Valentyn Panchenko : Citation Profile

UNSW Sydney

13

H index

15

i10 index

1063

Citations

RESEARCH PRODUCTION:

20

Articles

33

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2004 - 2022). See details.
   Cites by year: 59
   Journals where Valentyn Panchenko has often published
   Relations with other researchers
   Recent citing documents: 72.    Total self citations: 16 (1.48 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa214
   Updated: 2025-04-12    RAS profile: 2022-10-20    
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Relations with other researchers

Works with:

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:

GUPTA, RANGAN (65)

Lach, Łukasz (37)

Gurgul, Henryk (33)

Shahbaz, Muhammad (18)

Anufriev, Mikhail (17)

Demirer, Riza (17)

Wohar, Mark (15)

Balcilar, Mehmet (15)

Dergiades, Theologos (14)

Tiwari, Aviral (13)

Shafiullah, Muhammad (13)

Cites to:

Hommes, Cars (43)

Brock, William (20)

Diks, Cees (20)

Diebold, Francis (15)

van Dijk, Dick (15)

Anufriev, Mikhail (15)

Shiller, Robert (13)

Giacomini, Raffaella (13)

Bottazzi, Giulio (9)

Patton, Andrew (8)

Wagener, Florian (8)

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
Computing in Economics and Finance 2004 / Society for Computational Economics2
Post-Print / HAL2

Recent works citing Valentyn Panchenko (2025 and 2024)

YearTitle of citing document
2024Zero-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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2024(Mis)information diffusion and the financial market. (2024). Peraire, Daniel Torren ; di Francesco, Tommaso. In: Papers. RePEc:arx:papers:2412.16269.

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2025The 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.

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2025Transformer Based Time-Series Forecasting for Stock. (2025). Miikkulainen, Risto ; Schulwol, Zachery B ; Li, Shuozhe. In: Papers. RePEc:arx:papers:2502.09625.

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2024The 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.

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2024Improving 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.

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2024Research 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.

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2024Return 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.

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2024Risk 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.

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2024Does 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.

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2024Optimistic 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.

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2024The 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.

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2024Combining 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.

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2024Contagion 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.

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2024Time-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.

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2024Asymmetric 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.

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2024Systemic 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.

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2024Time-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.

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2024The 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.

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2024Financial 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.

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2024Locally 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.

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2024Bank 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.

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2024Oil 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.

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2024Gold, 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.

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2024Measuring 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.

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2024Navigating 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.

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2024Asymmetric 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.

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2024The 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.

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2024Flight-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.

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2024Dynamic 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.

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2024The 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.

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2024Financial 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.

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2024.

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2025Causality 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.

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2024Evaluation 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.

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2024New 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.

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2024Research 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.

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2024Evaluating 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.

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2024Predicting 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.

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2024Long-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.

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2025Monetary 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.

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2025Baidu 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.

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2025How 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.

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2024Communication, 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.

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2024Market 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.

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Works by Valentyn Panchenko:

YearTitleTypeCited
2022On the Experimental Robustness of the Allais Paradox In: American Economic Journal: Microeconomics.
[Full Text][Citation analysis]		article10
2004A note on the Hiemstra-Jones test for Granger non-causality In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper129
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 nother version. Agregated cites: 129		article
2004A new statistic and practical guidelines for nonparametric Granger causality testing In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper481
2006A 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
2004Goodness-of-fit test for copulas In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper26
2005Goodness-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
2005Nonparametric Tests for Serial Independence Based on Quadratic Forms In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper0
2005Nonparametric Tests for Serial Independence Based on Quadratic Forms.(2005) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 0		paper
2006Rank-based entropy tests for serial independence In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper2
2008Rank-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
2006E&F Chaos: a user friendly software package for nonlinear economic dynamics In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper27
2008E&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
2007Asset Prices, Traders Behavior, and Market Design In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper40
2009Asset 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
2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper6
2008Partial 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
2008Partial 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
2008Out-of-sample comparison of copula specifications in multivariate density forecasts In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper31
2010Out-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
2010Out-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
2008Out-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
2008Out-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
2010Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper20
2013Efficiency 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
2010Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper4
2018Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves In: Papers.
[Full Text][Citation analysis]		paper13
2019Wright 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
2011Efficient estimation of parameters in marginals in semiparametric multivariate models In: Working Papers.
[Citation analysis]		paper2
2016Efficient 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
2022The role of information in a continuous double auction: An experiment and learning model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article4
2013Asset price dynamics with heterogeneous beliefs and local network interactions In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article17
2013Asset 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
2014Comparing the accuracy of multivariate density forecasts in selected regions of the copula support In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article11
2011Likelihood-based scoring rules for comparing density forecasts in tails In: Journal of Econometrics.
[Full Text][Citation analysis]		article89
2011Likelihood-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
2010Is there a symmetric nonlinear causal relationship between large and small firms? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article21
2009Time-varying market integration and stock and bond return concordance in emerging markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article53
2015Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article48
2010Learning and adaptations impact on market efficiency In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article7
2022Learning in two-dimensional beauty contest games: Theory and experimental evidence In: Journal of Economic Theory.
[Full Text][Citation analysis]		article4
2019Planar Beauty Contests In: Working Papers.
[Full Text][Citation analysis]		paper5
2019Planar Beauty Contests.(2019) In: Discussion Papers.
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This paper has nother version. Agregated cites: 5		paper
2019Planar Beauty Contests.(2019) In: Working Paper Series.
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This paper has nother 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.
[Citation analysis]		chapter1
2015Now you see it, now you don’t: How to make the Allais Paradox appear, disappear, or reverse In: Discussion Papers.
[Full Text][Citation analysis]		paper3
2018Estimation of a Scale-Free Network Formation Model In: Discussion Papers.
[Full Text][Citation analysis]		paper0
2007Impact of Analysts Recommendations on Stock Performance In: The European Journal of Finance.
[Full Text][Citation analysis]		article3
2013Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2007Asset price dynamics with small world interactions under hetereogeneous beliefs In: Working Papers.
[Full Text][Citation analysis]		paper6

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