Kernel Based Nonlinear Canonical Analysis
AbstractWe consider a kernel based approach to nonlinear canonical correlation analysis and its implementation for time series. We deduce various diagnostics for reversible processes and gaussian processes. The method is first applied to a stimulated series satisfying a diffusion equation allowing us to estimate nonparametrically the drift and volatility functions. The second application involves high frequency data on stock returns.
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Bibliographic InfoPaper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 98-55.
Date of creation: 1998
Date of revision:
Other versions of this item:
- Darolles, Serge & Florens, Jean-Pierre & Gouriéroux, Christian, 1999. "Kernel Based Nonlinear Canonical Analysis," IDEI Working Papers 83, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2001.
- Darolles, S. & Florens, J.-P. & Gourieroux, C., 1999. "Kernel Based Nonlinear Canonical Analysis," Papers 99.514, Toulouse - GREMAQ.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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- Xiaohong Chen & Lars Peter Hansen & Jos´e A. Scheinkman, 2005.
"Principal Components and the Long Run,"
122247000000000997, UCLA Department of Economics.
- Darolles, Serge & Gourieroux, Christian, 2001.
"Truncated dynamics and estimation of diffusion equations,"
Journal of Econometrics,
Elsevier, vol. 102(1), pages 1-22, May.
- Serge Darolles & Christian Gourieroux, 1997. "Truncated Dynamics and Estimation of DiffusionEquations," Working Papers 97-36, Centre de Recherche en Economie et Statistique.
- Nour Meddahi, 2001.
"An Eigenfunction Approach for Volatility Modeling,"
CIRANO Working Papers
- MEDDAHI, Nour, 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Universite de Montreal, Departement de sciences economiques.
- Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Xiaohong Chen & Lars Peter Hansen & Jose Scheinkman, 2009. "Principal Components and Long Run Implications of Multivariate Diffusions," Cowles Foundation Discussion Papers 1694, Cowles Foundation for Research in Economics, Yale University.
- Serge Darolles & Jean-Pierre Florens & Eric Renault, 2000.
"Nonparametric Instrumental Regression,"
2000-17, Centre de Recherche en Economie et Statistique.
- Darolles, Serge & Fan, Yanqin & Florens, Jean-Pierre & Renault, Eric, 2003. "Non Parametric Instrumental Regression," IDEI Working Papers 228, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2010.
- DAROLLES, Serge & FLORENS, Jean-Pierre & RENAULT, Éric, 2002. "Nonparametric Instrumental Regression," Cahiers de recherche 2002-05, Universite de Montreal, Departement de sciences economiques.
- Beare, Brendan K. & Seo, Juwon, 2012. "Time irreversible copula-based Markov Models," University of California at San Diego, Economics Working Paper Series qt31f8500p, Department of Economics, UC San Diego.
- Nour Meddahi, 2000.
"Temporal Aggregation of Volatility Models,"
Econometric Society World Congress 2000 Contributed Papers
1903, Econometric Society.
- Meddahi, Nour & Renault, Eric, 2004. "Temporal Aggregation of Volatility Models," Open Access publications from University of Toulouse 1 Capitole http://neeo.univ-tlse1.fr, University of Toulouse 1 Capitole.
- Nour Meddahi & Éric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
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