Kernel-based nonlinear canonical analysis and time reversibility

Serge Darolles; Jean Pierre Florens; Christian Gouriéroux

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

Kernel-based nonlinear canonical analysis and time reversibility

Serge Darolles
, Jean Pierre Florens
, Christian Gouriéroux

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	323-353
Nombre de pages	31
journal	Journal of Econometrics
Volume	119
Numéro de publication	2
Les DOIs	https://doi.org/10.1016/S0304-4076(03)00199-4
état	Publié - 1 avr. 2004
Modification externe	Oui

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10.1016/S0304-4076(03)00199-4

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title = "Kernel-based nonlinear canonical analysis and time reversibility",

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 = "Diffusion equations, High-frequency data, Kernel estimators, Nonlinear canonical analysis, Reversibility hypothesis",

author = "Serge Darolles and Florens, \{Jean Pierre\} and Christian Gouri{\'e}roux",

year = "2004",

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T1 - Kernel-based nonlinear canonical analysis and time reversibility

AU - Darolles, Serge

AU - Florens, Jean Pierre

AU - Gouriéroux, Christian

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N2 - 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.

AB - 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.

KW - Diffusion equations

KW - High-frequency data

KW - Kernel estimators

KW - Nonlinear canonical analysis

KW - Reversibility hypothesis

UR - https://www.scopus.com/pages/publications/1642309374

U2 - 10.1016/S0304-4076(03)00199-4

DO - 10.1016/S0304-4076(03)00199-4

M3 - Article

AN - SCOPUS:1642309374

SN - 0304-4076

VL - 119

SP - 323

EP - 353

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 2

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Kernel-based nonlinear canonical analysis and time reversibility

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