Interpolate Data from Monthly to Weekly

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



2 Answers


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.



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