3 citations · 4 across the 5 of their papers we have counts for
4 papers · 1 filter
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…
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…