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Kernel Based Nonlinear Canonical Analysis

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  • Darolles, Serge
  • Florens, Jean-Pierre
  • Gouriéroux, Christian

Abstract

We 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 Info

Paper provided by Institut d'Économie Industrielle (IDEI), Toulouse in its series IDEI Working Papers with number 83.

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Date of creation: 1999
Date of revision: 2001
Publication status: Published in Journal of Econometrics, vol.�119, n°2, avril 2004, p.�323-353.
Handle: RePEc:ide:wpaper:689

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Cited by:
  1. Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO.
  2. Nour Meddahi, 2000. "Temporal Aggregation of Volatility Models," Econometric Society World Congress 2000 Contributed Papers 1903, Econometric Society.
  3. 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.
  4. Darolles, Serge & Gourieroux, Christian, 2001. "Truncated dynamics and estimation of diffusion equations," Journal of Econometrics, Elsevier, vol. 102(1), pages 1-22, May.
  5. Xiaohong Chen & Lars Peter Hansen & Jos´e A. Scheinkman, 2005. "Principal Components and the Long Run," Levine's Bibliography 122247000000000997, UCLA Department of Economics.
  6. 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.
  7. 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.

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