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Kernel Based Nonlinear Canonical Analysis

Author

Listed:
  • Darolles, S.
  • Florens, J.-P.
  • Gourieroux, C.

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.

Suggested Citation

  • Darolles, S. & Florens, J.-P. & Gourieroux, C., 1999. "Kernel Based Nonlinear Canonical Analysis," Papers 99.514, Toulouse - GREMAQ.
    • Handle: RePEc:fth:gremaq:99.514
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    Cited by:

    1. Christian Gourieroux & Joann Jasiak, 2011. "Nonlinear Persistence and Copersistence," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 4, pages 77-103, Palgrave Macmillan.
    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. Meddahi, Nour & Renault, Eric, 2004. "Temporal aggregation of volatility models," Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
    4. repec:adr:anecst:y:2007:i:85:p:05 is not listed on IDEAS

    More about this item

    Keywords

    ECONOMETRICS ; REGRESSION ANALYSIS ; ECONOMIC MODELS;
    All these keywords.

    JEL classification:

    • 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; Diffusion Processes

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