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Article Dans Une Revue Econometrics Année : 2004

Kernel-based nonlinear canonical analysis and time reversibility

Résumé

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.

Dates et versions

halshs-00678062 , version 1 (12-03-2012)

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Serge Darolles, Jean-Pierre Florens, Christian Gourieroux. Kernel-based nonlinear canonical analysis and time reversibility. Econometrics, 2004, 119, pp.323-353. ⟨10.1016/S0304-4076(03)00199-4⟩. ⟨halshs-00678062⟩
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