Daniel Felix Ahelegbey : Citation Profile

Are you Daniel Felix Ahelegbey?

Università Ca' Foscari Venezia (10% share)
Università degli Studi di Pavia (60% share)

8

H index

7

i10 index

185

Citations

RESEARCH PRODUCTION:

13

Articles

25

Papers

1

Chapters

RESEARCH ACTIVITY:

   10 years (2012 - 2022). See details.
   Cites by year: 18
   Journals where Daniel Felix Ahelegbey has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 24 (11.48 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pah131
   Updated: 2023-11-04    RAS profile: 2023-03-31    
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Relations with other researchers

Works with:

Giudici, Paolo (15)

Agosto, Arianna (3)

Fianu, Emmanuel Senyo (2)

Grossi, Luigi (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Daniel Felix Ahelegbey.

Is cited by:

Casarin, Roberto (21)

Giudici, Paolo (21)

Billio, Monica (15)

Parisi, Laura (12)

Lau, Chi Keung (9)

Roventini, Andrea (8)

Napoletano, Mauro (8)

Moneta, Alessio (8)

Guerini, Mattia (8)

GUPTA, RANGAN (7)

Arefiev, Nikolay (5)

Cites to:

Billio, Monica (45)

Casarin, Roberto (29)

Giudici, Paolo (28)

Lo, Andrew (20)

Diebold, Francis (17)

Pelizzon, Loriana (16)

battiston, stefano (16)

Yilmaz, Kamil (16)

Tahbaz-Salehi, Alireza (12)

Acemoglu, Daron (12)

Koop, Gary (11)

Main data

Where Daniel Felix Ahelegbey has published?

Journals with more than one article published# docs
International Review of Financial Analysis2
FinTech2
Physica A: Statistical Mechanics and its Applications2

Working Papers Series with more than one paper published# docs
DEM Working Papers Series / University of Pavia, Department of Economics and Management14
MPRA Paper / University Library of Munich, Germany5
Working Papers / Department of Economics, University of Venice "Ca' Foscari"5

Recent works citing Daniel Felix Ahelegbey (2023 and 2022)

YearTitle of citing document
2023Vector Autoregression in Cryptocurrency Markets: Unraveling Complex Causal Networks. (2023). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2308.15769.

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2022Within?City Spatial Distribution, Heterogeneity and Diffusion of House Price: Evidence from a Spatiotemporal Index for Beijing. (2022). Liu, Hongyu ; Wu, Jing ; Zhu, Enwei. In: Real Estate Economics. RePEc:bla:reesec:v:50:y:2022:i:3:p:621-655.

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2022Variational 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.

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2023A sparse Bayesian hierarchical vector autoregressive model for microbial dynamics in a wastewater treatment plant. (2023). Curtis, Thomas P ; Heaps, Sarah E ; Hannaford, Naomi E ; Wilkinson, Darren J ; Golightly, Andrew ; Allen, Ben. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:179:y:2023:i:c:s0167947322002390.

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2022Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach. (2022). Milacic, Veselin ; Milosevic, Igor ; Jolicic, Ivan ; Radulovic, Mladen ; Mihailovic, Andrej ; Bracanovic, Andrej ; Muhadinovic, Milica ; Bojaj, Martin M. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000384.

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2023Time-varying impacts of monetary policy uncertainty on Chinas housing market. (2023). Yang, Haisheng ; Li, Jie ; Lu, Yunzhi. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003182.

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2022Return and volatility spillovers across the Western and MENA countries. (2022). Mohammadi, Hassan ; Habibi, Hamidreza. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000031.

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2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Liu, Fang ; Chen, Yajiao ; Zhou, Long ; Zhang, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432.

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2022Dynamic credit contagion and aggregate loss in networks. (2022). Zhang, Tianqi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001139.

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2022Markov switching panel with endogenous synchronization effects. (2022). Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica ; Agudze, Komla M. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:281-298.

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2023Structural models for fog computing based internet of things architectures with insurance and risk management applications. (2023). Zhao, Peng ; Su, Jianxi ; Xu, Maochao ; Zhang, Xiaoyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1273-1291.

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2023Risk substitution in cryptocurrencies: Evidence from BRICS announcements. (2023). Pisera, Stefano ; Paltrinieri, Andrea ; Dreassi, Alberto ; Chiaramonte, Laura ; Alon, Ilan ; Goodell, John W. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122000553.

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2023Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network. (2023). Rehman, Mohd Ziaur ; Hammoudeh, Shawkat ; Khalfaoui, Rabeh. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014123000079.

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2023How to reduce the default contagion risk of intercorporate credit guarantee networks? Evidence from China. (2023). Xu, Yueling ; Huang, Wenli ; Ben, Shenglin ; Lv, Jiamin. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s156601412200084x.

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2022Covid-19 pandemic and spillover effects in stock markets: A financial network approach. (2022). Polyzos, Stathis ; Kampouris, Elias ; Samitas, Aristeidis. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003197.

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2022Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis. (2022). Wu, Fei ; Li, Matthew C ; Dai, Xingyu ; Xiao, Ling ; Liu, Mengmeng ; Wang, Qunwei. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000059.

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2023Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement. (2023). Nave, Juan M ; Gonzalez-Sanchez, Mariano. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000285.

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2023From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures. (2023). Nedeltchev, Dragomir C ; Zaevski, Tsvetelin S. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001618.

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2022Tail event-based sovereign credit risk transmission network during COVID-19 pandemic. (2022). Naifar, Nader ; Hussain, Syed Jawad. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002543.

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2022Explainable artificial intelligence for crypto asset allocation. (2022). Raffinetti, Emanuela ; Giudici, Paolo ; Babaei, Golnoosh. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322002021.

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2023Systemic risks in the cryptocurrency market: Evidence from the FTX collapse. (2023). Matkovskyy, Roman ; Jalan, Akanksha. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000442.

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2023Forecasting and backtesting systemic risk in the cryptocurrency market. (2023). Egan, Paul ; Cao, Guangxi ; Fang, Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001617.

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2022Risk spillovers and interconnectedness between systemically important institutions. (2022). Andrieș, Alin Marius ; Tunaru, Radu ; Sprincean, Nicu ; Ongena, Steven. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001224.

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2023Systemic risk and CO2 emissions in the U.S.. (2023). Zervopoulos, Panagiotis ; Molyneux, Philip ; Kanas, Angelos. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001097.

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2022Modelling 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.

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2022Analysis 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.

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2022Network centrality effects in peer to peer lending. (2022). Giudici, Paolo ; Huang, Bihong ; Chong, Zhaohui ; Chen, Xiao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003818.

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2022Structural importance and evolution: An application to financial transaction networks. (2022). Caccioli, Fabio ; Barucca, Paolo ; Seabrook, Isobel. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:607:y:2022:i:c:s0378437122007610.

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2022How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method. (2022). Chen, Shenglan ; Lu, Tuantuan ; Zhu, Pengfei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:607:y:2022:i:c:s0378437122007750.

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2023Immunization of systemic risk in trade–investment networks. (2023). Li, Shouwei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:611:y:2023:i:c:s0378437122009980.

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2023A network based fintech inclusion platform. (2023). Pediroda, Valentino ; Giudici, Paolo ; Ahelegbey, Daniel. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:87:y:2023:i:pb:s0038012123000551.

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2022Structural importance and evolution: an application to financial transaction networks. (2022). Caccioli, Fabio ; Barucca, Paolo ; Seabrook, Isobel. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:117130.

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2022Contagion effects on financial markets risk. (2022). Dima, Bogdan ; Ioncui, Anca. In: Journal of Financial Studies. RePEc:fst:rfsisf:v:12:y:2022:i:7:p:105-133.

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2022Machine Learning for Credit Risk in the Reactive Peru Program: A Comparison of the Lasso and Ridge Regression Models. (2022). Pando-Ezcurra, Tamara ; Soria, Juan J ; Geraldo-Campos, Luis Alberto. In: Economies. RePEc:gam:jecomi:v:10:y:2022:i:8:p:188-:d:876327.

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2022Machine Learning Models and Intra-Daily Market Information for the Prediction of Italian Electricity Prices. (2022). Pelagatti, Matteo ; Grossi, Luigi ; Golia, Silvia. In: Forecasting. RePEc:gam:jforec:v:5:y:2022:i:1:p:3-101:d:1020016.

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2023Systemic Risk with Multi-Channel Risk Contagion in the Interbank Market. (2023). Li, Yutong ; Dong, Ruiting ; Wang, Jie ; Jiang, Shanshan ; Xia, Min. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:2727-:d:1055743.

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2023Pursuing the Sustainability of Real Estate Market: The Case of Chinese Land Resources Diversification. (2023). Wen, Zhong-Qin ; Chiang, Shu-Hen ; Lee, Cheng-Wen. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:7:p:5850-:d:1109353.

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2022How Can We Learn from Borrowers’ Online Behaviors? The Signal Effect of Borrowers’ Platform Involvement on Their Credit Risk. (2022). He, Minna ; Zhu, Jianping ; Feng, Chong ; Tang, Xinyin. In: SocArXiv. RePEc:osf:socarx:qga8j.

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2023Are DeFi tokens a separate asset class from conventional cryptocurrencies?. (2023). Corbet, Shaen ; Kaskaloglu, Kerem ; Gunay, Samet ; Goodell, John W. In: Annals of Operations Research. RePEc:spr:annopr:v:322:y:2023:i:2:d:10.1007_s10479-022-05150-z.

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2022A tail-revisited Markowitz mean-variance approach and a portfolio network centrality. (2022). Recchioni, Maria Cristina ; Polinesi, Gloria ; Mariani, Francesca. In: Computational Management Science. RePEc:spr:comgts:v:19:y:2022:i:3:d:10.1007_s10287-022-00422-2.

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2022Measuring systemic risk and contagion in the European financial network. (2022). Tafakori, Laleh ; Rastelli, Riccardo ; Pourkhanali, Armin. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:1:d:10.1007_s00181-021-02135-y.

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2023Housing price diffusions in mainland China: evidence from a spatially penalized graphical VAR model. (2023). Shi, Yanlin ; Chang, LE ; Jiang, Xiandeng. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:2:d:10.1007_s00181-022-02264-y.

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2022Default or profit scoring credit systems? Evidence from European and US peer-to-peer lending markets. (2022). Lyócsa, Štefan ; Vateha, Marko David ; Misheva, Branka Hadji ; Vaaniova, Petra. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00338-5.

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2023Crisis transmission degree measurement under crisis propagation model. (2023). Jilani, Faouzi ; Hallara, Slaheddine ; Bedoui-Belghith, Imen. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00361-9.

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2022Causality 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.

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2023Structural VAR and financial networks: A minimum distance approach to spatial modeling. (2023). Scida, Daniela. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:1:p:49-68.

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2022Measuring 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.

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Works by Daniel Felix Ahelegbey:

YearTitleTypeCited
2017Spatial and Temporal House Price Diffusion in the Netherlands: A Bayesian Network Approach In: ERES.
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2020Tree networks to assess financial contagion In: Economic Modelling.
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2020Tree Networks to assess Financial Contagion.(2020) In: MPRA Paper.
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2019Tree Networks to Assess Financial Contagion.(2019) In: MPRA Paper.
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2021Network VAR models to measure financial contagion In: The North American Journal of Economics and Finance.
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2020Network VAR models to Measure Financial Contagion.(2020) In: DEM Working Papers Series.
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2022Modeling risk contagion in the Italian zonal electricity market In: European Journal of Operational Research.
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2020Modeling Risk Contagion in the Italian Zonal Electricity Market.(2020) In: DEM Working Papers Series.
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2021Tail risk measurement in crypto-asset markets In: International Review of Financial Analysis.
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2020Tail Risk Measurement In Crypto-Asset Markets.(2020) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 12		paper
2022Network based evidence of the financial impact of Covid-19 pandemic In: International Review of Financial Analysis.
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2021Network Based Evidence of the Financial Impact of Covid-19 Pandemic.(2021) In: DEM Working Papers Series.
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2019Latent factor models for credit scoring in P2P systems In: Physica A: Statistical Mechanics and its Applications.
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2018Latent Factor Models for Credit Scoring in P2P Systems.(2018) In: MPRA Paper.
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2022NetVIX — A network volatility index of financial markets In: Physica A: Statistical Mechanics and its Applications.
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2020NetVIX - A Network Volatility Index of Financial Markets.(2020) In: DEM Working Papers Series.
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2017Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach In: Regional Science and Urban Economics.
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2014Bayesian Selection of Systemic Risk Networks In: Advances in Econometrics.
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2020Statistical Modelling of Downside Risk Spillovers.(2020) In: DEM Working Papers Series.
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2020Tail Risk Transmission: A Study of the Iran Food Industry In: Risks.
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2020Tail Risk Transmission: A Study of Iran Food Industry.(2020) In: DEM Working Papers Series.
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2014HIERARCHICAL GRAPHICAL MODELS, WITH APPLICATION TO SYSTEMIC RISK In: DEM Working Papers Series.
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2012Bayesian Graphical Models for Structural Vector Autoregressive Processes.(2012) In: Working Papers.
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2014Hierarchical Graphical Models, With Application to Systemic Risk.(2014) In: Working Papers.
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2020Default count-based network models for credit contagion In: DEM Working Papers Series.
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2022Default count-based network models for credit contagion.(2022) In: Journal of the Operational Research Society.
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2020A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series In: DEM Working Papers Series.
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2020Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises In: DEM Working Papers Series.
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2020Interconnected Deviations from Covered Interest Parity In: DEM Working Papers Series.
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2020A Statistical Measure of Global Equity Market Risk In: DEM Working Papers Series.
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2020Modeling Turning Points In Global Equity Market In: DEM Working Papers Series.
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2019Factorial Network Models To Improve P2P Credit Risk Management In: MPRA Paper.
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2016The Econometrics of Bayesian Graphical Models: A Review With Financial Application In: MPRA Paper.
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2014Sparse Graphical Vector Autoregression: A Bayesian Approach In: Working Papers.
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2015The Econometrics of Networks: A Review In: Working Papers.
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2016Bayesian Graphical Models for STructural Vector Autoregressive Processes In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article82
2012Bayesian Graphical Models for Structural Vector Autoregressive Processes.(2012) In: Working Papers.
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