V
Valentyn Panchenko
Researcher at University of New South Wales
Publications - 56
Citations - 2133
Valentyn Panchenko is an academic researcher from University of New South Wales. The author has contributed to research in topics: Copula (probability theory) & Nonparametric statistics. The author has an hindex of 18, co-authored 51 publications receiving 1846 citations. Previous affiliations of Valentyn Panchenko include University of Amsterdam.
Papers
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A new statistic and practical guidelines for nonparametric Granger causality testing
Cees Diks,Valentyn Panchenko +1 more
TL;DR: In this paper, a nonparametric test for Granger non-causality was proposed to avoid the over-rejection observed in the frequently used test proposed by Hiemstra and Jones [1994].
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A Note on the Hiemstra-Jones Test for Granger Non-causality
Cees Diks,Valentyn Panchenko +1 more
TL;DR: This article showed that the relationship tested is not implied by the null hypothesis of Granger non-causality, which implies that evidence for nonlinear Granger causality reported in the applied empirical literature should be reinterpreted.
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Likelihood-based scoring rules for comparing density forecasts in tails
TL;DR: This article proposed new scoring rules based on conditional and censored likelihood for assessing the predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management.
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Likelihood-based scoring rules for comparing density forecasts in tails
TL;DR: New scoring rules based on conditional and censored likelihood for assessing the predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management are proposed.
Journal ArticleDOI
Goodness-of-fit test for copulas
TL;DR: A goodness-of-fit test for copulas based on positive definite bilinear forms that avoids the use of plug-in estimators and can be consistently computed on the basis of V-estimators even in the case of large dimensions.