Daniel Felix Ahelegbey

University of Pavia, Department of Economics and Management

Assistant Professor

Via San Felice 7

Pavia, Lombardia 27100

Italy

http://sites.google.com/site/danielfelixahey/home

SCHOLARLY PAPERS

26

DOWNLOADS
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SSRN RANKINGS

Top 22,034

in Total Papers Downloads

3,281

SSRN CITATIONS
Rank 17,328

SSRN RANKINGS

Top 17,328

in Total Papers Citations

57

CROSSREF CITATIONS

5

Scholarly Papers (26)

1.

The Econometrics of Bayesian Graphical Models: A Review With Financial Application

Journal of Network Theory in Finance, 2(2), 1–33, June 2016
Number of pages: 26 Posted: 30 May 2015 Last Revised: 26 Aug 2019
Daniel Felix Ahelegbey
University of Pavia, Department of Economics and Management
Downloads 952 (34,450)
Citation 5

Abstract:

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Bayesian inference, Graphical models, Model selection, Systemic risk

2.

Bayesian Graphical Models for Structural Vector Autoregressive Processes

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 36/WP/2012
Number of pages: 41 Posted: 11 Jan 2013 Last Revised: 30 Sep 2014
Daniel Felix Ahelegbey, Monica Billio, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 342 (124,051)
Citation 18

Abstract:

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Bayesian Graphical Models, Granger Causality, Markov Chain Monte Carlo, Structural VAR, Vector Autoregression

3.

NetVIX - A Network Volatility Index of Financial Markets

Number of pages: 17 Posted: 26 Apr 2020 Last Revised: 07 Aug 2021
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 193 (218,148)
Citation 2

Abstract:

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Centrality, COVID-19, Density, Financial Crises, Financial Networks, VAR

4.

Network Based Evidence of the Financial Impact of COVID-19 Pandemic

Number of pages: 24 Posted: 09 Feb 2021
Daniel Felix Ahelegbey, Paola Cerchiello and Roberta Scaramozzino
University of Pavia, Department of Economics and Management, University of Pavia - Department of Economics and Management Science and affiliation not provided to SSRN
Downloads 173 (239,669)
Citation 2

Abstract:

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COVID-19 Pandemic, Textual analysis, Financial risk, Network model, Bayesian inference

Sparse Graphical Vector Autoregression: A Bayesian Approach

Number of pages: 27 Posted: 23 Dec 2014 Last Revised: 10 Sep 2016
Daniel Felix Ahelegbey, Monica Billio, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 98 (369,654)
Citation 1

Abstract:

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Large VAR, Model Selection, Prior Distribution, Sparse Graphical Models

Sparse Graphical Vector Autoregression: A Bayesian Approach

Annals of Economics and Statistics, No. 123/124, December 2016, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 24/WP/2014
Number of pages: 30 Posted: 27 Mar 2015 Last Revised: 04 Mar 2022
Daniel Felix Ahelegbey, Monica Billio, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 56 (506,425)
Citation 11

Abstract:

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High-dimensional Models, Large Vector Autoregression, Model Selection, Prior Distribution, Sparse Graphical Models

6.

Bayesian Selection of Systemic Risk Networks

Number of pages: 37 Posted: 15 Jan 2014 Last Revised: 30 Mar 2020
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 150 (269,723)
Citation 1

Abstract:

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Applied Bayesian models, Graphical Gaussian Models, Systemic financial risk

7.

Crypto Asset Portfolio selection

Number of pages: 9 Posted: 28 Jul 2021 Last Revised: 25 Feb 2022
Daniel Felix Ahelegbey, Paolo Giudici and Fatemeh Mojtahedi
University of Pavia, Department of Economics and Management, University of Pavia and Sari Agricultural Sciences and Natural Resources University
Downloads 145 (277,170)

Abstract:

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Portfolio Selection, Tail Risk, Extreme Downside Hedge, Systemic risk, Systematic risk.

8.

Detecting Spatial and Temporal House Price Diffusion in the Netherlands: A Bayesian Network Approach

Number of pages: 20 Posted: 03 Jan 2016 Last Revised: 08 Sep 2016
Alfred Teye and Daniel Felix Ahelegbey
Delft University of Technology - Department of Research for the Built Environment (OTB) and University of Pavia, Department of Economics and Management
Downloads 113 (333,486)

Abstract:

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Graphical models, House price diffusion, Spatial dependence, Spillover effect

9.

Tail Risk Measurement in Crypto-Asset Markets

Number of pages: 17 Posted: 20 Mar 2020
Daniel Felix Ahelegbey, Paolo Giudici and Fatemeh Mojtahedi
University of Pavia, Department of Economics and Management, University of Pavia and Sari Agricultural Sciences and Natural Resources University
Downloads 110 (339,811)
Citation 2

Abstract:

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Crypto-Assets, Extreme Downside Hedge, Extreme Downside Correlation, Network Models, Systematic Risk, Systemic Risk

10.

Network VAR Models to Measure Financial Contagion

Number of pages: 16 Posted: 23 Feb 2020
Daniel Felix Ahelegbey, Paolo Giudici and Shatha Qamhieh Hashem
University of Pavia, Department of Economics and Management, University of Pavia and An-Najah National University
Downloads 101 (359,724)

Abstract:

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Financial Contagion, Network Models, VAR, Bank Lending, Financial Markets

11.

A Bayesian Covariance Graph and Latent Position Model for Multivariate Financial Time Series

Number of pages: 33 Posted: 10 Jan 2018 Last Revised: 09 Mar 2020
Daniel Felix Ahelegbey, Luis Carvalho and Eric Kolaczyk
University of Pavia, Department of Economics and Management, Boston University - Department of Mathematics and Statistics and Boston University - Department of Mathematics and Statistics
Downloads 99 (364,431)
Citation 2

Abstract:

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Bayesian inference, Covariance graph model, Idiosyncratic Contagion Channels, Latent Space Models, Systemic Risk, VAR

12.

NetVIX - A Network Volatility Index of Financial Markets

Number of pages: 17 Posted: 05 Oct 2020
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 95 (373,939)
Citation 1

Abstract:

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Centrality, COVID-19, Financial Crises, NetVIX, Turbulence, VAR, VIX

13.

Interconnected Deviations from Covered Interest Parity

Number of pages: 23 Posted: 03 Nov 2020
Daniel Felix Ahelegbey and Oyakhilome Wallace Ibhagui
University of Pavia, Department of Economics and Management and Baum Tenpers Research Institute
Downloads 93 (379,041)

Abstract:

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Covered Interest Parity, Cross-currency Basis, Currency Swaps, Dollar Funding, Financial Crisis, Interconnectedness, VAR Model.

14.

Modeling Risk Contagion in the Italian Zonal Electricity Market

Number of pages: 24 Posted: 02 Sep 2016 Last Revised: 24 Nov 2021
Emmanuel Senyo Fianu, Daniel Felix Ahelegbey and Luigi Grossi
University of Applied Sciences, Mainz, University of Pavia, Department of Economics and Management and University of Verona - Department of Economics
Downloads 83 (406,143)

Abstract:

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OR in energy, Complex networks, Electricity price volatility, Systemic risk, Zonal electricity market

15.

Modeling Turning Points In The Global Equity Market

Econometrics and Statistics, Forthcoming
Number of pages: 16 Posted: 11 Nov 2020 Last Revised: 24 Nov 2021
Daniel Felix Ahelegbey, Monica Billio, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 81 (411,896)

Abstract:

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Bayesian inference, Dynamic Programming, Financial Crisis, Turning points, Networks, VAR

16.

Latent Factor Models for Credit Scoring in P2P Systems

Number of pages: 15 Posted: 09 Feb 2019
Daniel Felix Ahelegbey, Paolo Giudici and Branka Hadji-Misheva
University of Pavia, Department of Economics and Management, University of Pavia and University of Pavia - Department of Economics and Management
Downloads 56 (498,437)

Abstract:

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Credit Risk, Factor Models, Financial Technology, Peer-to-Peer, Scoring Models, Spatial Clustering

17.

A Statistical Measure of Global Equity Market Risk

Number of pages: 8 Posted: 09 Nov 2020
Daniel Felix Ahelegbey
University of Pavia, Department of Economics and Management
Downloads 55 (502,461)

Abstract:

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COVID-19, Financial Crises, Financial Markets, Market Risk, Mahalanobis Distance, Volatility Index

18.

Structural Changes in Contagion Channels: the Impact of COVID-19 on the Italian Electricity Market

Number of pages: 21 Posted: 21 Dec 2021 Last Revised: 20 Jan 2022
Daniel Felix Ahelegbey, Roberto Casarin, Emmanuel Senyo Fianu and Luigi Grossi
University of Pavia, Department of Economics and Management, University Ca' Foscari of Venice - Department of Economics, University of Applied Sciences, Mainz and University of Verona - Department of Economics
Downloads 51 (519,552)

Abstract:

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OR in energy; complex networks; electricity price return and volatility; systemic risk; zonal electricity market; return and volatility transmission

19.

A Factor Clustering Approach To Credit Scoring

Number of pages: 7 Posted: 01 Mar 2022
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 45 (546,912)

Abstract:

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Clustering, Credit Scoring, Factor Models, FinTech, P2P Lending, Segmentation

20.

Tree Networks to Assess Financial Contagion

Number of pages: 22 Posted: 09 Feb 2019
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 42 (561,711)

Abstract:

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Financial Crisis, Graphical Lasso, Inter-Country Contagion, Inter-Institutional Contagion, Sovereign Crisis, Sparse Covariance Selection

21.

Statistical Modelling of Downside Risk Spillovers

Number of pages: 13 Posted: 20 Oct 2020
Daniel Felix Ahelegbey
University of Pavia, Department of Economics and Management
Downloads 37 (587,800)

Abstract:

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Bayesian Inference, Centrality, Contagion, Conditional VaR, Downside Risk, Extreme downside hedge, Financial Crises, Financial Networks

22.

Default Count-Based Network Models for Credit Contagion

Agosto, A. and Ahelegbey D.F. (2020) Default count-based network models for credit contagion, Journal of the Operational Research Society, DOI: 10.1080/01605682.2020.1776169
Number of pages: 19 Posted: 01 Apr 2020 Last Revised: 27 Sep 2021
Arianna Agosto and Daniel Felix Ahelegbey
University of Pavia and University of Pavia, Department of Economics and Management
Downloads 27 (648,742)

Abstract:

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Financial networks; Inter-sector contagion; Poisson autoregressive models; Vector autoregressive models; Conditional Granger causality; PC-algorithm

23.

Factorial Network Models To Improve P2P Credit Risk Management

Frontiers in Artificial Intelligence, Vol. 2, Article 8, 2019
Number of pages: 13 Posted: 02 Apr 2019 Last Revised: 26 Aug 2019
Daniel Felix Ahelegbey, Paolo Giudici and Branka Hadji-Misheva
University of Pavia, Department of Economics and Management, University of Pavia and University of Pavia - Department of Economics and Management
Downloads 27 (648,742)
Citation 6

Abstract:

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Credit Risk, Factor models, Fintech, Peer-to-Peer lending, Credit Scoring, Lasso, Segmentation

24.

Tail Risk Transmission: A Study of Iran Food Industry

Number of pages: 17 Posted: 01 Jun 2020
Sari Agricultural Sciences and Natural Resources University, Sari Agricultural Sciences and Natural Resources University, University of Pavia, Department of Economics and Management and University of Pavia
Downloads 25 (662,975)
Citation 2

Abstract:

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Food industry, Extreme downside hedge, Extreme downside correlation, Systematic risk, Systemic risk.

25.

Risk Management via Contemporaneous and Temporal Dependence Structures With Applications

MethodsX Volume 8, 2021, 101587
Number of pages: 8 Posted: 05 Feb 2022
Emmanuel Senyo Fianu, Daniel Felix Ahelegbey and Luigi Grossi
University of Applied Sciences, Mainz, University of Pavia, Department of Economics and Management and University of Verona - Department of Economics
Downloads 23 (677,749)

Abstract:

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OR in markets, complex networks, price volatility, systemic risk, multivariate time series

26.

A Network Based Fintech Inclusion Platform

Number of pages: 15 Posted: 20 Jul 2022
Daniel Felix Ahelegbey, Paolo Giudici and Valentino Pediroda
University of Pavia, Department of Economics and Management, University of Pavia and University of Trieste
Downloads 9 (798,341)

Abstract:

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COVID-19 Pandemic, Credit Rating models, Financial technologies