[R-SIG-Finance] use log return or quotient return?

Leeds, Mark (IED) Mark.Leeds at morganstanley.com
Mon Nov 13 19:49:36 CET 2006

Probably log because it's closer to continuous compounding and
continuous compounding is often more realistic.
It sort of depends on the application though.

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Michael
Sent: Monday, November 13, 2006 1:35 PM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] use log return or quotient return?

Hi all,

Does anybody know which is more commonly used in financial time series
-- log return or quotient return?

Thanks a lot,


	[[alternative HTML version deleted]]

R-SIG-Finance at stat.math.ethz.ch mailing list

This is not an offer (or solicitation of an offer) to buy/se...{{dropped}}

More information about the R-SIG-Finance mailing list