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Re: st: Re: Currency_Time-series
Thanks, just went through UCL's software database. Unfortunatley, we dont
support Eviews. Eviews also do not have a demo version that I can download...
Regards,
Bilal
Quoting David Jacobs <[email protected]>:
The econometrics package named EViews offers sophisticated routines
that convert lower frequency data to data at higher frequencies.
Although it contains many sophisticated procedures, this package is
not difficult to learn.
Dave Jacobs
At 02:31 PM 4/3/2007, you wrote:
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" <[email protected]>:
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" <[email protected]>
To: <[email protected]>
Cc: <[email protected]>
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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