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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- 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.
- Serge Darolles & Jean-Pierre Florens & Yanqin Fan & Eric Renault, 2011. "Nonparametric Instrumental Regression," Working Papers 245432, Institut National de la Recherche Agronomique, France.
- DAROLLES, Serge & FLORENS, Jean-Pierre & RENAULT, Éric, 2002. "Nonparametric Instrumental Regression," Cahiers de recherche 2002-05, Universite de Montreal, Departement de sciences economiques.
- Serge Darolles & Jean-Pierre Florens & Eric Renault, 2000. "Nonparametric Instrumental Regression," Working Papers 2000-17, Centre de Recherche en Economie et Statistique.
- 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.
- repec:fth:inseep:9963 is not listed on IDEAS
- Serge DAROLLES & Christian GOURIÉROUX & Gaëlle LE FOL, 2000. "Intraday Transaction Price Dynamics," Annales d'Economie et de Statistique, ENSAE, issue 60, pages 207-238.
- Florens, Jean-Pierre & Renault, Eric & Touzi, Nizar, 1998. "Testing For Embeddability By Stationary Reversible Continuous-Time Markov Processes," Econometric Theory, Cambridge University Press, vol. 14(06), pages 744-769, December.
- Hansen, Lars Peter & Alexandre Scheinkman, Jose & Touzi, Nizar, 1998. "Spectral methods for identifying scalar diffusions," Journal of Econometrics, Elsevier, vol. 86(1), pages 1-32, June.
- Darolles, Serge & Laurent, Jean-Paul, 2000. "Approximating payoffs and pricing formulas," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1721-1746, October.
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