Research Interests:
My research interests mainly lie in the areas of maritime economics, forecasting, financial risk management, and banking and financial services. My current research focuses on the optimal hedging strategies as well as the determination of the risk exposure of market participants, particularly using the Value-at-Risk methodology, as well as the risk profiles of banks and the interplay of systemic risk and prudential regulation. I have also looked at issues relating to capital structure within the tourism sector and previously published papers on forecasting yield curves as well as the demand for tourism.
Peer-Reviewed Publications:
Bas, Tugba, Sheeja Sivaprasad, and Stefan van Dellen (2022). "The value effects of changes in leverage." Tourism Analysis 27(4): 547-552.
(DOI: https://doi.org/10.3727/108354220x15961981728521)
Elgammal, Mohammed E., Stefan van Dellen, Tugba Bas, Neeta Shah, and Orla Gough (2016). "Do financial distress and liquidity crises affect value and size premiums?" Applied Economics 48(39): 3734-3751.
(DOI: https://doi.org/10.1080/00036846.2016.1145345)
Alizadeh, Amir H., Chih-Yueh Huang, and Stefan van Dellen (2015). "A regime switching approach for hedging tanker shipping freight rates." Energy Economics 49: 44-59.
(DOI: https://doi.org/10.1016/j.eneco.2015.01.004)
Gough, Orla, Khalid B. Nowman, and Stefan van Dellen (2013). "Modelling and forecasting international interest rate spreads: UK, Germany, Japan and the US." International Journal of Financial Engineering and Risk Management 1(4): 309-333.
(DOI:Â https://doi.org/10.1504/IJFERM.2014.065648)
Nowman, Khalid B., and Stefan van Dellen (2012). "Forecasting overseas visitors to the UK using continuous time and autoregressive fractionally integrated moving models with discrete data." Tourism Economics 18(4): 835-844.
(DOI: https://doi.org/10.5367/te.2012.0144)