High Frequency Exchange Rate Forecasting
Data Sources and Preliminary Statistics
Structural Econometric Modelling
Cointegration and the Stochastics
Structural Econometric Forecasting Models
Out-of-Sample Forecasting Results
High Frequency Exchange Rate Forecasting
Appendix
Table A4: Unit root tests for time series modified according to Stochastics -
Table A5: Unit root tests for time series modified according to Stochastics - USDJPY
Table A6: Unit root tests for time series modified according to Stochastics - GBPUSD
Table A7: Johansen approach: model specification
Prof. Ronald MacDonald, Prof. Norbert Fiess
High Frequency Exchange Rate Forecasting
In this paper we examine a different kind of technical indicator which suggests a structural relationship between High, Low and Close prices of daily exchange rates.
By Prof. Ronald MacDonald, Prof. Norbert Fiess