Details about Daniel Felix Ahelegbey

Access statistics for papers by Daniel Felix Ahelegbey.

Last updated 2025-02-07. 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 (3)
   See also Journal Article Network based evidence of the financial impact of Covid-19 pandemic, International Review of Financial Analysis, Elsevier (2022) View citations (7) (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 (2)
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 Default count-based network models for credit contagion, Journal of the Operational Research Society, Taylor & Francis Journals (2022) View citations (1) (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 (3)
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 Modeling risk contagion in the Italian zonal electricity market, European Journal of Operational Research, Elsevier (2022) View citations (2) (2022)
8. Modeling Turning Points In Global Equity Market
   DEM Working Papers Series, University of Pavia, Department of Economics and Management
   See also Journal Article Modeling Turning Points in the Global Equity Market, Econometrics and Statistics, Elsevier (2024) (2024)
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 NetVIX — A network volatility index of financial markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2022) View citations (6) (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 Network VAR models to measure financial contagion, The North American Journal of Economics and Finance, Elsevier (2021) View citations (12) (2021)
11. Statistical Modelling of Downside Risk Spillovers
    DEM Working Papers Series, University of Pavia, Department of Economics and Management
    See also Journal Article Statistical Modelling of Downside Risk Spillovers, FinTech, MDPI (2022) (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 Tail risk measurement in crypto-asset markets, International Review of Financial Analysis, Elsevier (2021) View citations (22) (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 Tail Risk Transmission: A Study of the Iran Food Industry, Risks, MDPI (2020) View citations (1) (2020)
14. Tree Networks to assess Financial Contagion
    MPRA Paper, University Library of Munich, Germany View citations (15)
    Also in MPRA Paper, University Library of Munich, Germany (2019) View citations (2)
    See also Journal Article Tree networks to assess financial contagion, Economic Modelling, Elsevier (2020) View citations (15) (2020)

2019

15. Factorial Network Models To Improve P2P Credit Risk Management
    MPRA Paper, University Library of Munich, Germany View citations (3)

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 Latent factor models for credit scoring in P2P systems, Physica A: Statistical Mechanics and its Applications, Elsevier (2019) View citations (11) (2019)

2017

17. Spatial and Temporal House Price Diffusion in the Netherlands: A Bayesian Network Approach
    ERES, European Real Estate Society (ERES) View citations (11)

2016

18. The Econometrics of Bayesian Graphical Models: A Review With Financial Application
    MPRA Paper, University Library of Munich, Germany View citations (18)
    See also Journal Article The econometrics of Bayesian graphical models: a review with financial application, Journal of Network Theory in Finance, Journal of Network Theory in Finance

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 Sparse Graphical Vector Autoregression: A Bayesian Approach, Annals of Economics and Statistics, GENES (2016) View citations (5) (2016)

Journal Articles

2024

1. Measuring the impact of the EU health emergency response authority on the economic sectors and the public sentiment
   Socio-Economic Planning Sciences, 2024, 92, (C)
2. Modeling Turning Points in the Global Equity Market
   Econometrics and Statistics, 2024, 30, (C), 60-75
   See also Working Paper Modeling Turning Points In Global Equity Market, DEM Working Papers Series (2020) (2020)
3. Multidimensional Inequality Metrics for Sustainable Business Development
   Mathematics, 2024, 12, (22), 1-22
4. The nexus of conventional, religious and ethical indexes during crisis
   Journal of International Financial Markets, Institutions and Money, 2024, 95, (C)

2023

5. Credit Scoring for Peer-to-Peer Lending
   Risks, 2023, 11, (7), 1-8

2022

6. Crypto Asset Portfolio Selection
   FinTech, 2022, 1, (1), 1-9
7. 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 Default count-based network models for credit contagion, DEM Working Papers Series (2020) View citations (1) (2020)
8. Modeling risk contagion in the Italian zonal electricity market
   European Journal of Operational Research, 2022, 298, (2), 656-679 View citations (2)
   See also Working Paper Modeling Risk Contagion in the Italian Zonal Electricity Market, DEM Working Papers Series (2020) (2020)
9. NetVIX — A network volatility index of financial markets
   Physica A: Statistical Mechanics and its Applications, 2022, 594, (C) View citations (6)
   See also Working Paper NetVIX - A Network Volatility Index of Financial Markets, DEM Working Papers Series (2020) View citations (2) (2020)
10. Network based evidence of the financial impact of Covid-19 pandemic
    International Review of Financial Analysis, 2022, 81, (C) View citations (7)
    See also Working Paper Network Based Evidence of the Financial Impact of Covid-19 Pandemic, DEM Working Papers Series (2021) View citations (3) (2021)
11. Statistical Modelling of Downside Risk Spillovers
    FinTech, 2022, 1, (2), 1-10
    See also Working Paper Statistical Modelling of Downside Risk Spillovers, DEM Working Papers Series (2020) (2020)

2021

12. Network VAR models to measure financial contagion
    The North American Journal of Economics and Finance, 2021, 55, (C) View citations (12)
    See also Working Paper Network VAR models to Measure Financial Contagion, DEM Working Papers Series (2020) (2020)
13. Tail risk measurement in crypto-asset markets
    International Review of Financial Analysis, 2021, 73, (C) View citations (22)
    See also Working Paper Tail Risk Measurement In Crypto-Asset Markets, DEM Working Papers Series (2020) View citations (1) (2020)

2020

14. Tail Risk Transmission: A Study of the Iran Food Industry
    Risks, 2020, 8, (3), 1-17 View citations (1)
    See also Working Paper Tail Risk Transmission: A Study of Iran Food Industry, DEM Working Papers Series (2020) View citations (1) (2020)
15. Tree networks to assess financial contagion
    Economic Modelling, 2020, 85, (C), 349-366 View citations (15)
    See also Working Paper Tree Networks to assess Financial Contagion, MPRA Paper (2020) View citations (15) (2020)

2019

16. Latent factor models for credit scoring in P2P systems
    Physica A: Statistical Mechanics and its Applications, 2019, 522, (C), 112-121 View citations (11)
    See also Working Paper Latent Factor Models for Credit Scoring in P2P Systems, MPRA Paper (2018) View citations (1) (2018)

2017

17. 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 (12)

2016

18. Bayesian Graphical Models for STructural Vector Autoregressive Processes
    Journal of Applied Econometrics, 2016, 31, (2), 357-386 View citations (98)
19. Sparse Graphical Vector Autoregression: A Bayesian Approach
    Annals of Economics and Statistics, 2016, (123-124), 333-361 View citations (5)
    See also Working Paper Sparse Graphical Vector Autoregression: A Bayesian Approach, Working Papers (2014) View citations (17) (2014)

Undated

20. The econometrics of Bayesian graphical models: a review with financial application
    Journal of Network Theory in Finance
    See also Working Paper The Econometrics of Bayesian Graphical Models: A Review With Financial Application, MPRA Paper (2016) View citations (18) (2016)

Chapters

2014

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