Select Publications

Journal articles

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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 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, vol. 355, pp. 176 - 182, http://dx.doi.org/10.1016/j.physa.2005.02.081


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