The University of New South WalesSydneyAustralia
UNSWSchool of Economics




Research Interests

Publications

Working Papers

Grants

Teaching

Software



Valentyn Panchenko

UNSW Business School
School of Economics
UNSW Business School Building, Room 440
UNSW Sydney, NSW 2052, Australia

Phone: +61 2 9385 3363
Fax: +61 2 9313 6337

Email: v.panchenkounsw.edu.au
My staff homepage at UNSW

Curriculum Vitae [pdf] (updated on 1/01/2017)

 
Recent Employment
From 01/2017 Professor, School of Economics, UNSW Business School, University of New South Wales
From 01/2013 Associate Professor, School of Economics, UNSW Business School, University of New South Wales
07/2008 - 12/2012 Senior Lecturer, School of Economics, UNSW Business School, University of New South Wales
10/2006 - 06/2008 Lecturer, School of Economics, UNSW Business School, University of New South Wales
09/2002 - 10/2006 Research Associate (Ph.D. student), Center for Nonlinear Dynamics in Economics and Finance, Department of Quantitative Economics, University of Amsterdam
 
Education
09/2002 - 10/2006 Ph.D. in Financial Econometrics, Center for Nonlinear Dynamics in Economics and Finance, Department of Quantitative Economics, University of Amsterdam
09/2002 - 07/2004 M.Phil. in Economics, Tinbergen Institute
09/2000 - 06/2002 M.S. in Economics and Business Administration, Department of Economics, Oregon State University
09/1995 - 06/2000 Specialist (B.A.) in International Finance, Faculty of International Relations, Ivan Franko National University of Lviv
09/1995 - 06/1999 B.S. in Computer Science, Institute of Computer Science and Information Technologies, Lviv Polytechnic National University
 
Research Interests

  • Econometric and statistical methods: dependence measures and copulas, non-parametric and semi-parametric methods, forecast evaluation
  • Financial and macro-econometrics: indirect inference, risk modeling, Granger causality
  • Structural modeling: financial markets, bounded rationality, learning, market design

Publications

  1. Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions. 2015, with Mikhail Anufriev, Journal of Banking and Finance, 61, S214-S255, doi:10.1016/j.jbankfin.2015.08.034 [Download pdf]
  2. Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support. 2014, with Cees Diks, Oleg Sokolinskiy and Dick van Dijk, Journal of Economic Dynamics and Control, 48, 79-94, doi:10.1016/j.jedc.2014.08.021 [Download pdf]
  3. Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions. 2013, with Oleg Pavlov and Sergij Gerasymchuk, Journal of Economic Dynamics and Control, 37, 2623-2642, doi:10.1016/j.jedc.2013.06.015 [Download pdf]
  4. Efficiency of continuous double auctions under individual evolutionary learning with full or limited information, 2013, with Mikhail Anufriev, Jasmina Arifovich and John Ledyard, Journal of Evolutionary Economics, 23, 539-573, doi:10.1007/s00191-011-0230-8 [Download pdf],[Software]
  5. Likelihood-based scoring rules for comparing density forecasts in tails, 2011, with Cees Diks and Dick van Dijk, Journal of Econometrics, 163, 215-230, doi:10.1016/j.jeconom.2011.04.001 [Download pdf]
  6. Learning and adaptation's impact on market efficiency, 2010, with David Goldbaum, Journal of Economic Behavior and Organization, 76 , 635-653. [Download pdf]
  7. Out-of-sample comparison of copula specifications in multivariate density forecasts, 2010, with Cees Diks and Dick van Dijk, Journal of Economic Dynamics and Control, 34, 1596-1609. [Download pdf]
  8. Is there a Symmetric Nonlinear Causal Relationship between Large and Small Firms? 2010, with Bill B. Francis and Mbodja Mougoue, Journal of Empirical Finance, 17, 23-28. [Download pdf],[Software]
  9. Time-varying market integration and stock and bond return concordance in emerging markets, 2009, with Eliza Wu, Journal of Banking and Finance, 33, 1014-1021. [Download pdf]
  10. Asset Prices, Traders' Behavior, and Market Design, 2009, with Mikhail Anufriev, Journal of Economic Dynamics and Control, 33, 1073-1090. [Download pdf]
  11. Rank-based entropy tests for serial independence, 2008, with Cees Diks, Studies in Nonlinear Dynamics and Econometrics, 12, art. 2. [Download pdf]
  12. E&F Chaos: a user friendly software package for nonlinear economic dynamics, 2008, with Cees Diks, Cars Hommes and Roy van der Weide, Computational Economics, 32, 221-244. [Download pdf],[Software]
  13. Impact of analysts' recommendations on stock performance, 2007, European Journal of Finance, 13 (2), 165-179. [Download pdf]
  14. Nonparametric tests for serial independence based on quadratic forms, 2007, with Cees Diks, Statistica Sinica, 17, 81-98. [Download pdf]
  15. A new statistic and practical guidelines for nonparametric Granger causality testing, 2006, with Cees Diks, Journal of Economic Dynamics and Control, 30, 1647-1669. [Download pdf],[Software]
  16. Heterogeneous beliefs under different market architectures, 2006, with Mikhail Anufriev in Advances in Artificial Economics, Bruun, C. (Ed.), Series: Lecture Notes in Economics and Mathematical Systems, Vol. 584, Springer, 3-15. [Download pdf]
  17. A note on the Hiemstra-Jones test for Granger non-causality, 2005, with Cees Diks, Studies in Nonlinear Dynamics and Econometrics, 9, art. 4 [Download pdf],[Software]
  18. Goodness-of-fit test for copulas, 2005, Physica A, 355, 176-182. [Download pdf],[Software]

For citations check my Google Scholar

Working Papers

  1. Efficient Estimation of Parameters in Marginals in Semiparametric Multivariate Models. with Artem Prokhorov. [Download last version pdf]
  2. The Network View on Input-Output Analysis for Australia. with Mikhail Anufriev and Evgenia Goryacheva. [Download last version pdf]
  3. Estimation of a scale-free network formation model. with Anton Kolotilin.
  4. Endogenous network topology in the interbank lending market. with Mikhail Anufriev Andrea Deghi and Paolo Pin. [Download last version pdf]
  5. Now you see it, now you don?t: How to make the Allais paradox appear, disappear, or reverse. with Pavlo Blavatskyy and Andreas Ortmann. [Download last version pdf]


Refereeing

Journal of Econometrics, Econometric Theory, Journal of Economic Dynamics and Control, Econometric Reviews, Australian & New Zealand Journal of Statistics, Journal of Economic Interaction and Coordination, Methodology and Computing in Applied Probability, Canadian Journal of Statistics, Studies in Nonlinear Dynamics and Econometrics, Insurance: Mathematics and Economics; Economic Record; International Journal of Forecasting, Energy Economics, Physica A, book reviews for Routledge Economics and Academic Press

Grants

  • 2013 - Centre of Excellence for International Finance and Regulation for 2 years, AUD 62,000
  • 2011 - Australian Research Council Discovery Early Career Researcher Award for 3 years, AUD 375,000
  • 2011 - Australian Research Council Discovery Grant (Chief Investigator jointly with Robert Kohn and Chris Carter) for 3 years, AUD 750,000
  • 2009 - Standard Research Grant of Social Sciences and Humanities Research Council, Canada (colaborator with Artem Prokhorov) for 2 years, CAD 40,000
  • 2008 - Australian School of Business Research Grant, UNSW, AUD 20,000
  • 2008 - Australian Research Council Discovery Grant (sole Chief Investigator) for 3 years, AUD 105,000
  • 2007 - Australian School of Business Research Grant, UNSW, AUD 15,000
  • 2007 - Early Carrier Researcher Travel Scheme Grant, UNSW, AUD 3,000
  • 2006 - Special Research Grant, Faculty of Business, UNSW, AUD 5,000
  • 2005 - NBER/NSF Travel Grant (Time series conference), EUR 850
  • 2004 - NBER/NSF Travel Grant (Time series conference), USD 1,000
  • 2000 - Senator Muskie Fellowship for Graduate Studies for 2 years, USD 50,000

Teaching

  • Previously taught courses
    • Financial Econometrics (3rd year undergraduate/Masters)
    • Financial Economics (3rd year undergraduate/Masters)
    • Data, Models and Decision (Masters)
    • Econometric Analysis (Masters/PhD)
    • Advanced Econometrics (Honours/Masters/PhD)
    • Honours thesis seminar (Honours)

Software