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

Boston University, Department of Mathematics & Statistics

111 Cummington Mall

Boston, MA 02215

United States

SCHOLARLY PAPERS

22

DOWNLOADS
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Top 23,739

in Total Papers Downloads

2,584

SSRN CITATIONS
Rank 18,025

SSRN RANKINGS

Top 18,025

in Total Papers Citations

55

CROSSREF CITATIONS

5

Scholarly Papers (22)

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 875 (33,422)
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 and Roberto Casarin
University of Pavia, Department of Economics and Management, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 325 (114,878)
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: 25 Posted: 26 Apr 2020 Last Revised: 29 Mar 2021
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 180 (204,900)
Citation 2

Abstract:

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

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 and Roberto Casarin
University of Pavia, Department of Economics and Management, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 93 (339,991)
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: 10 Mar 2019
Daniel Felix Ahelegbey, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 54 (460,640)
Citation 11

Abstract:

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

5.

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 146 (244,501)
Citation 1

Abstract:

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Applied Bayesian models, Graphical Gaussian Models, Systemic financial risk

6.

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 110 (301,947)

Abstract:

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

7.

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 90 (344,408)
Citation 2

Abstract:

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

8.

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 77 (378,060)

Abstract:

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

9.

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 77 (378,060)
Citation 2

Abstract:

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

10.

Modeling Risk Contagion in the Italian Zonal Electricity Market

Number of pages: 24 Posted: 02 Sep 2016 Last Revised: 09 Mar 2020
Emmanuel Senyo Fianu, Daniel Felix Ahelegbey and Luigi Grossi
Leuphana University of Lueneburg, University of Pavia, Department of Economics and Management and University of Verona - Department of Economics
Downloads 75 (383,804)

Abstract:

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Bayesian Inference, Complex Networks, Energy Prices, Market Efficiency, Systemic Risk, Volatility, Zonal Power Market

11.

NetVIX - A Network Volatility Index of Financial Markets

Number of pages: 24 Posted: 05 Oct 2020
Daniel Felix Ahelegbey and Paolo Giudici
University of Pavia, Department of Economics and Management and University of Pavia
Downloads 74 (386,635)
Citation 1

Abstract:

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

12.

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 70 (398,598)

Abstract:

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

13.

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 66 (411,312)
Citation 1

Abstract:

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

14.

Modeling Turning Points In Global Equity Market

Number of pages: 18 Posted: 11 Nov 2020
Daniel Felix Ahelegbey, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 57 (442,371)

Abstract:

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

15.

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 44 (494,100)

Abstract:

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

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 38 (521,758)

Abstract:

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

17.

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 35 (536,714)

Abstract:

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

18.

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 28 (575,488)

Abstract:

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

19.

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 25 (594,404)
Citation 6

Abstract:

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

20.

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 22 (614,525)
Citation 2

Abstract:

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

21.

Default Count-Based Network Models for Credit Contagion

Number of pages: 19 Posted: 01 Apr 2020
Arianna Agosto and Daniel Felix Ahelegbey
University of Pavia and University of Pavia, Department of Economics and Management
Downloads 18 (642,316)

Abstract:

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

22.

Crypto Asset Portfolio selection

Number of pages: 11 Posted: 28 Jul 2021
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 5 (740,945)

Abstract:

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