download paper |
2024 | The economic growth–travel frequency nexus in China: Importance of the transport Kuznets curve. (2024). Shahbaz, Muhammad ; Shafiullah, Muhammad ; Khalid, Usman ; Jiao, Zhilun ; Song, Malin. In: The World Economy. RePEc:bla:worlde:v:47:y:2024:i:3:p:898-929. Full description at Econpapers || Download paper |
2024 | Improving probabilistic wind speed forecasting using M-Rice distribution and spatial data integration. (2024). Muzy, Jean-Franois ; Baggio, Roberta. In: Applied Energy. RePEc:eee:appene:v:360:y:2024:i:c:s030626192400223x. Full description at Econpapers || Download paper |
2024 | Research of the non-linear dynamic relationship between global economic policy uncertainty and crude oil prices. (2024). Wang, Longle ; You, Zhe ; Gong, Mengqi ; Ruan, Dapeng. In: Journal of Asian Economics. RePEc:eee:asieco:v:90:y:2024:i:c:s1049007823000933. Full description at Econpapers || Download paper |
2024 | Return volatility and trading volume of GameFi. (2024). Shen, Dehua ; Goodell, John W ; Shi, Guiqiang. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000704. Full description at Econpapers || Download paper |
2024 | Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596. Full description at Econpapers || Download paper |
2024 | Does the international oil market interact with China’s financial market? New evidence from time-varying higher moments. (2024). Liu, Xiaoxing ; Zhou, Donghai ; Tang, Chun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001177. Full description at Econpapers || Download paper |
2024 | Optimistic or pessimistic: How do investors impact the green bond market?. (2024). Song, Xin Yue ; Lobon, Oana-Ramona ; Umar, Muhammad ; Qin, Meng ; Su, Chi Wei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001736. Full description at Econpapers || Download paper |
2024 | The spread of misinformation in networks with individual and social learning. (2024). della Lena, Sebastiano. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124001338. Full description at Econpapers || Download paper |
2024 | Combining probabilistic forecasts of intermittent demand. (2024). Petropoulos, Fotios ; Kang, Yanfei ; Wang, Shengjie. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:3:p:1038-1048. Full description at Econpapers || Download paper |
2024 | Contagion network of idiosyncratic volatility: Does corporate environmental responsibility matter?. (2024). Wang, Mengxin ; Li, Yanling ; Liao, Gaoke. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006667. Full description at Econpapers || Download paper |
2024 | Time-varying causality impact of economic policy uncertainty on stock market returns: Global evidence from developed and emerging countries. (2024). Zhang, Feipeng ; Hong, Yun. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005070. Full description at Econpapers || Download paper |
2024 | Asymmetric impact of oil price shocks on inflation: Evidence from quantile-on-quantile regression. (2024). Sun, Yang ; Ge, Zhenyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000292. Full description at Econpapers || Download paper |
2024 | Systemic risk prediction using machine learning: Does network connectedness help prediction?. (2024). Wang, Gang-Jin ; Zhu, You ; Chen, Yan ; Xie, Chi. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000796. Full description at Econpapers || Download paper |
2024 | Time-varying causality among whisky, wine, and equity markets. (2024). Moroz, David ; Pecchioli, Bruno ; Fromentin, Vincent. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003751. Full description at Econpapers || Download paper |
2024 | The uncertainty of fluctuation correlations in global stock markets. (2024). Rong, Xueyun ; Yin, Lei ; Wang, Faming. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324007372. Full description at Econpapers || Download paper |
2024 | Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543. Full description at Econpapers || Download paper |
2024 | Locally tail-scale invariant scoring rules for evaluation of extreme value forecasts. (2024). Rootzen, Holger ; Olafsdottir, Helga Kristin ; Bolin, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1701-1720. Full description at Econpapers || Download paper |
2024 | Bank choice, bank runs, and coordination in the presence of two banks. (2024). Kopányi-Peuker, Anita ; de Jong, Johan ; Arifovic, Jasmina ; Kopanyi-Peuker, Anita. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:225:y:2024:i:c:p:392-410. Full description at Econpapers || Download paper |
2024 | Oil price volatility and gold prices volatility asymmetric links with natural resources via financial market fluctuations: Implications for green recovery. (2024). Du, Qingfeng ; Li, Yang. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s030142072300990x. Full description at Econpapers || Download paper |
2024 | Gold, platinum and the predictability of bubbles in global stock markets. (2024). Demirer, Riza ; Nielsen, Joshua ; Gupta, Rangan ; Gabauer, David. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724001752. Full description at Econpapers || Download paper |
2024 | Measuring wholesale electricity price risk from climate change: Evidence from Portugal. (2024). Fuinhas, Jos Alberto ; Entezari, Negin. In: Utilities Policy. RePEc:eee:juipol:v:91:y:2024:i:c:s0957178724001309. Full description at Econpapers || Download paper |
2024 | Navigating the storm: Time-frequency quantile dependence and non-linear causality between crypto-currency market volatility and financial instability. (2024). Bouzouita, Nesrine ; Chaabane, Najeh ; Gaies, Brahim. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:43-70. Full description at Econpapers || Download paper |
2024 | Asymmetric effects of commodity and stock market on Chinese green market: Evidence from wavelet-based quantile-on-quantile approach. (2024). Zhang, Shasha ; Niu, Hongli. In: Renewable Energy. RePEc:eee:renene:v:230:y:2024:i:c:s0960148124008620. Full description at Econpapers || Download paper |
2024 | The time-varying and asymmetric impacts of oil price shocks on geopolitical risk. (2024). Sun, Hao ; He, Zhifang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:942-957. Full description at Econpapers || Download paper |
2024 | Flight-to-safety across time and market conditions. (2024). Jalkh, Naji ; Bouri, Elie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s105905602400340x. Full description at Econpapers || Download paper |
2024 | Dynamic interactions among trade policy uncertainty, climate policy uncertainty, and crude oil prices. (2024). He, Zhifang ; Xu, Wei ; Qian, Wanchuan ; Dong, Tianqi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004714. Full description at Econpapers || Download paper |
2024 | The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets: Evidence from the pre- and post-COVID-19 periods. (2024). Hammoudeh, Shawkat ; Khalfaoui, Rabeh ; Tarchella, Salma. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002519. Full description at Econpapers || Download paper |
2024 | Financial forecasting improvement with LSTM-ARFIMA hybrid models and non-Gaussian distributions. (2024). Rabbouch, Hana ; Saadaoui, Foued. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:206:y:2024:i:c:s0040162524003354. Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2025 | Causality Between Carbon Emissions, Temperature Changes, and Health Expenditures: A Comparative Panel Approach with Environmental and Economic Indicators. (2025). Ozaner, Demet ; Yilmaz, Salim. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:3:p:1330-:d:1585099. Full description at Econpapers || Download paper |
2024 | Evaluation of Türkiye€™s Domestic Prices and Exchange Rate Relationship with State Space Models. (2024). Bostanc, Fikriye Ceren ; Koa, Selauk. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2024:i:41:p:161-171. Full description at Econpapers || Download paper |
2024 | New Evidence of Causal Relationships Between Government Spending and Economic Growth in the United Kingdom. (2024). Saraidaris, Anastasios ; Pempetzoglou, Maria ; Karagianni, Stella. In: Atlantic Economic Journal. RePEc:kap:atlecj:v:52:y:2024:i:4:d:10.1007_s11293-024-09814-y. Full description at Econpapers || Download paper |
2024 | Research on Identification and Correction of Fund Investment Style Drift Based on FSD Model. (2024). Li, Jizu ; Zhang, Zhicheng ; Guo, Yanyu ; Du, Huayun. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10534-9. Full description at Econpapers || Download paper |
2024 | Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context. (2024). Cheng, Jie. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10571-y. Full description at Econpapers || Download paper |
2024 | Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks. (2024). GUPTA, RANGAN ; Caraiani, Petre ; Cepni, Oguzhan ; Caporin, Massimiliano. In: Working Papers. RePEc:pre:wpaper:202407. Full description at Econpapers || Download paper |
2024 | Long-Span Multi-Layer Spillovers between Moments of Advanced Equity Markets: The Role of Climate Risks. (2024). Ji, Qiang ; Gupta, Rangan ; Plakandaras, Vasilios ; Foglia, Matteo. In: Working Papers. RePEc:pre:wpaper:202415. Full description at Econpapers || Download paper |
2025 | Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India. (2025). Gupta, Rangan ; Cepni, Oguzhan ; Nielsen, Joshua ; Nel, Jacobus. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00692-6. Full description at Econpapers || Download paper |
2025 | Baidu News and the return volatility of Chinese commodity futures: evidence for the sequential information arrival hypothesis. (2025). Xiong, Xiong ; Ma, Junjun ; Zhang, Yuzhao ; Zhao, Ruwei. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00753-4. Full description at Econpapers || Download paper |
2025 | How does digital transformation improve ESG performance? Empirical research from 396 enterprises. (2025). Ren, Jun ; Chen, Yingyu. In: International Entrepreneurship and Management Journal. RePEc:spr:intemj:v:21:y:2025:i:1:d:10.1007_s11365-024-01011-2. Full description at Econpapers || Download paper |
2024 | Communication, networks and asset price dynamics: a survey. (2024). Hatcher, Michael ; Hellmann, Tim. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:19:y:2024:i:1:d:10.1007_s11403-023-00395-8. Full description at Econpapers || Download paper |
2024 | Market efficiency of the cryptocurrencies: Some new evidence based on price–volume relationship. (2024). Sethi, Dinabandhu ; Sahoo, Pradipta Kumar. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1569-1580. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2022 | On the Experimental Robustness of the Allais Paradox In: American Economic Journal: Microeconomics. [Full Text][Citation analysis] | article | 10 |
2004 | A note on the Hiemstra-Jones test for Granger non-causality In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 129 |
2005 | A Note on the Hiemstra-Jones Test for Granger Non-causality.(2005) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 129 | article | |
2004 | A new statistic and practical guidelines for nonparametric Granger causality testing In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 481 |
2006 | A new statistic and practical guidelines for nonparametric Granger causality testing.(2006) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 481 | article | |
2004 | Goodness-of-fit test for copulas In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 26 |
2005 | Goodness-of-fit test for copulas.(2005) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
2005 | Nonparametric Tests for Serial Independence Based on Quadratic Forms In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | Nonparametric Tests for Serial Independence Based on Quadratic Forms.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2006 | Rank-based entropy tests for serial independence In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 2 |
2008 | Rank-based Entropy Tests for Serial Independence.(2008) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2006 | E&F Chaos: a user friendly software package for nonlinear economic dynamics In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 27 |
2008 | E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics.(2008) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
2007 | Asset Prices, Traders Behavior, and Market Design In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 40 |
2009 | Asset prices, traders behavior and market design.(2009) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | article | |
2008 | Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 6 |
2008 | Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2008 | Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2008 | Out-of-sample comparison of copula specifications in multivariate density forecasts In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 31 |
2010 | Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
2010 | Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
2008 | Out-of-sample comparison of copula specifications in multivariate density forecasts.(2008) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
2008 | Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
2010 | Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 20 |
2013 | Efficiency of continuous double auctions under individual evolutionary learning with full or limited information.(2013) In: Journal of Evolutionary Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
2010 | Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 4 |
2018 | Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves In: Papers. [Full Text][Citation analysis] | paper | 13 |
2019 | Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves.(2019) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
2011 | Efficient estimation of parameters in marginals in semiparametric multivariate models In: Working Papers. [Citation analysis] | paper | 2 |
2016 | Efficient estimation of parameters in marginal in semiparametric multivariate models.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2022 | The role of information in a continuous double auction: An experiment and learning model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 4 |
2013 | Asset price dynamics with heterogeneous beliefs and local network interactions In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 17 |
2013 | Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions.(2013) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2014 | Comparing the accuracy of multivariate density forecasts in selected regions of the copula support In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 11 |
2011 | Likelihood-based scoring rules for comparing density forecasts in tails In: Journal of Econometrics. [Full Text][Citation analysis] | article | 89 |
2011 | Likelihood-based scoring rules for comparing density forecasts in tails.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 89 | paper | |
2010 | Is there a symmetric nonlinear causal relationship between large and small firms? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 21 |
2009 | Time-varying market integration and stock and bond return concordance in emerging markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 53 |
2015 | Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 48 |
2010 | Learning and adaptations impact on market efficiency In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 7 |
2022 | Learning in two-dimensional beauty contest games: Theory and experimental evidence In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 4 |
2019 | Planar Beauty Contests In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2019 | Planar Beauty Contests.(2019) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2019 | Planar Beauty Contests.(2019) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2004 | Modified Hiemstra-Jones Test for Granger Non-causality In: Computing in Economics and Finance 2004. [Citation analysis] | paper | 0 |
2004 | Testing multivariate hypotheses with positive definite bilinear forms In: Computing in Economics and Finance 2004. [Citation analysis] | paper | 0 |
2005 | Test for serial independence based on quadratic forms In: Computing in Economics and Finance 2005. [Citation analysis] | paper | 0 |
2006 | Evaluating the Predictive Abilities of Semiparametric Multivariate Models In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
2006 | Heterogeneous Beliefs Under Different Market Architectures In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 1 |
2015 | Now you see it, now you don’t: How to make the Allais Paradox appear, disappear, or reverse In: Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2018 | Estimation of a Scale-Free Network Formation Model In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Impact of Analysts Recommendations on Stock Performance In: The European Journal of Finance. [Full Text][Citation analysis] | article | 3 |
2013 | Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Asset price dynamics with small world interactions under hetereogeneous beliefs In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
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