Kernel-based nonlinear canonical analysis and time reversibility

Serge Darolles (), Jean-Pierre Florens () and Christian Gourieroux
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Serge Darolles: DRM-Finance - DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Jean-Pierre Florens: GREMAQ - Groupe de recherche en économie mathématique et quantitative - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique
Christian Gourieroux: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

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Abstract: We consider a kernel-based approach to nonlinear canonical correlation analysis and its implementation for time series. We deduce a test procedure of the reversibility hypothesis. The method is applied to the analysis of stochastic differential equation from high-frequency data on stock returns.

Keywords: Nonlinear canonical analysis; Kernel estimators; Reversibility hypothesis; Diffusion equations; High-frequency data (search for similar items in EconPapers)
Date: 2004-06-01
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Citations: View citations in EconPapers (13)

Published in Econometrics, 2004, 119, pp.323-353. ⟨10.1016/S0304-4076(03)00199-4⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00678062

DOI: 10.1016/S0304-4076(03)00199-4

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