Yang, Jing; Gradojevic, Nikola - In: Journal of Forecasting 25 (2006) 4, pp. 227-245
This paper employs a non-parametric method to forecast high-frequency Canadian|US dollar exchange rate. The introduction of a microstructure variable, order flow, substantially improves the predictive power of both linear and non-linear models. The non-linear models outperform random walk and...