Publications
Journal Publications
Ahelegbey DF., Casarin R., Fianu ES., and Grossi L., (2024). Structural Changes in Contagion Channels: The Impact of COVID-19 on the Italian Electricity Market, Annals of Operations Research (forthcoming)
Ahelegbey DF., Billio M., and Casarin R., (2024). Modeling Turning Points In The Global Equity Market, Econometrics and Statistics, 30, 60--75
Ahelegbey DF., Celani A., and 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, p.101842.
Abdelsalam O., Ahelegbey DF., Essanaani Y., (2024). The Nexus of Conventional, Religious and Ethical Indices, Journal of International Financial Markets, Institutions and Money (forthcoming)
Mahdavi, P., Ehsani, M.A., Ahelegbey, D.F. and Mohammadpour, M. (2024). Measuring Causal Effect with ARDL-BART: A Macroeconomic Application. Applied Mathematics, 15, 292-312
Ahelegbey DF., and Giudici P., (2023). Credit Scoring for Peer-to-Peer Lending, Risks, 11 (7), 123
Ahelegbey DF., Giudici P., and Pediroda V., (2023). A Network Based Fintech Inclusion Platform, Socio-Economic Planning Sciences, 101555
Fianu, ES., Ahelegbey DF., and Grossi L., (2022). Modeling Risk Contagion in the Italian Zonal Electricity Market. European Journal of Operational Research, 298 (2), 656--679 .
Agosto A., and Ahelegbey DF., (2022). Default Count-based Network Models for Credit Contagion, Journal of the Operational Research Society, 73 (1), 139--152
Ahelegbey DF., and Giudici P., (2022), NetVIX - A Network Volatility Index of Financial Markets, Physica A: Statistical Mechanics and Applications, 594, 127017
Ahelegbey DF., Cerchiello P., and Scaramozzino R., (2022). Network Based Evidence of the Financial Impact of Covid-19 Pandemic, International Review of Financial Analysis, 81, 102101
Ahelegbey DF., Giudici P., and Mojtahedi F., (2022), Crypto Asset Portfolio Selection, FinTech, 1 (1), 63--71
Ahelegbey DF., (2022), Statistical Modelling of Downside Risk Spillovers, FinTech, 1 (2), 125--134
Fianu ES., Ahelegbey DF., and Grossi L., (2021). Risk Management via Contemporaneous and Temporal Dependence structures with Applications. MethodsX, 8, 101578
Ahelegbey DF., Giudici P., and Hashem SQ., (2021). Network VAR Models to Measure Financial Contagion, The North American Journal of Economics and Finance, 55, 101318
Ahelegbey DF., Giudici P., and Mojtahedi F., (2021). Tail Risk Measurement In Crypto-Asset Markets, International Review of Financial Analysis, 73, 101604
Agosto A., Ahelegbey DF., and Giudici P., (2020). Tree Networks to Assess Financial Contagion, Economic Modelling, 85:349--366
Ahelegbey DF., (2020). A Statistical Measure of Global Equity Market Risk, Applied Mathematics, 11, 1053-1060.
Mojtahedi F., Mojaverian MS., Ahelegbey DF., and Giudici P., (2020). Tail Risk Transmission: A Study of Iran Food Industry, Risks, 8(3):78
Ahelegbey DF., Giudici P., and Hadji-Misheva B., (2019). Factorial Network Models To Improve P2P Credit Risk Management, Frontiers in Artificial Intelligence, 2 (8).
Ahelegbey DF., Giudici P., and Hadji-Misheva B., (2019). Latent factor models for credit scoring in P2P systems, Physica A: Statistical Mechanics and Applications, 522:112–121
Teye AL., and Ahelegbey DF., (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 DF., Billio M., and Casarin R., (2016). Bayesian Graphical Models for Structural Vector Autoregressive Processes, Journal of Applied Econometrics, 31 (2), 357–386 [Data and Replication Files]
Ahelegbey DF., (2016). The Econometrics of Bayesian Graphical Models: A Review with Financial Application, Journal of Network Theory in Finance, 2 (2), 1-33
Ahelegbey DF., Billio M., and Casarin R., (2016). Sparse Graphical Vector Auto Regression: A Bayesian Approach, Annals of Economics and Statistics, 123/124, 333-361
Ahelegbey DF., and Giudici P., (2014). Bayesian Selection of Systemic Risk Networks, Advances in Econometrics: Bayesian Model Comparison, 34, 117-153
Book Chapters & Proceedings
Teye AL., and Ahelegbey DF., (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 DF., Billio M., and 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 DF., Billio M., and Casarin R., (2015). Sparse BGVAR models for Systemic Risk Analysis, In Crocetta C. (eds.), Statistics and Demography: the Legacy of Corrado Gini, CLEUP
Manuscripts / Working Papers
Ahelegbey DF., and Ibhagui OW., (2021). Interconnected Deviations from Covered Interest Parity.
Ahelegbey DF., Carvalho L., and Kolaczyk ED., (2020). A Bayesian Covariance Graph and Latent Position Model for Multivariate Financial Time Series
Scientific Software
Bayesian Graphical Models for Structural VAR Processes by Daniel Felix Ahelegbey