Daniel Felix Ahelegbey : Citation Profile

Are you Daniel Felix Ahelegbey?

University of Essex

9

H index

7

i10 index

226

Citations

RESEARCH PRODUCTION:

17

Articles

25

Papers

1

Chapters

RESEARCH ACTIVITY:

   12 years (2012 - 2024). See details.
   Cites by year: 18
   Journals where Daniel Felix Ahelegbey has often published
   Relations with other researchers
   Recent citing documents: 54.    Total self citations: 26 (10.32 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pah131
   Updated: 2024-12-03    RAS profile: 2024-09-15    
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Relations with other researchers

Works with:

Giudici, Paolo (15)

Agosto, Arianna (3)

Billio, Monica (2)

Grossi, Luigi (2)

Fianu, Emmanuel Senyo (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 (23)

Giudici, Paolo (21)

Billio, Monica (16)

Parisi, Laura (12)

Lau, Chi Keung (10)

Napoletano, Mauro (8)

Guerini, Mattia (8)

Roventini, Andrea (8)

Moneta, Alessio (8)

GUPTA, RANGAN (7)

Arefiev, Nikolay (5)

Cites to:

Billio, Monica (47)

Giudici, Paolo (32)

Casarin, Roberto (31)

Lo, Andrew (21)

battiston, stefano (19)

Diebold, Francis (18)

Yilmaz, Kamil (17)

Pelizzon, Loriana (17)

Acemoglu, Daron (13)

Tahbaz-Salehi, Alireza (13)

Stiglitz, Joseph (12)

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
Risks2

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

Recent works citing Daniel Felix Ahelegbey (2024 and 2023)

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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2024A 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.

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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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2023A 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.

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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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2024The 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.

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2024Dependence 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.

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2024COVID-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.

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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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2023A 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.

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2024Liquidity 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.

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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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2023A 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.

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2023Interconnected 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.

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2023Measurement 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.

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2023A 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.

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2024Understanding 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.

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2024Bitcoin 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.

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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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2024Do 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.

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2024Network 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.

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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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2024From 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.

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2024The 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.

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2023Global 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.

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2023Fan 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.

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2024Trade 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.

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2023The 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.

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2024Innovating 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.

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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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2023Exploring 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.

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2023Volatility 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.

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2024Systemic 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.

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2024Portfolio 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.

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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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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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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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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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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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2024Exploring 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.

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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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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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This paper has nother version. Agregated cites: 15		paper
2019Tree Networks to Assess Financial Contagion.(2019) In: MPRA Paper.
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This paper has nother version. Agregated cites: 15		paper
2021Network VAR models to measure financial contagion In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article9
2020Network VAR models to Measure Financial Contagion.(2020) In: DEM Working Papers Series.
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This paper has nother version. Agregated cites: 9		paper
2024Modeling Turning Points in the Global Equity Market In: Econometrics and Statistics.
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2020Modeling Turning Points In Global Equity Market.(2020) In: DEM Working Papers Series.
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This paper has nother version. Agregated cites: 0		paper
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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This paper has nother version. Agregated cites: 2		paper
2021Tail risk measurement in crypto-asset markets In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article19
2020Tail Risk Measurement In Crypto-Asset Markets.(2020) In: DEM Working Papers Series.
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This paper has nother version. Agregated cites: 19		paper
2022Network based evidence of the financial impact of Covid-19 pandemic In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article7
2021Network Based Evidence of the Financial Impact of Covid-19 Pandemic.(2021) In: DEM Working Papers Series.
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This paper has nother version. Agregated cites: 7		paper
2024The nexus of conventional, religious and ethical indexes during crisis In: Journal of International Financial Markets, Institutions and Money.
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2019Latent factor models for credit scoring in P2P systems In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article9
2018Latent Factor Models for Credit Scoring in P2P Systems.(2018) In: MPRA Paper.
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This paper has nother version. Agregated cites: 9		paper
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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This paper has nother version. Agregated cites: 4		paper
2017Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach In: Regional Science and Urban Economics.
[Full Text][Citation analysis]		article12
2024Measuring the impact of the EU health emergency response authority on the economic sectors and the public sentiment In: Socio-Economic Planning Sciences.
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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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This paper has nother version. Agregated cites: 0		paper
2023Credit Scoring for Peer-to-Peer Lending In: Risks.
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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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This paper has nother version. Agregated cites: 0		paper
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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This paper has nother version. Agregated cites: 18		paper
2014Hierarchical Graphical Models, With Application to Systemic Risk.(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 18		paper
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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This paper has nother version. Agregated cites: 2		article
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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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]		article93
2012Bayesian Graphical Models for Structural Vector Autoregressive Processes.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 93		paper

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