We re-examine the relationship between exchange rates and order flow as proposed by Evans and Lyons (2002). Compared to their linear specification, we find that the response of exchange rates to order flow may depend on market historical volatility. If market historical volatility is high, a...

In this paper, we introduce a kernel estimator for the finite-dimensional parameter of a partially linear additive model. Under some regularity conditions, we establish n1/2-consistency and asymptotic normality of the estimator. Unlike existing kernel-based estimators: Fan et al. (1998. Ann....

We re-examine the relationship between exchange rates and order flow as proposed by Evans and Lyons (2002). Compared to their linear specification, we find that the response of exchange rates to order flow may depend on market historical volatility. If market historical volatility is high, a...

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...

We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting the null hypothesis, this readily provides insights into...