Valentyn Panchenko

Finance · 2005–2011

A researcher in the Science corpus: 6 papers; trusts 36 researchers and is trusted by 68 researchers here, as inferred from the citation graph.

Subfields

• Finance — 42 citations into it; #670 of 10,518 by trust here, #1,645 by citations
• Economics and Econometrics — 39 citations into it; #959 of 23,481 by trust here, #3,014 by citations
• Statistics and Probability — 22 citations into it
• Management Science and Operations Research — 12 citations into it

Whom Valentyn Panchenko trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Manfred Denker
2. Bradley Efron
3. Yannick Malevergne
4. R. Giacomini
5. Clive W. J. Granger
6. Valdo Durrleman
7. Jushan Bai
8. Robert F. Engle
9. Eric Bouyé
10. Ashkan Nikeghbali

Who trusts Valentyn Panchenko overall

1. Andrew J. Patton
2. Cees G. H. Diks
3. Wanling Huang
4. C. Schölzel
5. Christian Genest
6. Stelios D. Bekiros
7. Henryk Gurgul
8. Petra Friederichs
9. Hossein Hassani
10. Artem Prokhorov

Papers from Valentyn Panchenko's perspective

Ordered by how strongly the researchers Valentyn Panchenko trusts endorse each paper. Same corpus, a different order for every researcher.

1. Asymptotic Inference about Predictive Ability
2. A Reality Check for Data Snooping
3. Generalized autoregressive conditional heteroskedasticity
4. Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods
5. MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a
6. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
7. The stationary bootstrap
8. Tests of Conditional Predictive Ability
9. Testing Density Forecasts, With Applications to Risk Management
10. Testing Parametric Conditional Distributions of Dynamic Models (Review of Economics and Statistics)

Their papers

• A new statistic and practical guidelines for nonparametric Granger causality testing (2006) — 959 citations
• A Note on the Hiemstra-Jones Test for Granger Non-causality (2005) — 268 citations
• Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts (2010) — 75 citations
• Goodness-of-fit test for copulas (2005) — 75 citations
• Likelihood-based scoring rules for comparing density forecasts in tails (2011) — 161 citations
• Nonparametric Tests for Serial Independence Based on Quadratic Forms (2005) — 9 citations