Valentyn Panchenko : Citation Profile

Are you Valentyn Panchenko?

UNSW Sydney

12

H index

14

i10 index

1027

Citations

RESEARCH PRODUCTION:

20

Articles

33

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2004 - 2022). See details.
   Cites by year: 57
   Journals where Valentyn Panchenko has often published
   Relations with other researchers
   Recent citing documents: 111.    Total self citations: 16 (1.53 %)

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   Permalink: http://citec.repec.org/ppa214
   Updated: 2024-11-04    RAS profile: 2022-10-20    
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Relations with other researchers

Works with:

Anufriev, Mikhail (5)

Duffy, John (4)

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 (63)

Lach, Łukasz (37)

Gurgul, Henryk (33)

Anufriev, Mikhail (17)

Demirer, Riza (17)

Shahbaz, Muhammad (17)

Balcilar, Mehmet (15)

Wohar, Mark (15)

Dergiades, Theologos (14)

Tiwari, Aviral (13)

Shafiullah, Muhammad (12)

Cites to:

Hommes, Cars (43)

Diks, Cees (20)

Brock, William (20)

van Dijk, Dick (15)

Diebold, Francis (15)

Anufriev, Mikhail (15)

Giacomini, Raffaella (13)

Shiller, Robert (13)

Bottazzi, Giulio (9)

Hall, Stephen (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
Studies in Nonlinear Dynamics & Econometrics2
Journal of Banking & Finance2

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 (2024 and 2023)

YearTitle of citing document
2023.

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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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2023Scoring 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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2023Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950.

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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2023Perishable Goods versus Re-tradable Assets: A Theoretical Reappraisal of a Fundamental Dichotomy. (2023). Smith, Vernon ; Inoua, Sabiou. In: Papers. RePEc:arx:papers:2309.03432.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2023Contingent Thinking and the Sure-Thing Principle: Revisiting Classic Anomalies in the Laboratory#. (2023). Vespa, Emanuel ; Esponda, Ignacio. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt32j4d5z2.

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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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2023(A)symmetric equilibria and adaptive learning dynamics in small-committee voting. (2023). Goertz, J. M. M., ; Chernomaz, K. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188922002901.

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2023Dynamic interaction of risk–return trade-offs between oil market and China’s stock market: An analysis from the risk preferences perspective. (2023). Yin, Zhujia ; Yang, Xin ; Chen, Jiaqi ; Sun, Hao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000645.

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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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2023The impacts of investor network and herd behavior on market stability: Social learning, network structure, and heterogeneity. (2023). Diao, Xundi ; Gong, Qingbin. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:3:p:1388-1398.

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2023Portfolio selection with exploration of new investment assets. (2023). Strub, Moris S ; Sornette, Didier ; de Gennaro, Luca. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:773-792.

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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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2023Estimating and testing skewness in a stochastic volatility model. (2023). Ho, Kyu ; Lee, Cheol Woo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:445-467.

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2023The role of the COVID-19 pandemic in time-frequency connectedness between oil market shocks and green bond markets: Evidence from the wavelet-based quantile approaches. (2023). Ren, Xiaohang ; Gözgör, Giray ; Gozgor, Giray ; Qi, Yinshu ; Wei, Ping. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s014098832300155x.

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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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2023Positive synergy or negative synergy: An assessment of the carbon emission reduction effect of renewable energy policy mixes on Chinas power sector. (2023). Jiang, Pansong ; Zha, Donglan ; Cao, Yang ; Xia, Dan ; Zhang, Chaoqun. In: Energy Policy. RePEc:eee:enepol:v:183:y:2023:i:c:s0301421523003671.

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2023The roles of hydro, nuclear and biomass energy towards carbon neutrality target in China: A policy-based analysis. (2023). Shah, Muhammad Ibrahim ; Raza, Syed ; Adebayo, Tomiwa ; Yi, Sun ; Wang, Chen. In: Energy. RePEc:eee:energy:v:262:y:2023:i:pa:s0360544222021879.

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2023Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis. (2023). He, Zhifang ; Wen, Fenghua ; Xiao, Jihong. In: Energy. RePEc:eee:energy:v:267:y:2023:i:c:s036054422203451x.

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2023The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach. (2023). Sharif, Arshian ; Shah, Nida ; Raza, Syed Ali ; Gao, Pengpeng ; Sun, Yunpeng. In: Energy. RePEc:eee:energy:v:270:y:2023:i:c:s0360544223002062.

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2023Leading indicators for the US housing market: New empirical evidence and thoughts about implications for risk managers and ESG investors. (2023). Wegener, Christoph ; Saft, Danilo ; Desmyter, Steven ; Basse, Tobias. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002818.

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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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2023Time-varying relationship between geopolitical uncertainty and agricultural investment. (2023). Ghosh, Indranil ; Jana, Rabin K. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006973.

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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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2023Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality. (2023). Sha, Yezhou ; Yin, Shiqi ; Zhang, Ping. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000513.

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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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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023Evaluating probabilistic forecasts of extremes using continuous ranked probability score distributions. (2023). de Fondeville, Raphael ; Naveau, Philippe ; Fougeres, Anne-Laure ; Taillardat, Maxime. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1448-1459.

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2023Forecast combinations: An over 50-year review. (2023). Li, Feng ; Kang, Yanfei ; Hyndman, Rob J ; Wang, Xiao Qian. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1518-1547.

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2023Cross-border capital flows and information spillovers across the equity and currency markets in emerging economies. (2023). Demirer, Riza ; Ferrer, Roman ; Bathia, Deven ; Raheem, Ibrahim D. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s0261560623001493.

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2023Resource efficiency, energy productivity, and environmental quality in Japan. (2023). Kirikkaleli, Dervis. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723007171.

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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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2023The extreme risk connectedness of the global financial system: G7 and BRICS evidence. (2023). Lu, Shuai ; Li, Shaofang ; Chen, Ning. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:69:y:2023:i:c:s1042444x23000312.

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2023The asymmetric impact of oil price shocks on China stock market: Evidence from quantile-on-quantile regression. (2023). Ge, Zhenyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:120-125.

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2023The differential influence of social media sentiment on cryptocurrency returns and volatility during COVID-19. (2023). Tzeremes, Panayiotis ; Corbet, Shaen ; Papadamou, Stephanos ; Kyriazis, Nikolaos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:307-317.

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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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2023Whats at Stake? The empirical importance of government revenue and debt and renewable energy for environmental neutrality in the US economy. (2023). Adebayo, Tomiwa Sunday ; Iqbal, Hafiz Arslan ; Abbasi, Kashif Raza ; Ramzan, Muhammad. In: Renewable Energy. RePEc:eee:renene:v:205:y:2023:i:c:p:475-489.

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2023Policy design for green hydrogen. (2023). Farrell, Niall. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:178:y:2023:i:c:s1364032123000722.

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2023Assessing consensus on nexus between natural gas consumption and economic growth. (2023). Olafuyi, Saburi G ; Okoro, Emeka E. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:187:y:2023:i:c:s1364032123005324.

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2023Dynamic lead–lag relationship between Chinese carbon emission trading and stock markets under exogenous shocks. (2023). Li, Sai-Ping ; Lu, Feng-Zhi ; Yang, Ming-Yuan ; Ren, Fei ; Chen, Zhang-Hangjian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:295-305.

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2023Can the introduction of stock index futures stabilize the volatility of the stock market? Evidence from the Chinese stock market. (2023). Gu, Rongbao ; Yang, Linshan ; Liu, Shengnan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:44-58.

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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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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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2023Asymmetric effects of geopolitical risks and uncertainties on green bond markets. (2023). Baroudi, Sarra ; Sarker, Provash Kumer ; Chen, Xihui Haviour ; Tang, Yumei. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:189:y:2023:i:c:s0040162523000331.

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2023Long-Term Trends of Global Wine Market. (2023). Netzer, Yishai ; Ohana-Levi, Noa. In: Agriculture. RePEc:gam:jagris:v:13:y:2023:i:1:p:224-:d:1037907.

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2023Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy. (2023). Ratmanova, Iveta ; Ponik, Antonin ; Lisztwanova, Karolina ; Dluhoova, Dana ; Zmekal, Zdenk. In: Forecasting. RePEc:gam:jforec:v:5:y:2023:i:2:p:25-471:d:1158257.

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2023Investment Behavior of Foreign Institutional Investors and Implied Volatility Dynamics: An Empirical Study on the Indian Equity Derivatives Market. (2023). Bhatia, Satinder ; Sharma, Vijay Kumar ; Roy, Hiranmoy. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:11:p:470-:d:1272077.

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2023A New Entropic Measure for the Causality of the Financial Time Series. (2023). Lerner, Peter B. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:7:p:338-:d:1195827.

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2024.

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2023EFFICIENT ESTIMATION IN EXTREME VALUE REGRESSION MODELS OF HEDGE FUND TAIL RISKS. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Working Papers. RePEc:hal:wpaper:hal-04090916.

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2023Money and output asymmetry: The Unintended consequences of central banks obsession with inflation. (2023). Ghosh, Taniya ; Gorsi, Abhishek. In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2023-07.

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2023Sentiment-based indicators of real estate market stress and systemic risk: international evidence. (2023). Shchepeleva, Maria ; Stolbov, Mikhail. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00429-y.

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2023Price Change and Trading Volume: Behavioral Heterogeneity in Stock Market. (2023). Chia, Wai-Mun ; Wang, Wei-Siang ; Huang, Wei Hong ; Li, Changtai. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10224-4.

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2023Short- and Long-Term Interactions Between Bitcoin and Economic Variables: Evidence from the US. (2023). Bouri, Elie ; Sarker, Provash Kumer ; Wang, Lei. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10247-5.

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2023How common is the common-ratio effect?. (2023). Ortmann, Andreas ; Panchenko, Valentyn ; Blavatskyy, Pavlo. In: Experimental Economics. RePEc:kap:expeco:v:26:y:2023:i:2:d:10.1007_s10683-022-09761-y.

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2023Asymmetric dynamic risk transmission between financial stress and monetary policy uncertainty: thinking in the post-covid-19 world. (2023). Ma, Feng ; Toan, Luu Duc ; Hong, Yanran ; Liang, Chao. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:4:d:10.1007_s11156-023-01140-9.

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2023ABC-based Forecasting in State Space Models. (2023). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben ; Weerasinghe, Chaya. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-12.

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2023Monetary Policy Shocks and Multi-Scale Positive and Negative Bubbles in an Emerging Country: The Case of India. (2023). GUPTA, RANGAN ; Nielsen, Joshua ; Nel, Jacobus ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:202305.

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2023Stock Market Volatility and Multi-Scale Positive and Negative Bubbles. (2023). Pierdzioch, Christian ; Nielsen, Joshua ; Nel, Jacobus ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202310.

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2023Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets. (2023). Demirer, Riza ; Nielsen, Joshua ; Gupta, Rangan ; Gabauer, David. In: Working Papers. RePEc:pre:wpaper:202317.

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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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2023Non-linear Effect of Real Exchange Rate Variability with Macroeconomic Variable on Non-Petroleum Commodities of India– US Trade. (2023). Varshney, Sakshi ; Gupta, Mohini. In: Foreign Trade Review. RePEc:sae:fortra:v:58:y:2023:i:2:p:289-328.

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2023Identification of causal relationships in non-stationary time series with an information measure: Evidence for simulated and financial data. (2023). Diks, Cees ; Kugiumtzis, Dimitris ; Kyrtsou, Catherine ; Papana, Angeliki. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02275-9.

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2023Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets: a pre- and post-financial crisis analysis. (2023). Abakah, Emmanuel ; Hammoudeh, Shawkat ; Alagidede, Imhotep Paul ; Tiwari, Aviral Kumar. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:3:d:10.1007_s00181-023-02366-1.

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2023Diversification evidence of bitcoin and gold from wavelet analysis. (2023). Zhang, Changyong ; Husain, Afzol ; Bhuiyan, Rubaiyat Ahsan. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00495-1.

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2023Agents interaction and price dynamics: evidence from the laboratory. (2023). Morone, Andrea ; Tedeschi, Gabriele ; Caferra, Rocco. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:2:d:10.1007_s11403-022-00366-5.

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2023Dynamic effects of social influence on asset prices. (2023). Wang, Juanxi ; Zhang, Yang ; Huang, Jia-Ping. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00382-z.

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2023Linear and Nonlinear Causal Linkages Between Exports and Growth in Next Eleven Economies. (2023). el Montasser, Ghassen ; Abid, Abir ; Ben-Salha, Ousama. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:14:y:2023:i:2:d:10.1007_s13132-022-00958-3.

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2023Econometric connectedness as a measure of urban influence: evidence from Maine. (2023). Gabe, Todd ; Bharadwaj, Lakshya. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:16:y:2023:i:1:d:10.1007_s12076-023-00353-9.

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2023Further investigation of the total natural resource rents and economic growth nexus in resource-abundant sub-Saharan African countries. (2023). Shaw, Williams ; Ware, Emmanuel Opoku ; Laari, Prosper Basommi ; Kwaku, Gideon Minua. In: Mineral Economics. RePEc:spr:minecn:v:36:y:2023:i:1:d:10.1007_s13563-022-00316-4.

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2023Examining the asymmetric information flow between pairs of gold, silver, and oil: a transfer entropy approach. (2023). Maiti, Moinak ; Kayal, Parthajit. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:10:d:10.1007_s43546-023-00572-8.

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2023Bank choice, bank runs, and coordination in the presence of two Banks. (2023). Marie, Olivier ; Kopányi-Peuker, Anita ; de Jong, Johan ; Arifovic, Jasmina ; Musumeci, Marco ; Hanemaaijer, Kyra ; Kopanyi-Peuker, Anita. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230030.

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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.
[Full Text][Citation analysis]		article9
2004A note on the Hiemstra-Jones test for Granger non-causality In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper127
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: 127		article
2004A new statistic and practical guidelines for nonparametric Granger causality testing In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper457
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 nother version. Agregated cites: 457		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.
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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.
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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.
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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.
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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.
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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]		paper12
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 nother version. Agregated cites: 12		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.
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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]		article3
2013Asset price dynamics with heterogeneous beliefs and local network interactions In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article15
2013Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions.(2013) In: Discussion Papers.
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This paper has nother version. Agregated cites: 15		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]		article10
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]		article20
2009Time-varying market integration and stock and bond return concordance in emerging markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article52
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]		article47
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]		article3
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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