Daniel Felix Ahelegbey

University of Essex - Department of Mathematics

Wivenhoe Park

Colchester, Essex CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 20,388

SSRN RANKINGS

Top 20,388

in Total Papers Downloads

4,723

SSRN CITATIONS
Rank 12,778

SSRN RANKINGS

Top 12,778

in Total Papers Citations

118

CROSSREF CITATIONS

4

Scholarly Papers (31)

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 Essex - Department of Mathematics
Downloads 1,094 (38,217)
Citation 7

Abstract:

Loading...

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 Essex - Department of Mathematics, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 402 (138,594)
Citation 33

Abstract:

Loading...

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

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 Essex - Department of Mathematics, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 181 (310,319)
Citation 1

Abstract:

Loading...

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 Essex - Department of Mathematics, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 79 (577,836)
Citation 11

Abstract:

Loading...

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

4.

NetVIX - A Network Volatility Index of Financial Markets

Number of pages: 17 Posted: 26 Apr 2020 Last Revised: 27 May 2024
Daniel Felix Ahelegbey and Paolo Giudici
University of Essex - Department of Mathematics and University of Pavia
Downloads 251 (228,131)
Citation 2

Abstract:

Loading...

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

5.

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 Essex - Department of Mathematics, University of Pavia and Sari Agricultural Sciences and Natural Resources University
Downloads 240 (238,355)
Citation 1

Abstract:

Loading...

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

6.

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 Essex - Department of Mathematics, University of Pavia - Department of Economics and Management Science and affiliation not provided to SSRN
Downloads 203 (279,024)
Citation 4

Abstract:

Loading...

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

7.

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 Essex - Department of Mathematics and University of Pavia
Downloads 180 (310,727)
Citation 1

Abstract:

Loading...

Applied Bayesian models, Graphical Gaussian Models, Systemic financial risk

8.

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 Essex - Department of Mathematics, Boston University - Department of Mathematics and Statistics and Boston University - Department of Mathematics and Statistics
Downloads 162 (340,593)
Citation 2

Abstract:

Loading...

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

9.

A Factor Clustering Approach To Credit Scoring

Number of pages: 7 Posted: 01 Mar 2022
Daniel Felix Ahelegbey and Paolo Giudici
University of Essex - Department of Mathematics and University of Pavia
Downloads 157 (349,684)

Abstract:

Loading...

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

10.

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 Essex - Department of Mathematics, University of Pavia and Sari Agricultural Sciences and Natural Resources University
Downloads 157 (349,684)
Citation 5

Abstract:

Loading...

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

11.

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 Essex - Department of Mathematics
Downloads 150 (363,044)

Abstract:

Loading...

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

12.

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 Essex - Department of Mathematics, University of Pavia and An-Najah National University
Downloads 149 (364,970)

Abstract:

Loading...

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

13.

Interconnected Deviations from Covered Interest Parity

Number of pages: 23 Posted: 03 Nov 2020
Daniel Felix Ahelegbey and Oyakhilome Wallace Ibhagui
University of Essex - Department of Mathematics and Baum Tenpers Research Institute
Downloads 132 (401,687)

Abstract:

Loading...

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 Essex - Department of Mathematics and University of Verona - Department of Economics
Downloads 121 (428,999)
Citation 3

Abstract:

Loading...

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

15.

NetVIX - A Network Volatility Index of Financial Markets

Number of pages: 17 Posted: 05 Oct 2020
Daniel Felix Ahelegbey and Paolo Giudici
University of Essex - Department of Mathematics and University of Pavia
Downloads 120 (431,755)
Citation 1

Abstract:

Loading...

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

16.

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 Essex - Department of Mathematics, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 118 (437,211)

Abstract:

Loading...

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

17.

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 Essex - Department of Mathematics, University of Pavia and University of Pavia - Department of Economics and Management
Downloads 91 (523,589)
Citation 6

Abstract:

Loading...

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

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 Essex - Department of Mathematics, University Ca' Foscari of Venice - Department of Economics, University of Applied Sciences, Mainz and University of Verona - Department of Economics
Downloads 86 (542,413)

Abstract:

Loading...

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

19.

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 Essex - Department of Mathematics
Downloads 84 (550,221)

Abstract:

Loading...

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

20.

A Statistical Measure of Global Equity Market Risk

Number of pages: 8 Posted: 09 Nov 2020
Daniel Felix Ahelegbey
University of Essex - Department of Mathematics
Downloads 77 (579,154)

Abstract:

Loading...

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

21.

Measuring Causal Effect with ARDL-BART: A Macroeconomic Application

Applied Mathematics, 15, 292-312. doi: 10.4236/am.2024.154018
Number of pages: 21 Posted: 27 Jan 2023 Last Revised: 05 Jun 2024
University of Mazandaran (UMZ) - Faculty of Economic and Administrative Sciences, University of Mazandaran (UMZ), University of Essex - Department of Mathematics and affiliation not provided to SSRN
Downloads 70 (610,576)

Abstract:

Loading...

BART Model, Non parametric modeling, Machine learning, Regression trees, Bayesian Network VAR

22.

Tree Networks to Assess Financial Contagion

Number of pages: 22 Posted: 09 Feb 2019
Daniel Felix Ahelegbey and Paolo Giudici
University of Essex - Department of Mathematics and University of Pavia
Downloads 62 (650,164)

Abstract:

Loading...

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

23.

Statistical Modelling of Downside Risk Spillovers

Number of pages: 13 Posted: 20 Oct 2020
Daniel Felix Ahelegbey
University of Essex - Department of Mathematics
Downloads 58 (671,719)

Abstract:

Loading...

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

24.

A Network Based Fintech Inclusion Platform

Number of pages: 15 Posted: 20 Jul 2022
Daniel Felix Ahelegbey, Paolo Giudici and Valentino Pediroda
University of Essex - Department of Mathematics, University of Pavia and University of Trieste
Downloads 57 (677,182)

Abstract:

Loading...

COVID-19 Pandemic, Credit Rating models, Financial technologies

The Nexus of Conventional, Religious and Ethical Indices

Number of pages: 28 Posted: 19 May 2023
Omneya Abdelsalam, Daniel Felix Ahelegbey and Yassine Essanaani
Durham University, University of Essex - Department of Mathematics and Durham University
Downloads 24 (950,087)

Abstract:

Loading...

Covid-19, Conventional, Ethical, Religious, Stock Index, Networks, VAR

26.

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 Essex - Department of Mathematics, University of Pavia and University of Pavia - Department of Economics and Management
Downloads 53 (700,284)
Citation 16

Abstract:

Loading...

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

27.

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 Essex - Department of Mathematics and University of Pavia
Downloads 45 (751,310)
Citation 2

Abstract:

Loading...

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

28.

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 Essex - Department of Mathematics and University of Verona - Department of Economics
Downloads 36 (817,098)

Abstract:

Loading...

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

29.

Inference of Impulse Responses Via Bayesian Graphical Structural VAR Models

Number of pages: 20 Posted: 23 May 2023
Daniel Felix Ahelegbey
University of Essex - Department of Mathematics
Downloads 34 (833,132)

Abstract:

Loading...

Bayesian Graphical Model, Bayesian VAR, Impulse Response, Orthogonalized, Generalized, LASSO

30.

Measuring the Impact of the EU Health Emergency Response Authority on the Economic Sectors and on the Public Sentiment

Number of pages: 18 Posted: 17 May 2023
Daniel Felix Ahelegbey, Alessandro Celani and Paola Cerchiello
University of Essex - Department of Mathematics, Marche Polytechnic University, Department of Economic and Social Sciences and University of Pavia - Department of Economics and Management Science
Downloads 32 (849,679)

Abstract:

Loading...

Covid-19, Sentiment, Networks, SVAR, Bayesian Graphical Models, Risk Analysis

31.

The Impact of the COVID-19 Pandemic on Sustainable European Companies: A Network Approach

Number of pages: 27 Posted: 30 Apr 2024
Durham University, Durham University, University of Essex - Department of Mathematics and University of Liverpool Management School
Downloads 18 (981,919)

Abstract:

Loading...

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