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A comparison of rebalanced and buy and hold portfolios : does monetary policy matter?

Hilliard, Jimmy E.; Hilliard, Jitka - In: Review of Pacific Basin financial markets and policies 18 (2015) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011286048

Using multivariate densities to assign lattice probabilities when there are jumps

Hilliard, Jimmy E.; Hilliard, Jitka - In: The journal of futures markets 35 (2015) 4, pp. 385-398

Persistent link: https://www.econbiz.de/10011348412

Pricing American options when there is short-lived arbitrage

Hilliard, Jimmy E.; Hilliard, Jitka - In: International journal of financial markets and derivatives 4 (2015) 1, pp. 43-53

Persistent link: https://www.econbiz.de/10011316656

Timing versus buy and hold : a model for determining predictive accuracy required for superior performance

Hilliard, Jimmy E.; Hilliard, Jitka - In: The financial review : the official publication of the … 46 (2011) 4, pp. 595-620

Persistent link: https://www.econbiz.de/10009384055

A jump-diffusion model for pricing and hedging with margined options : an application to Brent crude oil contracts

Hilliard, Jimmy E.; Hilliard, Jitka - In: Journal of banking & finance 98 (2019), pp. 137-155

Persistent link: https://www.econbiz.de/10012162247

Using the short-lived arbitrage model to compute minimum variance hedge ratios : application to indices, stocks and commodities

Hilliard, Jimmy E.; Hilliard, Jitka; Ni, Yinan - In: Quantitative finance 21 (2021) 1, pp. 125-142

Persistent link: https://www.econbiz.de/10012424638

Rebalancing versus buy and hold : theory, simulation and empirical analysis

Hilliard, Jimmy E.; Hilliard, Jitka - In: Review of quantitative finance and accounting 50 (2018) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10011979088

An adaptive model for security prices driven by latent values : parameter estimation and option pricing effects

Hilliard, Jimmy E.; Hilliard, Jitka; Ni, Yinan - In: Quantitative finance 22 (2022) 7, pp. 1231-1246

Persistent link: https://www.econbiz.de/10013367896

The GameStop short squeeze : put-call parity and the effect of frictions before, during and after the squeeze

Hilliard, Jimmy E.; Hilliard, Jitka - In: The journal of futures markets 43 (2023) 5, pp. 635-661

Persistent link: https://www.econbiz.de/10014293176

A Comparison of Rebalanced and Buy and Hold Portfolios: Does Monetary Policy Matter?

Hilliard, Jimmy E.; Hilliard, Jitka - In: Review of Pacific Basin Financial Markets and Policies … 18 (2015) 01, pp. 1550006-1

We examine buy and hold and a number of rebalancing strategies on a portfolio of indices that are tracked by ETFs. The indices include Barkley's treasuries and MSCI indices on emerging markets, Pacific and European markets, value funds, and growth funds. Portfolios are rebalanced using threshold...

Persistent link: https://www.econbiz.de/10011279174