3 citations · 4 across the 5 of their papers we have counts for
5 papers
Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?
Jonas Krampe, Luca Margaritella
We propose a novel approach to estimate high-dimensional global bank network connectedness in both the time and frequency domains. By employing a factor model with sparse VAR idios…
High-Dimensional Granger Causality for Climatic Attribution
Marina Friedrich, Luca Margaritella, Stephan Smeekes
In this paper we test for Granger causality in high-dimensional vector autoregressive models (VARs) to disentangle and interpret the complex causal chains linking radiative forcing…
Inference in Non-stationary High-Dimensional VARs
Alain Hecq, Luca Margaritella, Stephan Smeekes
In this paper we construct an inferential procedure for Granger causality in high-dimensional non-stationary vector autoregressive (VAR) models. Our method does not require knowled…
Factor Models with Sparse VAR Idiosyncratic Components
Jonas Krampe, Luca Margaritella
We reconcile the two worlds of dense and sparse modeling by exploiting the positive aspects of both. We employ a factor model and assume {the dynamic of the factors is non-pervasiv…
Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure
Alain Hecq, Luca Margaritella, Stephan Smeekes
We develop an LM test for Granger causality in high-dimensional VAR models based on penalized least squares estimations. To obtain a test retaining the appropriate size after the v…