Title of article
Kernel-based nonlinear canonical analysis and time reversibility
Author/Authors
Darolles، نويسنده , , Serge and Florens، نويسنده , , Jean-Pierre and Gouriéroux، نويسنده , , Christian، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2004
Pages
31
From page
323
To page
353
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.
Keywords
Diffusion equations , Nonlinear canonical analysis , High-frequency data , Kernel estimators , Reversibility hypothesis
Journal title
Journal of Econometrics
Serial Year
2004
Journal title
Journal of Econometrics
Record number
1558524
Link To Document