Callot, Laurent A. F.; Kock, Anders B.; Medeiros, Marcelo C. - School of Economics and Management, University of Aarhus - 2014
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...