Ahelegbey, D.F., Ibhagui, O.W., & Gerth, F. (2026). The Dollar’s Double Life: Not All Dollar Appreciations Are Born Equal for the Cross-Currency Basis. The Journal of Futures Markets, 1–19
Ahelegbey D.F., Casarin R., Fianu E.S., & Grossi L., (2025). Structural Changes in Contagion Channels: The Impact of COVID-19 on the Italian Electricity Market, Annals of Operations Research, 345 (2), 1035-1060
Ahelegbey D.F., (2025). Inference of Impulse Responses Via Bayesian Graphical Structural VAR Models, Econometrics, 13 (2), 1-20
Abdelsalam O., Ahelegbey D.F., & Essanaani Y., (2024). The Nexus of Conventional, Religious and Ethical Indexes During Crisis, Journal of International Financial Markets, Institutions and Money, 95, p.102027
Mojtahedi F., Ahelegbey D.F., & Martina M., (2024). Modeling Interdependence Between Climate, Financial Markets and Commodities, Heliyon, 10 (17), e36316
Ahelegbey D.F., Billio M., & Casarin R., (2024). Modeling Turning Points In The Global Equity Market, Econometrics and Statistics, 30, 60-75
Ahelegbey D.F., Celani A., & Cerchiello, P., (2024). Measuring the Impact of the EU Health Emergency Response Authority on the Economic Sectors and the Public Sentiment Socio-Economic Planning Sciences, 92, p.101842.
Ahelegbey D.F., & Giudici P., (2024). Multidimensional Inequality Metrics for Sustainable Business Development. Mathematics, 12(22), 3633
Mahdavi, P., Ehsani, M.A., Ahelegbey, D.F., & Mohammadpour, M. (2024). Measuring Causal Effect with ARDL-BART: A Macroeconomic Application. Applied Mathematics, 15, 292-312
Ahelegbey D.F., & Giudici P., (2023). Credit Scoring for Peer-to-Peer Lending, Risks, 11 (7), 123
Ahelegbey D.F., Giudici P., & Pediroda V., (2023). A Network Based Fintech Inclusion Platform, Socio-Economic Planning Sciences, 87, 101555
Fianu, E.S., Ahelegbey D.F., & Grossi L., (2022). Modeling Risk Contagion in the Italian Zonal Electricity Market. European Journal of Operational Research, 298 (2), 656--679 .
Agosto A., & Ahelegbey D.F., (2022). Default Count-based Network Models for Credit Contagion, Journal of the Operational Research Society, 73 (1), 139--152
Ahelegbey D.F., & Giudici P., (2022), NetVIX - A Network Volatility Index of Financial Markets, Physica A: Statistical Mechanics and Applications, 594, 127017
Ahelegbey D.F., Cerchiello P., & Scaramozzino R., (2022). Network Based Evidence of the Financial Impact of Covid-19 Pandemic, International Review of Financial Analysis, 81, 102101
Ahelegbey D.F., Giudici P., & Mojtahedi F., (2022), Crypto Asset Portfolio Selection, FinTech, 1 (1), 63--71
Ahelegbey D.F., (2022), Statistical Modelling of Downside Risk Spillovers, FinTech, 1 (2), 125--134
Fianu E.S., Ahelegbey D.F., & Grossi L., (2021). Risk Management via Contemporaneous and Temporal Dependence structures with Applications. MethodsX, 8, 101578
Ahelegbey D.F., Giudici P., & Hashem S.Q., (2021). Network VAR Models to Measure Financial Contagion, The North American Journal of Economics and Finance, 55, 101318
Ahelegbey D.F., Giudici P., & Mojtahedi F., (2021). Tail Risk Measurement In Crypto-Asset Markets, International Review of Financial Analysis, 73, 101604
Agosto A., Ahelegbey D.F., & Giudici P., (2020). Tree Networks to Assess Financial Contagion, Economic Modelling, 85:349--366
Ahelegbey D.F., (2020). A Statistical Measure of Global Equity Market Risk, Applied Mathematics, 11, 1053-1060.
Mojtahedi F., Mojaverian M.S., Ahelegbey D.F., & Giudici P., (2020). Tail Risk Transmission: A Study of Iran Food Industry, Risks, 8(3):78
Ahelegbey D.F., Giudici P., & Hadji-Misheva B., (2019). Factorial Network Models To Improve P2P Credit Risk Management, Frontiers in Artificial Intelligence, 2 (8).
Ahelegbey D.F., Giudici P., & Hadji-Misheva B., (2019). Latent factor models for credit scoring in P2P systems, Physica A: Statistical Mechanics and Applications, 522:112–121
Teye A.L., & Ahelegbey D.F., (2017). Detecting Spatial and Temporal House Price Diffusion in the Netherlands: A Bayesian Network Approach, Journal of Regional Science and Urban Economics, 65, 56-64
Ahelegbey D.F., Billio M., & Casarin R., (2016). Bayesian Graphical Models for Structural Vector Autoregressive Processes, Journal of Applied Econometrics, 31 (2), 357–386 [Data and Replication Files]
Ahelegbey D.F., (2016). The Econometrics of Bayesian Graphical Models: A Review with Financial Application, Journal of Network Theory in Finance, 2 (2), 1-33
Ahelegbey D.F., Billio M., & Casarin R., (2016). Sparse Graphical Vector Auto Regression: A Bayesian Approach, Annals of Economics and Statistics, 123/124, 333-361
Ahelegbey D.F., & Giudici P., (2014). Bayesian Selection of Systemic Risk Networks, Advances in Econometrics: Bayesian Model Comparison, 34, 117-153
Teye A.L., & Ahelegbey D.F., (2017). Spatial and Temporal House Price Diffusion in the Netherlands: A Bayesian Network Approach, In 24th Annual European Real Estate Society Conference. ERES: Conference. Delft, Netherlands
Ahelegbey D.F., & Billio M., Casarin R., (2016). Sparse Bayesian Graphical Vector Autoregression For Risk Analysis, In JSM Proceedings, Statistical Computing Section. Alexandria, VA: American Statistical Association, 1789–1803
Ahelegbey D.F., Billio M., & Casarin R., (2015). Sparse BGVAR models for Systemic Risk Analysis, In Crocetta C. (eds.), Statistics and Demography: the Legacy of Corrado Gini, CLEUP
Ahelegbey D.F., & Ibhagui O.W. Interconnected Deviations from Covered Interest Parity.
Ahelegbey D.F., Carvalho L., & Kolaczyk ED. A Bayesian Covariance Graph and Latent Position Model for Multivariate Financial Time Series
Essanaani Y., Abdelsalam O., Ahelegbey D.F., & Taamouti A. The Impact of the COVID-19 Pandemic on Sustainable European Companies: A Network Approach
Mahdavi P., Ehsani M.A., & Ahelegbey D.F., A Comparison of Dynamic Causal Inference Methods.
Ahelegbey D.F, & Giudici P, (2020), Market risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises, Università di Pavia, Department of Economics and Management.
Ahelegbey D.F, (2015), Bayesian Graphical Models With Economic and Financial Applications, PhD Thesis, University of Venice.
Ahelegbey D.F, & Giudici P, (2014), Hierarchical Graphical Models with Application to Systemic Risk, University CaFoscari of Venice, Dept. of Economics Research Paper Series, (63), 1.
Ahelegbey D.F, (2011), Application of Dynamic Bayesian Networks in Empirical Finance, (2011), Master Thesis, University of Venice.
Bayesian Graphical Models for Structural VAR Processes by Daniel Felix Ahelegbey