@TECHREPORT {SFB649DP2017-023,
  AUTHOR={Li, Xinjue and Zbonakova, Lenka and H\"{a}rdle, Wolfgang Karl},
  TITLE={{Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change}},
  YEAR=2017,
  INSTITUTION={Sonderforschungsbereich 649, Humboldt Universit\"{a}t zu Berlin, Germany},
  TYPE={SFB 649 Discussion Paper},
  NOTE={available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2017-023.pdf},
  NUMBER={2017-023}
}