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Global bank network connectedness revisited: What is common, idiosyncratic and when?
This allows to disentangle: (I) the part of system-wide connectedness (SWC) due to the common component shocks (what we call the "banking market"), and (II) the part due to the idiosyncratic shocks (the single banks).
High-Dimensional Causality for Climatic Attribution
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 forcings and global temperatures.
Inference in Non-stationary High-Dimensional VARs
We combine this lag augmentation with a post-double-selection procedure in which a set of initial penalized regressions is performed to select the relevant variables for both the Granger causing and caused variables.
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