Backfilled Returns

Compute the missing return(s) of one or several asset(s) using the backfilling procedure described in the first reference, applied recursively as described in the second reference.

References

• Sebastien Page (2013) How to Combine Long and Short Return Histories Efficiently, Financial Analysts Journal, 69:1, 45-52
• Stambaugh, Robert F. 1997. Analyzing Investments Whose Histories Differ in Length. Journal of Financial Economics, vol. 45, no. 3 (September):285–331.