[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,
M
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