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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

Measuring risk in fixed payment securities : an empirical test of the structured full rank covariance matrix

Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 3, pp. 345-362

Persistent link: https://www.econbiz.de/10001113532

Hedging interest rate risk with futures portfolios under full-rank assumptions

Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 24 (1989) 2, pp. 217-240

Persistent link: https://www.econbiz.de/10001067211

Premiums and discounts in ETFs : an analysis of the arbitrage mechanism in domestic and international funds

Hilliard, Jitka - In: Global finance journal 25 (2014) 2, pp. 91-107

Persistent link: https://www.econbiz.de/10010400984

The Role of Market Sentiment in Asset Allocations and Stock Returns

Hilliard, Jitka - 2019

We investigate the role of mutual fund flows in incorporating market sentiment into asset prices. We show that retail investors adjust their investments among mutual fund categories in response to changes in market sentiment. Consistent with sentiment-induced price pressure through fund flows,...

Persistent link: https://www.econbiz.de/10012903687

The role of market sentiment in asset allocations and stock returns

Hilliard, Jitka; Narayanasamy, Arun; Zhang, Shen - In: The journal of behavioral finance : a publication of … 21 (2020) 4, pp. 423-441

Persistent link: https://www.econbiz.de/10012312347