Most of hedge funds databases are now keeping history of dead funds in order to control biases in empirical analysis. It is then possible to use these data for the analysis of hedge funds lifetimes and survivorship. This paper proposes two nonparametric specifications of duration models. First,...

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.

We decompose a stationary Markov process (Xt) as a linear combination of ARMA. These decompositions are deduced from a nonlinear canonical decomposition of the joint distribution of (Xt, Xt−1).