Interpolate Data from Monthly to Weekly

User ForumInterpolate Data from Monthly to Weekly
atan asked 3 years ago

Hi, How can I interpolate from monthly data to weekly (weeks must end to the last trading day of the week).

Thanks

A.

2 Answers
RonSchoenberg answered 3 years ago

I don't see how that can be done.  You would need daily data to compute weekly returns.  Monthly data doesn't have the required information in it to compute weekly returns.

atan answered 3 years ago

Actually, I use weekly data for my modelling purposes and I need to incorporate some monthly macro-variables,  so I need to interpolate them to weekly. Finally problem solved, I wrote a code for that.

Thanks

A.