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Estimation of holding periods applied to the case of short and leveraged ETFs

  • The estimation of the holding periods of financial products has to be done in a dynamic process in which the size of the observation time interval influences the result. Small intervals will produce smaller average holding periods than bigger ones. The approach developed in this paper offers the possibility of estimating this average independently of the size of this time interval. This method is demonstrated on the example of two distributions, based on the exponential and the geometric probability functions. The estimation will be found by maximizing the likelihood function.

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Metadaten
Author:Leo SchubertGND, David Schubert
URL:http://www.unagaliciamoderna.com/eawp/coldata/upload/Vol1_17_ETFs.pdf
ISSN:2174-3835
Parent Title (English):Atlantic Review of Economics
Volume:2017
Document Type:Article
Language:English
Year of Publication:2017
Release Date:2019/08/06
Issue:1
Page Number:25
Open Access?:Ja
Relevance:Keine peer reviewed Publikation (Wissenschaftlicher Artikel und Aufsatz, Proceeding, Artikel in Tagungsband)