Details about Daniel Felix Ahelegbey

Access statistics for papers by Daniel Felix Ahelegbey.

Last updated 2023-03-31. Update your information in the RePEc Author Service.

Short-id: pah131

Working Papers

2021

1. Network Based Evidence of the Financial Impact of Covid-19 Pandemic
   DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
   See also Journal Article in International Review of Financial Analysis (2022)

2020

2. A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series
   DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
3. A Statistical Measure of Global Equity Market Risk
   DEM Working Papers Series, University of Pavia, Department of Economics and Management
4. Default count-based network models for credit contagion
   DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
   See also Journal Article in Journal of the Operational Research Society (2022)
5. Interconnected Deviations from Covered Interest Parity
   DEM Working Papers Series, University of Pavia, Department of Economics and Management
6. Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises
   DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (2)
7. Modeling Risk Contagion in the Italian Zonal Electricity Market
   DEM Working Papers Series, University of Pavia, Department of Economics and Management
   See also Journal Article in European Journal of Operational Research (2022)
8. Modeling Turning Points In Global Equity Market
   DEM Working Papers Series, University of Pavia, Department of Economics and Management
9. NetVIX - A Network Volatility Index of Financial Markets
   DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (2)
   See also Journal Article in Physica A: Statistical Mechanics and its Applications (2022)
10. Network VAR models to Measure Financial Contagion
    DEM Working Papers Series, University of Pavia, Department of Economics and Management
    See also Journal Article in The North American Journal of Economics and Finance (2021)
11. Statistical Modelling of Downside Risk Spillovers
    DEM Working Papers Series, University of Pavia, Department of Economics and Management
    See also Journal Article in FinTech (2022)
12. Tail Risk Measurement In Crypto-Asset Markets
    DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
    See also Journal Article in International Review of Financial Analysis (2021)
13. Tail Risk Transmission: A Study of Iran Food Industry
    DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
    See also Journal Article in Risks (2020)
14. Tree Networks to assess Financial Contagion
    MPRA Paper, University Library of Munich, Germany View citations (8)
    Also in MPRA Paper, University Library of Munich, Germany (2019) View citations (1)
    See also Journal Article in Economic Modelling (2020)

2019

15. Factorial Network Models To Improve P2P Credit Risk Management
    MPRA Paper, University Library of Munich, Germany View citations (2)

2018

16. Latent Factor Models for Credit Scoring in P2P Systems
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2019)

2017

17. Spatial and Temporal House Price Diffusion in the Netherlands: A Bayesian Network Approach
    ERES, European Real Estate Society (ERES) View citations (9)

2016

18. The Econometrics of Bayesian Graphical Models: A Review With Financial Application
    MPRA Paper, University Library of Munich, Germany View citations (16)

2015

19. The Econometrics of Networks: A Review
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"

2014

20. HIERARCHICAL GRAPHICAL MODELS, WITH APPLICATION TO SYSTEMIC RISK
    DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (1)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2014) View citations (1)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2012) View citations (24)
21. Sparse Graphical Vector Autoregression: A Bayesian Approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (17)
    See also Journal Article in Annals of Economics and Statistics (2016)

Journal Articles

2022

1. Crypto Asset Portfolio Selection
   FinTech, 2022, 1, (1), 1-9
2. Default count-based network models for credit contagion
   Journal of the Operational Research Society, 2022, 73, (1), 139-152 View citations (1)
   See also Working Paper (2020)
3. Modeling risk contagion in the Italian zonal electricity market
   European Journal of Operational Research, 2022, 298, (2), 656-679 View citations (1)
   See also Working Paper (2020)
4. NetVIX — A network volatility index of financial markets
   Physica A: Statistical Mechanics and its Applications, 2022, 594, (C) View citations (1)
   See also Working Paper (2020)
5. Network based evidence of the financial impact of Covid-19 pandemic
   International Review of Financial Analysis, 2022, 81, (C) View citations (1)
   See also Working Paper (2021)
6. Statistical Modelling of Downside Risk Spillovers
   FinTech, 2022, 1, (2), 1-10
   See also Working Paper (2020)

2021

7. Network VAR models to measure financial contagion
   The North American Journal of Economics and Finance, 2021, 55, (C) View citations (7)
   See also Working Paper (2020)
8. Tail risk measurement in crypto-asset markets
   International Review of Financial Analysis, 2021, 73, (C) View citations (6)
   See also Working Paper (2020)

2020

9. Tail Risk Transmission: A Study of the Iran Food Industry
   Risks, 2020, 8, (3), 1-17 View citations (1)
   See also Working Paper (2020)
10. Tree networks to assess financial contagion
    Economic Modelling, 2020, 85, (C), 349-366 View citations (8)
    See also Working Paper (2020)

2019

11. Latent factor models for credit scoring in P2P systems
    Physica A: Statistical Mechanics and its Applications, 2019, 522, (C), 112-121 View citations (3)
    See also Working Paper (2018)

2017

12. Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach
    Regional Science and Urban Economics, 2017, 65, (C), 56-64 View citations (10)

2016

13. Bayesian Graphical Models for STructural Vector Autoregressive Processes
    Journal of Applied Econometrics, 2016, 31, (2), 357-386 View citations (78)
14. Sparse Graphical Vector Autoregression: A Bayesian Approach
    Annals of Economics and Statistics, 2016, (123-124), 333-361 View citations (5)
    See also Working Paper (2014)

Chapters

2014

1. Bayesian Selection of Systemic Risk Networks
   A chapter in Bayesian Model Comparison, 2014, vol. 34, pp 117-153 View citations (7)