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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Paper provided by Institut National de la Statistique et des Etudes Economiques- in its series Papers with number
2000-18.
Length: 34 pages Date of creation: 2000 Date of revision: Handle: RePEc:fth:inseep:2000-18
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Find related papers by JEL classification: C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
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