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