Concepedia
Statistics
Publications
20
Citations
2K
H-Index
14
Active since
2002
Affiliations
UNSW Sydney(Current)
University of Amsterdam
University of Technology Sydney
Erasmus University Rotterdam
California Institute of Technology
Valentyn Panchenko is an author at UNSW Sydney specializing in business, economics, and finance.
Top concepts
BusinessFinanceEconomicsStatisticsEngineeringFinancial EconomicsEconomic AnalysisCopulasForecastingEconometrics
Publications per year
2002–2022
A new statistic and practical guidelines for nonparametric Granger causality testing
Cees Diks, Valentyn Panchenko · Journal of Economic Dynamics and Control · 2006 · 943 citations
Nonparametric Granger Causality, Finance, New Statistic +8
A Note on the Hiemstra-Jones Test for Granger Non-causality
Cees Diks, Valentyn Panchenko · Studies in Nonlinear Dynamics and Econometrics · 2005 · 242 citations
Granger Non-causality, Time Series Econometrics, Causal Inference +16
Likelihood-based scoring rules for comparing density forecasts in tails
Cees Diks, Valentyn Panchenko, Dick van Dijk · Journal of Econometrics · 2011 · 153 citations · Full text
Forecasting Methodology, Probabilistic Forecasting, Engineering +5
Time-varying market integration and stock and bond return concordance in emerging markets
Valentyn Panchenko, Eliza Wu · Journal of Banking & Finance · 2008 · 95 citations
Emerging Market, Economics, Financial Economics +9
Goodness-of-fit test for copulas
Valentyn Panchenko · Physica A Statistical Mechanics and its Applications · 2005 · 95 citations
Density Estimation, Engineering, Business +6
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