8
H index
7
i10 index
185
Citations
Università Ca' Foscari Venezia (10% share) | 8 H index 7 i10 index 185 Citations RESEARCH PRODUCTION: 13 Articles 25 Papers 1 Chapters RESEARCH ACTIVITY:
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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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International Review of Financial Analysis | 2 |
FinTech | 2 |
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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2023 | Vector Autoregression in Cryptocurrency Markets: Unraveling Complex Causal Networks. (2023). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2308.15769. Full description at Econpapers || Download paper |
2022 | Within?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. 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 |
2023 | A 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2023 | Time-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. Full description at Econpapers || Download paper |
2022 | Return 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2022 | Dynamic 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. Full description at Econpapers || Download paper |
2022 | Markov 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. Full description at Econpapers || Download paper |
2023 | Structural 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. Full description at Econpapers || Download paper |
2023 | Risk 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. Full description at Econpapers || Download paper |
2023 | Spillovers 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. Full description at Econpapers || Download paper |
2023 | How 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. Full description at Econpapers || Download paper |
2022 | Covid-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. Full description at Econpapers || Download paper |
2022 | Conditional 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. Full description at Econpapers || Download paper |
2023 | Where 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. Full description at Econpapers || Download paper |
2023 | From 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. Full description at Econpapers || Download paper |
2022 | Tail 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. Full description at Econpapers || Download paper |
2022 | Explainable 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. Full description at Econpapers || Download paper |
2023 | Systemic 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. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2022 | Risk 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. Full description at Econpapers || Download paper |
2023 | Systemic 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. 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 |
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 |
2022 | Network 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. Full description at Econpapers || Download paper |
2022 | Structural 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. Full description at Econpapers || Download paper |
2022 | How 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. Full description at Econpapers || Download paper |
2023 | Immunization 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2022 | Structural 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. Full description at Econpapers || Download paper |
2022 | Contagion 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. Full description at Econpapers || Download paper |
2022 | Machine 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. Full description at Econpapers || Download paper |
2022 | Machine 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. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2023 | Systemic 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. Full description at Econpapers || Download paper |
2023 | Pursuing 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. Full description at Econpapers || Download paper |
2022 | How 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. Full description at Econpapers || Download paper |
2023 | Are 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. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2022 | Measuring 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. Full description at Econpapers || Download paper |
2023 | Housing 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. Full description at Econpapers || Download paper |
2022 | Default 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. Full description at Econpapers || Download paper |
2023 | Crisis 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. 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 |
2023 | Structural 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. 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 | 11 |
2020 | Tree networks to assess financial contagion In: Economic Modelling. [Full Text][Citation analysis] | article | 10 |
2020 | Tree Networks to assess Financial Contagion.(2020) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2019 | Tree Networks to Assess Financial Contagion.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2021 | Network VAR models to measure financial contagion In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 6 |
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: 6 | paper | |
2022 | Modeling risk contagion in the Italian zonal electricity market In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 1 |
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: 1 | paper | |
2021 | Tail risk measurement in crypto-asset markets In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 12 |
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: 12 | paper | |
2022 | Network based evidence of the financial impact of Covid-19 pandemic In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 4 |
2021 | Network Based Evidence of the Financial Impact of Covid-19 Pandemic.(2021) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2019 | Latent factor models for credit scoring in P2P systems In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 4 |
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: 4 | paper | |
2022 | NetVIX — A network volatility index of financial markets In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 1 |
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: 1 | 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 | 12 |
2014 | Bayesian Selection of Systemic Risk Networks In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 0 |
In: . [Full Text][Citation analysis] | article | 0 | |
In: . [Full Text][Citation analysis] | article | 0 | |
2020 | Statistical Modelling of Downside Risk Spillovers.(2020) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
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 | 18 |
2012 | Bayesian Graphical Models for Structural Vector Autoregressive Processes.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | 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: 18 | paper | |
2020 | Default count-based network models for credit contagion In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
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: 2 | 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 | 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 |
2019 | Factorial Network Models To Improve P2P Credit Risk Management In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
2016 | The Econometrics of Bayesian Graphical Models: A Review With Financial Application In: MPRA Paper. [Full Text][Citation analysis] | paper | 11 |
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 | 82 |
2012 | Bayesian Graphical Models for Structural Vector Autoregressive Processes.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 82 | paper |
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