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.
| 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 |
