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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\n                    <jats:sc>NETS<\/jats:sc>\n                    is introduced to estimate the model. We apply the methodology to analyze a panel of volatility measures of 90 blue chips. The model captures an important fraction of total variability, on top of what is explained by volatility factors, and improves out\u2010of\u2010sample forecasting.\n                  <\/jats:p>","DOI":"10.1002\/jae.2676","type":"journal-article","created":{"date-parts":[[2018,12,5]],"date-time":"2018-12-05T21:59:18Z","timestamp":1544047158000},"page":"347-364","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":153,"title":["NETS: Network estimation for time series"],"prefix":"10.1002","volume":"34","author":[{"given":"Matteo","family":"Barigozzi","sequence":"first","affiliation":[{"name":"Department of Statistics London School of Economics and Political Science London UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Christian","family":"Brownlees","sequence":"additional","affiliation":[{"name":"Department of Economics and Business Universitat Pompeu Fabra and Barcelona GSE Barcelona Spain"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2019,1,11]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA9623"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2016.1195743"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.08.034"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00392"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.05.017"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/ectj.12047"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/rssc.12177"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1214\/15-AOS1315"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.12.010"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4684-0489-0"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp009"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.3150\/12-BEJSP11"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1007\/s001840000055"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/10618600.2015.1092978"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.08.011"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2528966"},{"key":"e_1_2_7_20_1","doi-asserted-by":"crossref","unstructured":"Den Haan W. 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