Kernel-based nonlinear canonical analysis and time reversibility

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.

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Year of publication:	2004
Authors:	Darolles, Serge ; Florens, Jean-Pierre ; Gourieroux, Christian
Institutions:	Département Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2), Institut National de la Recherche Agronomique (INRA)
Subject:	Nonlinear canonical analysis \| Kernel estimators \| Reversibility hypothesis \| Diffusion equations \| High-frequency data

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Journal of Econometrics 323 pages long353
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011148878