[R-SIG-Finance] disaggregate from monthly to daily time series

[John P. Burkett]

Hodgess, Erin wrote:
> I've done disaggregation for annual/quarterly, quarterly/monthly before, but never monthly/daily
> 
> is there a big demand for that, please?
> 
Some people involved with rolling portfolio management and risk 
supervision like to work with daily data on asset prices (Gourieroux and 
Monfort, "The Econometrics of Efficient Portfolios," Journal of 
Empirical Finance, v. 12 (2005) pp. 22-23).  However, to adjust these 
prices for inflation, one should divide them by a general price index 
such as the CPI.  That's the motivation for trying to disaggregate the 
monthly CPI data to daily frequency.

-John



> Thanks,
> Erin
> 
> 
> Erin M. Hodgess, PhD
> Associate Professor
> Department of Computer and Mathematical Sciences
> University of Houston - Downtown
> mailto: hodgesse at uhd.edu
> 
> 
> 
> -----Original Message-----
> From: r-sig-finance-bounces at stat.math.ethz.ch on behalf of John P. Burkett
> Sent: Mon 7/27/2009 1:04 PM
> To: r-sig-finance at stat.math.ethz.ch
> Subject: [R-SIG-Finance] disaggregate from monthly to daily time series
>  
> I would like to disaggregate a monthly average (Consumer Price Index) to 
> create a daily time series.  The new daily series should be smooth 
> (i.e.--exhibit no unusual jump from the last day of a month to the first 
> day of the next month) and be consistent with the original monthly data 
> (i.e.--the average value of the new series for the days of a month 
> should equal the given value for that month).
> 
> If all months had 30 days and I were using S+Finmetrics, I would try to 
> create the daily series with a command such as
> disaggregate(CPI, 30, method="spline", how="mean")
> where CPI is the monthly data on the Consumer Price Index.
> The fact that months are of different lengths complicates matters.
> 
> Suggestions for how to accomplish the disaggregation in R would be 
> greatly appreciated.
> 
> -John
> 


-- 
John P. Burkett
Department of Economics
University of Rhode Island
Kingston, RI 02881-0808
USA

phone (401) 874-9195