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Luca Margaritella
Luca Margaritella
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Granger causality testing in high-dimensional VARs: a post-double-selection procedure
A Hecq, L Margaritella, S Smeekes
Journal of Financial Econometrics 21 (3), 915-958, 2021
392021
Factor Models with Sparse VAR Idiosyncratic Components
J Krampe, L Margaritella
arXiv preprint arXiv:2112.07149, 2021
52021
Using information criteria to select averages in CCE
L Margaritella, J Westerlund
The Econometrics Journal 26 (3), 405-421, 2023
42023
High-dimensional causality for climatic attribution
M Friedrich, L Margaritella, S Smeekes
arXiv preprint arXiv:2302.03996, 2023
2*2023
Inference in Non-stationary High-Dimensional VARs
A Hecq, L Margaritella, S Smeekes
12023
Global bank network connectedness revisited: What is common, idiosyncratic and when?
J Krampe, L Margaritella
arXiv preprint arXiv:2402.02482, 2024
2024
Precision Least Squares: Estimation and Inference in High-Dimensions
L Margaritella, R Sessinou
2023
Inference in high-dimensional time series models
L Margaritella
2021
Applications of Big Data methods in Finance: Index Tracking
K Simka, L Margaritella
The R User Conference, useR! 2017 July 4-7 2017 Brussels, Belgium, 267, 2017
2017
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Artikelen 1–9