Details about Luca Margaritella
Access statistics for papers by Luca Margaritella.
Last updated 2025-09-09. Update your information in the RePEc Author Service.
Short-id: pma2743
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Working Papers
2025
- Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?
Papers, arXiv.org 
- New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings
Papers, arXiv.org View citations (1)
2024
- High-Dimensional Granger Causality for Climatic Attribution
Papers, arXiv.org
2023
- Inference in Non-stationary High-Dimensional VARs
Papers, arXiv.org
2022
- Factor Models with Sparse VAR Idiosyncratic Components
Papers, arXiv.org View citations (1)
2020
- 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 (4) (2023)
Journal Articles
2025
- Factor Models With Sparse Vector Autoregressive Idiosyncratic Components
Oxford Bulletin of Economics and Statistics, 2025, 87, (4), 837-849
2023
- Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure*
Journal of Financial Econometrics, 2023, 21, (3), 915-958 View citations (4)
See also Working Paper Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure, Papers (2020) View citations (9) (2020)
- Using information criteria to select averages in CCE
The Econometrics Journal, 2023, 26, (3), 405-421 View citations (5)
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