Details about Luca Margaritella

Access statistics for papers by Luca Margaritella.

Last updated 2024-10-10. Update your information in the RePEc Author Service.

Short-id: pma2743

Working Papers

2025

1. Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?
   Papers, arXiv.org

2024

2. High-Dimensional Granger Causality for Climatic Attribution
   Papers, arXiv.org
3. New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings
   Papers, arXiv.org

2023

4. Inference in Non-stationary High-Dimensional VARs
   Papers, arXiv.org

2022

5. Factor Models with Sparse VAR Idiosyncratic Components
   Papers, arXiv.org

2020

6. Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure
   Papers, arXiv.org View citations (9)
   See also Journal Article Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure*, Journal of Financial Econometrics, Oxford University Press (2023) View citations (2) (2023)

Journal Articles

2023

1. Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure*
   Journal of Financial Econometrics, 2023, 21, (3), 915-958 View citations (2)
   See also Working Paper Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure, Papers (2020) View citations (9) (2020)
2. Using information criteria to select averages in CCE
   The Econometrics Journal, 2023, 26, (3), 405-421 View citations (3)