Re: st: Re: Currency_Time-series

["b.qureishi" <b.qureishi@ucl.ac.uk>]

Thanks, I guess if no one is able to provide direction on my initial 
query, worst case scenario will be converting daily frequencies into 
monthly data. I
may well apply what you have suggested, do you recall the source of where you
noted such information?

Regards,
B
quoting "Rodrigo A. Alfaro" <raalfaroa@gmail.com>:


> Bilal
>
> I read some articles in applied finance that uses monthly data 
> combinated with daily frequency. In the bond markets, they used the 
> last day of the month data from the daily dataset. I think that you 
> can do the same... but I will be suspicious for the case of quarterly.
>
> R.
>
>
>
> ----- Original Message ----- From: "b.qureishi" <b.qureishi@ucl.ac.uk>
> To: <statalist@hsphsun2.harvard.edu>
> Cc: <bill138@gmail.com>
> Sent: Tuesday, April 03, 2007 12:51 PM
> Subject: st: Currency_Time-series
>
>
>
> > Dear All,
> >
> > My name is Bilal Qureishi. I am currently studying for a Masters In 
> > Comparative
> > Economics, at University College, London.
> >
> > I will be conducting an empirical study to asses the affects of "The 
> > release of
> > US Macro data on daily currency prices"- and whether or not such fundamental
> > releases start certain trends.
> > I have about 30 years of data for cable, eur/usd and usd/jpy.-dependant
> > variables.
> > My independent variables consist of GDP, PPI, CPI, INTEREST RATES and
> > UNEMPLOYMENT DATA.
> > The frequency of my independent variables in monthly, excluding GDP which is
> > quarterly, over 30 years.
> > The frequency of my dependant variables is daily over 30 years.
> >
> > In light of the above, my data is no-doubt time-series. My question 
> > is, how to I
> > get my independent variables to reconcile with my dependant 
> > variables? I.e how
> > can I get for example quarterly gdp figures to translate to a daily 
> > fx figure?-
> > my lecturer who is not a currency whiz suggests that I should 
> > convert my daily
> > rates into quarterly rates. I could do this, but believe that it will not
> > directly contribute to what I want to do.
> >
> > Your thoughts, suggestions and direction would be most appreciated.
> >
> > Regards,
> >
> > Bilal Al-Qureishi
> >
> >
> >
> >
> >
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