Professor Valentyn Panchenko

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Valentyn Panchenko is a Professor in Economics at UNSW Business School. He holds a PhD degree from the University of Amsterdam, Netherlands, an MPhil degree from Tingergen Institute, Netherlands.

Valentyn's main research area is Econometrics including big data, networks, dependence modelling, Granger causality, model evaluation and prediction, and structural modelling. He is also interested in economic models with bounded rationality, heterogeneous agents, learning and economic interactions, and economic experiments.

Valentyn has published articles in the Journal of Econometric Theory, AEJ:Micro, Journal of Econometrics, Experimental Economics, Journal of Economic Dynamics & Control and Journal of Banking & Finance among others. Valentyn has been the chief investigator on various research projects and grants including the ARC Discovery Projects and DECRA.

For more information, visit Valentyn's research website.

Phone

+61-2-9065 1096

E-mail

v.panchenko@unsw.edu.au

Location

Room 440, UNSW Business School building

Journal articles | 2024

Anufriev M; Arifovic J; Donmez A; Ledyard J; Panchenko V, 2024, 'IEL-CDA model: A more accurate theory of behavior in continuous double auctions', Journal of Economic Dynamics and Control, http://dx.doi.org/10.1016/j.jedc.2024.104840

Journal articles | 2024

Anufriev M; Duffy J; Panchenko V, 2024, 'Individual evolutionary learning in repeated beauty contest games', Journal of Economic Behavior and Organization, 218, pp. 550 - 567, http://dx.doi.org/10.1016/j.jebo.2023.12.010

Journal articles | 2024

Medovikov I; Panchenko V; Prokhorov A, 2024, 'Efficient Estimation of Parameters in Marginals in Semiparametric Multivariate Models', Journal of Computational And Graphical Statistics (JCGS), http://dx.doi.org/10.1080/10618600.2024.2441988

Journal articles | 2024

Zelenyuk V; Panchenko V, 2024, 'Generalized theory for measuring efficiency of individuals and groups', Annals of Operations Research, 332, pp. 781 - 806, http://dx.doi.org/10.1007/s10479-023-05599-6

Journal articles | 2023

Blavatskyy P; Panchenko V; Ortmann A, 2023, 'How common is the common-ratio effect?', Experimental Economics, 26, pp. 253 - 272, http://dx.doi.org/10.1007/s10683-022-09761-y

Journal articles | 2022

Anufriev M; Arifovic J; Ledyard J; Panchenko V, 2022, 'The role of information in a continuous double auction: An experiment and learning model: The Role of Information in CDA', Journal of Economic Dynamics and Control, 141, http://dx.doi.org/10.1016/j.jedc.2022.104387

Journal articles | 2022

Anufriev M; Duffy J; Panchenko V, 2022, 'Learning in two-dimensional beauty contest games: Theory and experimental evidence', Journal of Economic Theory, 201, http://dx.doi.org/10.1016/j.jet.2022.105417

Journal articles | 2022

Blavatskyy P; Ortmann A; Panchenko V, 2022, 'On the Experimental Robustness of the Allais Paradox', American Economic Journal: Microeconomics, 14, pp. 143 - 163, http://dx.doi.org/10.1257/mic.20190153

Journal articles | 2019

Way R; Lafond F; Lillo F; Panchenko V; Farmer JD, 2019, 'Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves', Journal of Economic Dynamics and Control, 101, pp. 211 - 238, http://dx.doi.org/10.1016/j.jedc.2018.10.006

Journal articles | 2015

Anufriev M; Panchenko V, 2015, 'Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions', Journal of Banking and Finance, 61, pp. S241 - S255, http://dx.doi.org/10.1016/j.jbankfin.2015.08.034

Journal articles | 2014

Diks C; Panchenko V; Sokolinskiy O; van Dijk D, 2014, 'Comparing the accuracy of multivariate density forecasts in selected regions of the copula support', Journal of Economic Dynamics and Control, 48, pp. 79 - 94, http://dx.doi.org/10.1016/j.jedc.2014.08.021

Journal articles | 2013

Anufriev M; Arifovic J; Ledyard J; Panchenko V, 2013, 'Efficiency of continuous double auctions under individual evolutionary learning with full or limited information', Journal of Evolutionary Economics, 23, pp. 539 - 573, http://dx.doi.org/10.1007/s00191-011-0230-8

Journal articles | 2013

Panchenko V; Gerasymchuk S; Pavlov OV, 2013, 'Asset price dynamics with heterogeneous beliefs and local network interactions', Journal of Economic Dynamics and Control, 37, pp. 2623 - 2642, http://dx.doi.org/10.1016/j.jedc.2013.06.015

Journal articles | 2011

Diks C; Panchenko V; van Dijk DV, 2011, 'Likelihood-based scoring rules for comparing density forecasts in tails', Journal of Econometrics, 163, pp. 215 - 230, http://dx.doi.org/10.1016/j.jeconom.2011.04.001

Journal articles | 2010

Diks C; Panchenko V; van Dijk D, 2010, 'Out-of-sample comparison of copula specifications in multivariate density forecasts', Journal of Economic Dynamics and Control, 34, pp. 1596 - 1609, http://dx.doi.org/10.1016/j.jedc.2010.06.021

Journal articles | 2010

Francis BB; Mougoue M; Panchenko V, 2010, 'Is there a symmetric nonlinear causal relationship between large and small firms?', Journal of Empirical Finance, 17, pp. 23 - 38, http://dx.doi.org/10.1016/j.jempfin.2009.08.003

Journal articles | 2010

Goldbaum D; Panchenko V, 2010, 'Learning and adaptation's impact on market efficiency', Journal of Economic Behavior and Organization, 76, pp. 635 - 653, http://dx.doi.org/10.1016/j.jebo.2010.09.003

Journal articles | 2009

Anufriev M; Panchenko V, 2009, 'Asset Prices, Traders` Behavior, and Market Design', Journal of Economic Dynamics and Control, 33, pp. 1073 - 1090, http://dx.doi.org/10.1016/j.jedc.2008.09.008

Journal articles | 2009

Panchenko V; Wu EW, 2009, 'Time-varying market integration and stock and bond return concordance in emerging markets', Journal of Banking and Finance, 33, pp. 1014 - 1021, http://dx.doi.org/10.1016/j.jbankfin.2008.10.016

Journal articles | 2008

Diks C; Hommes C; Panchenko V; van der Weide R, 2008, 'E&F Chaos: A user friendly software package for nonlinear economic dynamics', Computational Economics, 32, pp. 221 - 244, http://dx.doi.org/10.1007/s10614-008-9130-x

Journal articles | 2008

Diks C; Panchenko V, 2008, 'Rank-based entropy tests for serial independence', Studies in Nonlinear Dynamics and Econometrics, 12, pp. 1 - 19, http://dx.doi.org/10.2202/1558-3708.1476

Journal articles | 2007

Diks C; Panchenko V, 2007, 'Nonparametric tests for serial independence based on quadratic forms', Statistica Sinica, 17, pp. 81 - 98, http://www3.stat.sinica.edu.tw/statistica/oldpdf/A17n14.pdf

Journal articles | 2007

Panchenko V, 2007, 'Impact of analysts` recommendations on stock performance', European Journal of Finance, 13, pp. 165 - 180, http://dx.doi.org/10.1080/13518470500459782

Journal articles | 2006

Diks C; Panchenko V, 2006, 'A new statistics and practical guidelines for nonparametric Granger causality testing', Journal of Economic Dynamics and Control, 30, pp. 1647 - 1669, http://dx.doi.org/10.1016/j.jedc.2005.08.008

Journal articles | 2005

Diks C; Panchenko V, 2005, 'A note on the Hiemstra-Jones test for Granger non-causality', Studies in Nonlinear Dynamics and Econometrics, 9, http://dx.doi.org/10.2202/1558-3708.1234

Journal articles | 2005

Panchenko V, 2005, 'Goodness-of-fit test for copulas', Physica A - Statistical Mechanics and Its Applications, 355, pp. 176 - 182, http://dx.doi.org/10.1016/j.physa.2005.02.081
Working Papers | 2018

Kolotilin A; Panchenko V, 2018, Estimation of a Scale-Free Network Formation Model, http://dx.doi.org10.2139/ssrn.3202168

Working Papers | 2010

Anufriev M; Arifovic J; Ledyard J; Panchenko V, 2010, Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information, University of Amsterdam, CeNDEF Working paper 10-01, http://dx.doi.org, http://www1.fee.uva.nl/cendef/publications/papers/iel_book_r1.pdf
Preprints | 2017

Way R; Lafond F; Lillo F; Panchenko V; Farmer JD, 2017, Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves, http://dx.doi.org/10.48550/arxiv.1705.03423

Software / Code | 2009

Panchenko V, 2009, Non-parametric test for Granger Causality, Published: 2009, Software / Code, http://research.economics.unsw.edu.au/vpanchenko/software/2006_GC_JEDC_c_and_exe_code.zip

Preprints |

Anufriev M; Duffy J; Panchenko V; Young B, (Re-) Inventing the Traffic Light: Designing Recommendation Devices for Play of Strategic Games, , http://dx.doi.org/10.2139/ssrn.4433731

Preprints |

Anufriev M; Duffy J; Panchenko V, Individual Evolutionary Learning in Repeated Beauty Contest Games, http://dx.doi.org/10.2139/ssrn.4656612

Preprints |

Anufriev M; Duffy J; Panchenko V, Planar Beauty Contests, http://dx.doi.org/10.2139/ssrn.3404334

Preprints |

Anufriev M; Duffy J; Panchenko V, Planar Beauty Contests, , http://dx.doi.org/10.2139/ssrn.3405083

Preprints |

Anufriev M; Panchenko V; Pinotti P, A Model of Network Formation for the Overnight Interbank Market, http://dx.doi.org/10.2139/ssrn.2763964

Preprints |

Anufriev M; Panchenko V, Connecting the Dots: Econometric Methods for Uncovering Networks with an Application to the Australian Financial Institutions, http://dx.doi.org/10.2139/ssrn.2560594

Preprints |

Blavatskyy P; Ortmann A; Panchenko V, How Common Is the Common-Ratio Effect?, , http://dx.doi.org/10.2139/ssrn.3641566

Preprints |

Blavatskyy PR; Ortmann A; Panchenko V, Now You See It, Now You Donnt: How to Make the Allais Paradox Appear, Disappear, or Reverse, http://dx.doi.org/10.2139/ssrn.2621917

Preprints |

Diks CGH; Panchenko V; van Dijk DJC, Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support, http://dx.doi.org/10.2139/ssrn.2254892

Preprints |

Diks CGH; Panchenko V; van Dijk DJC, Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts, http://dx.doi.org/10.2139/ssrn.1294250

Preprints |

Diks CGH; Panchenko V; van Dijk DJC, Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails, , http://dx.doi.org/10.2139/ssrn.1135531

Preprints |

Diks CGH; Panchenko V, Nonparametric Tests for Serial Independence Based on Quadratic Forms, http://dx.doi.org/10.2139/ssrn.776286

Preprints |

Panchenko V; Gerasymchuk S; Pavlov OV, Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions, , http://dx.doi.org/10.2139/ssrn.2284547

Preprints |

Panchenko V; Gerasymchuk S; Pavlov OV, Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs, , http://dx.doi.org/10.2139/ssrn.1288281

Preprints |

Way R; Lillo F; Panchenko V, Wright Meets Markowitz: How Standard Portfolio Theory Changes When Assets Are Technologies Following Experience Curves, http://dx.doi.org/10.2139/ssrn.2965695

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Professor Valentyn Panchenko