We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top …

autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong …

) and studies the properties of the Lasso and adaptive Lasso as estimators of this model. The parameters of the model are … finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with … of non zero increments grows slower than √T . By simulation experiments we investigate the properties of the Lasso and …