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Kernel Based Nonlinear Canonical Analysis and Time Reversibility

Author Info

  • Serge Darolles

    (Crest)

  • Jean-Pierre Florens

    (Crest)

  • Christian Gourieroux

    (Crest)

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.

(This abstract was borrowed from another version of this item.)

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Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2000-18.

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Date of creation: 2000
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Handle: RePEc:crs:wpaper:2000-18
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Find related papers by JEL classification:
  • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
  • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
  • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

References listed on IDEAS
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  1. DAROLLES, Serge & FLORENS, Jean-Pierre & RENAULT, Éric, 2002. "Nonparametric Instrumental Regression," Cahiers de recherche 2002-05, Universite de Montreal, Departement de sciences economiques.
  2. Darolles, Serge & Gourieroux, Christian, 2001. "Truncated dynamics and estimation of diffusion equations," Journal of Econometrics, Elsevier, vol. 102(1), pages 1-22, May.
  3. 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.
  4. repec:fth:inseep:9963 is not listed on IDEAS
  5. 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.
  6. Serge DAROLLES & Christian GOURIÉROUX & Gaëlle LE FOL, 2000. "Intraday Transaction Price Dynamics," Annales d'Economie et de Statistique, ENSAE, issue 60, pages 207-238.
  7. 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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Cited by:

  1. 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.
  2. McCausland, William J., 2007. "Time reversibility of stationary regular finite-state Markov chains," Journal of Econometrics, Elsevier, vol. 136(1), pages 303-318, January.
  3. Xiaohong Chen & Lars Peter Hansen & Jos´e A. Scheinkman, 2005. "Principal Components and the Long Run," Levine's Bibliography 122247000000000997, UCLA Department of Economics.
  4. 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.

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