A Flexible Kernel Regression Decomposition-Based Hybrid Framework for Forecasting Foreign Exchange Rates: Uncovering Symmetric and Asymmetric Market Dynamics
Foreign exchange rate forecasting is difficult, as its time series have complex nonlinear and nonstationary dynamics. To this end, the paper proposes a hybrid forecasting framework based on kernel regression decomposition that combines nonparametric trend extraction with linear and nonlinear forecasting models. In the...