By Professor Valentyn Panchenko

Journal articles

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Software / Code

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

Working Papers

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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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