6
H index
3
i10 index
129
Citations
Università Ca' Foscari Venezia (10% share) | 6 H index 3 i10 index 129 Citations RESEARCH PRODUCTION: 10 Articles 25 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Daniel Felix Ahelegbey. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Physica A: Statistical Mechanics and its Applications | 2 |
Working Papers Series with more than one paper published | # docs |
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DEM Working Papers Series / University of Pavia, Department of Economics and Management | 14 |
MPRA Paper / University Library of Munich, Germany | 5 |
Working Papers / Department of Economics, University of Venice "Ca' Foscari" | 5 |
Year | Title of citing document |
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2021 | COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2021). Billio, Monica ; Matteo, Iacopini ; Michele, Costola ; Roberto, Casarin ; Monica, Billio. In: Papers. RePEc:arx:papers:2101.00422. Full description at Econpapers || Download paper |
2021 | The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623. Full description at Econpapers || Download paper |
2021 | Look Whos Talking: Interpretable Machine Learning for Assessing Italian SMEs Credit Default. (2021). Liberati, Caterina ; Repetto, Marco ; Crosato, Lisa. In: Papers. RePEc:arx:papers:2108.13914. Full description at Econpapers || Download paper |
2021 | Markov Switching Panel with Endogenous Synchronization Effects. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica ; Agudze, Komla M. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps82. Full description at Econpapers || Download paper |
2021 | Time-varying inter-urban housing price spillovers in China: Causes and consequences. (2021). Yang, Haisheng ; Li, Jie ; Lu, Yunzhi. In: Journal of Asian Economics. RePEc:eee:asieco:v:77:y:2021:i:c:s1049007821001251. Full description at Econpapers || Download paper |
2022 | Variational Bayesian inference for network autoregression models. (2022). Koch, Thorsten ; Chen, Ying ; Lai, Wei-Ting. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947321002401. Full description at Econpapers || Download paper |
2021 | Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory. (2021). Wang, Xunhong ; Li, Yiou ; Yuan, Ying. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:401-414. Full description at Econpapers || Download paper |
2021 | A model-based index for systemic risk contribution measurement in financial networks. (2021). Zhu, LI ; Zhang, Ziqing ; Deng, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:35-48. Full description at Econpapers || Download paper |
2021 | Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic. (2021). Lin, Boqiang ; Okorie, David. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000322. Full description at Econpapers || Download paper |
2021 | Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak. (2021). Al-Fayoumi, Nedal ; Abuzayed, Bana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000978. Full description at Econpapers || Download paper |
2021 | Detecting groups in large vector autoregressions. (2021). Guðmundsson, Guðmundur ; Brownlees, Christian ; Gumundsson, Gumundur Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:2-26. Full description at Econpapers || Download paper |
2021 | Cross-border systemic risk spillovers in the global oil system: Does the oil trade pattern matter?. (2021). Chevallier, Julien ; Lin, Renda ; Liu, Jiahao ; Zhu, BO. In: Energy Economics. RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321002942. Full description at Econpapers || Download paper |
2021 | Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets. (2021). Zaremba, Adam ; Bilgin, Mehmet ; Szczygielski, Jan J ; Mercik, Aleksander ; Long, Huaigang. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002349. Full description at Econpapers || Download paper |
2021 | Stock markets and the COVID-19 fractal contagion effects. (2021). Lin, Boqiang ; Okorie, David Iheke. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320305638. Full description at Econpapers || Download paper |
2022 | Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?. (2022). Vo, Xuan Vinh ; Alkhataybeh, Ahmad ; El-Nader, Ghaith ; al Rababa, Abdel Razzaq ; Ur, Mobeen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001992. Full description at Econpapers || Download paper |
2021 | Dynamic identification of systemically important financial markets in the spread of contagion: A ripple network based collective spillover effect approach. (2021). Xu, Fuwei ; Su, Zhi. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000050. Full description at Econpapers || Download paper |
2021 | Analysis of global stock markets’ connections with emphasis on the impact of COVID-19. (2021). Zhang, Xin ; Yu, Hang ; Zhao, Xinyao ; Guo, Hongfeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:569:y:2021:i:c:s0378437121000467. Full description at Econpapers || Download paper |
2022 | Analysis of critical events in the correlation dynamics of cryptocurrency market. (2022). Nie, Chun-Xiao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:586:y:2022:i:c:s0378437121007354. Full description at Econpapers || Download paper |
2021 | Linking U.S. State-level housing market returns, and the consumption-(Dis)Aggregate wealth ratio. (2021). Sousa, Ricardo ; GUPTA, RANGAN ; Balcilar, Mehmet ; Wohar, Mark E. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:779-810. Full description at Econpapers || Download paper |
2020 | House Price Growth Interdependencies and Comovement. (2019). Soques, Daniel ; Cohen, Jeffrey ; Coughlin, Cletus. In: Working Papers. RePEc:fip:fedlwp:2019-028. Full description at Econpapers || Download paper |
2021 | Is It Possible to Forecast the Price of Bitcoin?. (2021). Goutte, Stéphane ; Chevallier, Julien ; Guegan, Dominique. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:2:p:24-420:d:564101. Full description at Econpapers || Download paper |
2021 | The Use of Discriminant Analysis to Assess the Risk of Bankruptcy of Enterprises in Crisis Conditions Using the Example of the Tourism Sector in Poland. (2021). Wieprow, Joanna ; Gawlik, Agnieszka. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:4:p:78-:d:537746. Full description at Econpapers || Download paper |
2021 | The Nexus of Sophisticated Digital Assets with Economic Policy Uncertainty: A Survey of Empirical Findings and an Empirical Investigation. (2021). Kyriazis, Nikolaos A. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:10:p:5383-:d:552611. Full description at Econpapers || Download paper |
2021 | A New Scalable Bayesian Network Learning Algorithm with Applications to Economics. (2021). Tsagris, Michail. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10065-7. Full description at Econpapers || Download paper |
2021 | Information theoretic causality detection between financial and sentiment data. (2021). Aste, Tomaso ; Cerchiello, Paola ; Scaramozzino, Roberta. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0202. Full description at Econpapers || Download paper |
2021 | Hedonic Models and House Price Index Numbers. (2021). Rambaldi, Alicia ; Hill, Robert J. In: CEPA Working Papers Series. RePEc:qld:uqcepa:169. Full description at Econpapers || Download paper |
2021 | Regional housing price dependency in the UK: A dynamic network approach. (2021). Zhang, Dayong ; Ji, Qiang ; Horsewood, Nicholas J ; Zhao, Wan-Li. In: Urban Studies. RePEc:sae:urbstu:v:58:y:2021:i:5:p:1014-1031. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2021). Billio, Monica ; Iacopini, Matteo ; Costola, Michele ; Casarin, Roberto. In: Working Papers. RePEc:ven:wpaper:2021:05. Full description at Econpapers || Download paper |
2022 | Causality and dynamic spillovers among cryptocurrencies and currency markets. (2022). Marco, Chi Keung ; Gozgor, Giray ; Elsayed, Ahmed H. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2026-2040. Full description at Econpapers || Download paper |
2021 | Reduced?form factor augmented VAR—Exploiting sparsity to include meaningful factors. (2021). Kaufmann, Sylvia ; Beyeler, Simon. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:7:p:989-1012. Full description at Econpapers || Download paper |
2022 | Measuring systemic risk in the global banking sector: A cross-quantilogram network approach. (2022). Výrost, Tomᚠ; Baumohl, Eduard ; Vrost, Toma ; Hussain, Syed Jawad ; Hoang, Thi-Hong-Van, ; Bouri, Elie. In: EconStor Open Access Articles and Book Chapters. RePEc:zbw:espost:249340. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2017 | Spatial and Temporal House Price Diffusion in the Netherlands: A Bayesian Network Approach In: ERES. [Full Text][Citation analysis] | paper | 3 |
2020 | Tree networks to assess financial contagion In: Economic Modelling. [Full Text][Citation analysis] | article | 7 |
2020 | Tree Networks to assess Financial Contagion.(2020) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2019 | Tree Networks to Assess Financial Contagion.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2021 | Network VAR models to measure financial contagion In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2020 | Network VAR models to Measure Financial Contagion.(2020) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2022 | Modeling risk contagion in the Italian zonal electricity market In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
2020 | Modeling Risk Contagion in the Italian Zonal Electricity Market.(2020) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2021 | Tail risk measurement in crypto-asset markets In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
2020 | Tail Risk Measurement In Crypto-Asset Markets.(2020) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2019 | Latent factor models for credit scoring in P2P systems In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 1 |
2018 | Latent Factor Models for Credit Scoring in P2P Systems.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2022 | NetVIX — A network volatility index of financial markets In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 0 |
2020 | NetVIX - A Network Volatility Index of Financial Markets.(2020) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2017 | Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach In: Regional Science and Urban Economics. [Full Text][Citation analysis] | article | 8 |
2014 | Bayesian Selection of Systemic Risk Networks In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 0 |
2020 | Tail Risk Transmission: A Study of the Iran Food Industry In: Risks. [Full Text][Citation analysis] | article | 0 |
2020 | Tail Risk Transmission: A Study of Iran Food Industry.(2020) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2014 | HIERARCHICAL GRAPHICAL MODELS, WITH APPLICATION TO SYSTEMIC RISK In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 19 |
2012 | Bayesian Graphical Models for Structural Vector Autoregressive Processes.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2014 | Hierarchical Graphical Models, With Application to Systemic Risk.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2020 | Default count-based network models for credit contagion In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
2022 | Default count-based network models for credit contagion.(2022) In: Journal of the Operational Research Society. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2020 | A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Interconnected Deviations from Covered Interest Parity In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Statistical Modelling of Downside Risk Spillovers In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2020 | A Statistical Measure of Global Equity Market Risk In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Modeling Turning Points In Global Equity Market In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2021 | Network Based Evidence of the Financial Impact of Covid-19 Pandemic In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
2019 | Factorial Network Models To Improve P2P Credit Risk Management In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
2016 | The Econometrics of Bayesian Graphical Models: A Review With Financial Application In: MPRA Paper. [Full Text][Citation analysis] | paper | 10 |
2014 | Sparse Graphical Vector Autoregression: A Bayesian Approach In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2015 | The Econometrics of Networks: A Review In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Bayesian Graphical Models for STructural Vector Autoregressive Processes In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 69 |
2012 | Bayesian Graphical Models for Structural Vector Autoregressive Processes.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 69 | paper |
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