
Kernel-based nonlinear canonical analysis and time reversibility
Florens, Jean-Pierre; Gouriéroux, Christian; Darolles, Serge (2004), Kernel-based nonlinear canonical analysis and time reversibility, Journal of Econometrics, 119, 2, p. 323–353. http://dx.doi.org/10.1016/S0304-4076(03)00199-4
View/ Open
Type
Article accepté pour publication ou publiéDate
2004-04Journal name
Journal of EconometricsVolume
119Number
2Publisher
Elsevier
Pages
323–353
Publication identifier
Metadata
Show full item recordAbstract (EN)
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.Subjects / Keywords
Nonlinear canonical analysis; Kernel estimators; Reversibility hypothesis; Diffusion equations; High-frequency dataRelated items
Showing items related by title and author.
-
Gouriéroux, Christian; Florens, Jean-Pierre; Darolles, Serge (2001-05) Article accepté pour publication ou publié
-
Darolles, Serge; Fan, Yanqing; Florens, Jean-Pierre; Renault, Eric (2011) Article accepté pour publication ou publié
-
Jay, Emmanuelle; Duvaut, Patrick; Darolles, Serge; Gouriéroux, Christian (2011) Communication / Conférence
-
Darolles, Serge; Dubecq, Simon; Gouriéroux, Christian (2014) Communication / Conférence
-
Gouriéroux, Christian; Darolles, Serge; Jay, Emmanuelle; Duvaut, Patrick (2011) Communication / Conférence