Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/191957
Authors: 
Schubert, Leo
Schubert, David
Year of Publication: 
2017
Citation: 
[Journal:] Atlantic Review of Economics [ISSN:] 2174-3835 [Volume:] 1 [Year:] 2017
Abstract: 
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. The two examples will finally be applied to the financial instrument Exchange Traded Fund (ETF). The analysis contains ETFs with leverage factors of -2, -1, +1 and +2. Although different ETFs are treated, the majority of the data is concerned with the 'db x-tracker ShortDAX ETF', 'db x-trackers DAX ETF', 'iShares DAX (DE)' and the 'Lyxor ETF LevDAX'. By the application of the proposed estimation approaches, the average holding periods of ETFs increase by 4%-29%. This increase depends on the time interval T of observation, the leverage factor, and the average holding period.
Subjects: 
Holding periods
Duration
Exponential distribution
Geometric Distribution
Sampling
Maximum Likelihood estimation
Short and Leveraged Exchange-Traded Funds (ETFs)
JEL: 
G23
G24
C13
C20
C41
C46
Document Type: 
Article
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