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Nets: network estimation for time series

Barigozzi, Matteo and Brownlees, Christian T. (2018) Nets: network estimation for time series. Journal of Applied Econometrics. ISSN 1099-1255

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Identification Number: 10.1002/jae.2676

Abstract

We model a large panel of time series as a var where the autoregressive matrices and the inverse covariance matrix of the system innovations are assumed to be sparse. The system has a network representation in terms of a directed graph representing predictive Granger relations and an undirected graph representing contemporaneous partial correlations. A lasso algorithm called nets is introduced to estimate the model. We apply the methodology to analyse a panel of volatility measures of ninety bluechips. The model captures an important fraction of total variability, on top of what is explained by volatility factors, and improves out-of-sample forecasting.

Item Type: Article
Official URL: https://onlinelibrary.wiley.com/journal/10991255
Additional Information: © 2018 Wiley
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Date Deposited: 24 Oct 2018 15:43
Last Modified: 20 Jul 2019 00:18
URI: http://eprints.lse.ac.uk/id/eprint/90493

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