Luca Margaritella | DeepAI

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Featured Co-authors

Stephan Smeekes
9 publications
Jonas Krampe
8 publications
Alain Hecq
4 publications

research

∙ 12/14/2021

Dynamic Factor Models with Sparse VAR Idiosyncratic Components

We reconcile the two worlds of dense and sparse modeling by exploiting t...

0 Jonas Krampe, et al. ∙

research

∙ 02/28/2019

Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure

In this paper we develop an LM test for Granger causality in high-dimens...

0 Alain Hecq, et al. ∙