9
H index
7
i10 index
225
Citations
University of Essex | 9 H index 7 i10 index 225 Citations RESEARCH PRODUCTION: 17 Articles 25 Papers 1 Chapters RESEARCH ACTIVITY: 12 years (2012 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pah131 |
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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FinTech | 2 |
Physica A: Statistical Mechanics and its Applications | 2 |
Risks | 2 |
International Review of Financial Analysis | 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 |
Working Papers / Department of Economics, University of Venice "Ca' Foscari" | 5 |
MPRA Paper / University Library of Munich, Germany | 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 |
2024 | A Dynamic Latent-Space Model for Asset Clustering. (2024). Antonio, Peruzzi ; Roberto, Casarin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:379-402:n:9. 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 |
2023 | A practical multivariate approach to testing volatility spillover. (2023). Urga, Giovanni ; Leong, Soon Heng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001008. 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 |
2024 | The determinants of systemic risk contagion. (2024). Erden, Lutfi ; Ozkan, Brahim ; Atasoy, Burak Sencer. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x. Full description at Econpapers || Download paper |
2024 | Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times: An Archimax copula approach. (2024). Fernandez Bariviera, Aurelio ; Jeribi, Ahmed ; Bejaoui, Azza ; Fakhfekh, Mohamed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940824000032. Full description at Econpapers || Download paper |
2024 | COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2024). Casarin, Roberto ; Billio, Monica ; Iacopini, Matteo ; Costola, Michele. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:113-131. 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 |
2023 | A financial risk meter for China. (2023). Hardle, Wolfgang Karl ; Althof, Michael ; Wang, Ruting. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000572. Full description at Econpapers || Download paper |
2024 | Liquidity risk in FinTech lending: Early impact of the COVID-19 pandemic on the P2P lending market. (2024). Alam, Khorshed ; Shams, Syed ; Nigmonov, Asror. In: Emerging Markets Review. RePEc:eee:ememar:v:58:y:2024:i:c:s1566014123000894. 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 |
2023 | A new way of measuring effects of financial crisis on contagion in currency markets. (2023). Cook, Samantha ; Wit, Ernst-Jan Camiel ; Rigana, Katerina. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923002806. Full description at Econpapers || Download paper |
2023 | Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004088. Full description at Econpapers || Download paper |
2023 | Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295. Full description at Econpapers || Download paper |
2023 | A new view of risk contagion by decomposition of dependence structure: Empirical analysis of Sino-US stock markets. (2023). Lu, Xin ; Luan, Xin ; Zheng, Yanting ; Liu, Jiaming. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004362. Full description at Econpapers || Download paper |
2024 | Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies. (2024). Kara, Marta ; Soski, Tomasz ; Mercik, Aleksander. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000024. Full description at Econpapers || Download paper |
2024 | Bitcoin replication using machine learning. (2024). Rambaccussing, Dooruj ; Mazibas, Murat. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s105752192400139x. 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 |
2024 | Do global and local economic policy uncertainties matter for systemic risk in the international banking system. (2024). Li, Sijing ; Deng, Yuanyue. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011248. Full description at Econpapers || Download paper |
2024 | Network centrality and credit risk: A comprehensive analysis of peer-to-peer lending dynamics. (2024). Osterrieder, Jorg ; Baals, Lennart John ; Liu, Yiting ; Hadji-Misheva, Branka. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003386. 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 |
2024 | From liquidity risk to systemic risk: A use of knowledge graph. (2024). Zhang, Xiaohu ; Chen, Ren-Raw. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923000955. Full description at Econpapers || Download paper |
2024 | The topological structure of panel variance decomposition networks. (2024). Pagnottoni, Paolo ; Cerchiello, Paola ; Celani, Alessandro. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s157230892400007x. Full description at Econpapers || Download paper |
2023 | Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality. (2023). Sha, Yezhou ; Yin, Shiqi ; Zhang, Ping. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000513. Full description at Econpapers || Download paper |
2023 | Fan tokens: Sports and speculation on the blockchain. (2023). Zimmermann, Lukas ; Scharnowski, Stefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001488. Full description at Econpapers || Download paper |
2024 | Trade fragmentation and volatility-of-volatility networks. (2024). Jawadi, Fredj ; Bastidon, Cecile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762. Full description at Econpapers || Download paper |
2023 | The value of official website information in the credit risk evaluation of SMEs. (2023). Tang, Qian ; Yin, Chang ; Jiang, Cuiqing ; Wang, Zhao. In: Journal of Business Research. RePEc:eee:jbrese:v:169:y:2023:i:c:s0148296323006495. Full description at Econpapers || Download paper |
2024 | Innovating microcredit: how fintechs change the field. (2024). Camelo, Emmanuel ; Mendes, Layla ; Leite, Rodrigo. In: Journal of Economics and Business. RePEc:eee:jebusi:v:128:y:2024:i:c:s0148619523000516. 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 | Exploring the spatial linkage network of peer-to-peer lending in China. (2023). Wei, Xiaolin ; Chong, Zhaohui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123008348. Full description at Econpapers || Download paper |
2023 | Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:1-13. Full description at Econpapers || Download paper |
2024 | Systemic risk and financial networks. (2024). Zhang, Xiaoyuan ; Li, Bingqing. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:25-36. Full description at Econpapers || Download paper |
2024 | Portfolio insurance strategy in the cryptocurrency market. (2024). Lee, Jaewook ; Son, Bumho ; Ko, Hyungjin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002611. 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 |
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 |
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 |
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 |
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 |
2024 | Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries. (2024). Marco, Chi Keung ; Downing, Gareth ; Elsayed, Ahmed H ; Sheng, Xin. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1804-1819. 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 |
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 | 15 |
2020 | Tree Networks to assess Financial Contagion.(2020) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2019 | Tree Networks to Assess Financial Contagion.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2021 | Network VAR models to measure financial contagion In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 9 |
2020 | Network VAR models to Measure Financial Contagion.(2020) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2024 | Modeling Turning Points in the Global Equity Market In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 0 |
2020 | Modeling Turning Points In Global Equity Market.(2020) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has nother 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 | 2 |
2020 | Modeling Risk Contagion in the Italian Zonal Electricity Market.(2020) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2021 | Tail risk measurement in crypto-asset markets In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 19 |
2020 | Tail Risk Measurement In Crypto-Asset Markets.(2020) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2022 | Network based evidence of the financial impact of Covid-19 pandemic In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 7 |
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 nother version. Agregated cites: 7 | paper | |
2024 | The nexus of conventional, religious and ethical indexes during crisis In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 0 |
2019 | Latent factor models for credit scoring in P2P systems In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 9 |
2018 | Latent Factor Models for Credit Scoring in P2P Systems.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2022 | NetVIX — A network volatility index of financial markets In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 3 |
2020 | NetVIX - A Network Volatility Index of Financial Markets.(2020) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | 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 |
2024 | Measuring the impact of the EU health emergency response authority on the economic sectors and the public sentiment In: Socio-Economic Planning Sciences. [Full Text][Citation analysis] | article | 0 |
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 nother version. Agregated cites: 0 | paper | |
2023 | Credit Scoring for Peer-to-Peer Lending In: Risks. [Full Text][Citation analysis] | article | 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 nother 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 nother 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 nother 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 nother 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 | 1 |
2020 | Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
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 |
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 | 12 |
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 | 93 |
2012 | Bayesian Graphical Models for Structural Vector Autoregressive Processes.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | paper |
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