Dr Daniel Ahelegbey
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Email
d.f.ahelegbey@essex.ac.uk -
Location
3A.522, Colchester Campus
Profile
Biography
Expert in the application of data science, network econometrics, and domain knowledge to analyze structural patterns in multivariate time series and build models with explainable features useful for practitioners. Area of Expertise: Bayesian Econometrics, Applied and Mathematical Statistics, Financial Econometrics, Network Econometrics, Fintech Credit Risk Analysis, Financial Networks, Systemic Risk Analysis.
Qualifications
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PhD Ca Foscari University of Venice, (2015)
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Master University of Paris, (2011)
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Bachelor University of Ghana, (2007)
Appointments
University of Essex
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Lecturer, School of Mathematics, Statistics and Actuarial Science (3/10/2023 - present)
Other academic
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Assistant Professor, University of Pavia (9/5/2019 - present)
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Adjunct Professor, African School of Economics (3/9/2018 - present)
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Postdoctoral Fellow, Mathematics and Statistics, Boston University (1/9/2015 - 31/8/2017)
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Research Fellow, Ca Foscari University of Venice (2/9/2014 - 31/8/2015)
Teaching and supervision
Current teaching responsibilities
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Mathematics of Portfolios (MA311)
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Programming and Text Analytics with R (MA331)
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Network Analysis (MA214)
Publications
Publications (1)
Ahelegbey, D., Carvalho, L. and Kolaczyk, E., (2017). A Bayesian Covariance Graphical And Latent Position Model For Multivariate Financial Time Series
Journal articles (27)
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. 92, 101842-101842
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
Abdelsalam, O., Ahelegbey, DF. and Yassine, E., (2024). The nexus of conventional, religious and ethical indexes during crisis. Journal of International Financial Markets, Institutions and Money. 95, 102027-102027
Mojtahedi, F., Ahelegbey, DF. and Martina, M., (2024). Modelling Interdependence between Climatic Factors, Commodities, and Financial Markets. Heliyon. 10 (17), e36316-e36316
Mahdavi, P., Ehsani, MA., Ahelegbey, DF. and Mohammadpour, M., (2024). Measuring Causal Effect with ARDL-BART: A Macroeconomic Application. Applied Mathematics. 15 (04), 292-312
Ahelegbey, DF. and Giudici, P., (2024). Multidimensional Inequality Metrics for Sustainable Business Development. Mathematics. 12 (22), 3633-3633
Ahelegbey, DF. and Giudici, P., (2023). Credit Scoring for Peer-to-Peer Lending. Risks. 11 (7), 123-123
Ahelegbey, D., Giudici, P. and Pediroda, V., (2023). A network based fintech inclusion platform. Socio-Economic Planning Sciences. 87, 101555-101555
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, 102101-102101
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 its Applications. 594, 127017-127017
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
Ahelegbey, DF., (2022). Statistical Modelling of Downside Risk Spillovers. FinTech. 1 (2), 125-134
Ahelegbey, DF., Giudici, P. and Mojtahedi, F., (2022). Crypto Asset Portfolio Selection. FinTech. 1 (1), 63-71
Ahelegbey, DF., Giudici, P. and Mojtahedi, F., (2021). Tail risk measurement in crypto-asset markets. International Review of Financial Analysis. 73, 101604-101604
Ahelegbey, DF., Giudici, P. and Hashem, SQ., (2021). Network VAR models to measure financial contagion. The North American Journal of Economics and Finance. 55, 101318-101318
Fianu, ES., Ahelegbey, DF. and Grossi, L., (2021). Risk management via contemporaneous and temporal dependence structures with applications. MethodsX. 8, 101587-101587
Mojtahedi, F., Mojaverian, SM., Ahelegbey, DF. and Giudici, P., (2020). Tail Risk Transmission: A Study of the Iran Food Industry. Risks. 8 (3), 78-78
Ahelegbey, DF., (2020). A Statistical Measure of Global Equity Market Risk. Applied Mathematics. 11 (11), 1053-1060
Agosto, A., Ahelegbey, DF. and Giudici, P., (2020). Tree networks to assess financial contagion. Economic Modelling. 85, 349-366
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 its Applications. 522, 112-121
Teye, AL. and Ahelegbey, DF., (2017). Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach. Regional Science and Urban Economics. 65, 56-64
Daniel Felix Ahelegbey, Monica Billio and Roberto Casarin, (2016). Sparse Graphical Vector Autoregression: A Bayesian Approach. Annals of Economics and Statistics (123/124), 333-333
Ahelegbey, DF., Billio, M. and Casarin, R., (2016). Bayesian Graphical Models for STructural Vector Autoregressive Processes. Journal of Applied Econometrics. 31 (2), 357-386
Ahelegbey, DF., (2016). The econometrics of Bayesian graphical models: a review with financial application. The Journal of Network Theory in Finance. 2 (2), 1-33
Book chapters (1)
Felix Ahelegbey, D. and Giudici, P., (2014). Bayesian Selection of Systemic Risk Networks. In: Advances in Econometrics. Emerald Group Publishing Limited. 117- 153. 9781784411855
Contact
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