Choosing a data frequency to forecast the quarterly yen-dollar exchange rate

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dc.contributor.author Cann, Benjamin
dc.date.accessioned 2016-10-03T19:57:58Z
dc.date.available 2016-10-03T19:57:58Z
dc.date.copyright 2016 en_US
dc.date.issued 2016-10-03
dc.identifier.uri http://hdl.handle.net/1828/7587
dc.description.abstract Potentially valuable information about the underlying data generating process of a dependent variable is often lost when an independent variable is transformed to fit into the same sampling frequency as a dependent variable. With the mixed data sampling (MIDAS) technique and increasingly available data at high frequencies, the issue of choosing an optimal sampling frequency becomes apparent. We use financial data and the MIDAS technique to estimate thousands of regressions and forecasts in the quarterly, monthly, weekly, and daily sampling frequencies. Model fit and forecast performance measurements are calculated from each estimation and used to generate summary statistics for each sampling frequency so that comparisons can be made between frequencies. Our regression models contain an autoregressive component and five additional independent variables and are estimated with varying lag length specifications that incrementally increase up to five years of lags. Each regression is used to forecast a rolling, one and two-step ahead, static forecast of the quarterly Yen and U.S Dollar spot exchange rate. Our results suggest that it may be favourable to include high frequency variables for closer modeling of the underlying data generating process but not necessarily for increased forecasting performance. en_US
dc.language English eng
dc.language.iso en en_US
dc.rights Available to the World Wide Web en_US
dc.rights.uri http://creativecommons.org/licenses/by-nd/2.5/ca/ *
dc.subject mixed data sampling en_US
dc.subject forecasting en_US
dc.subject model selection criteria en_US
dc.subject time-series en_US
dc.subject yen dollar exchange rate en_US
dc.subject econometrics en_US
dc.subject economics en_US
dc.subject MIDAS en_US
dc.subject foreign exchange rates en_US
dc.title Choosing a data frequency to forecast the quarterly yen-dollar exchange rate en_US
dc.type Thesis en_US
dc.contributor.supervisor Giles, David E. A.
dc.degree.department Department of Economics en_US
dc.degree.level Master of Arts M.A. en_US
dc.description.scholarlevel Graduate en_US
dc.description.proquestcode 0501 en_US
dc.description.proquestcode 0508 en_US
dc.description.proquestcode 0511 en_US

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