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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
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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
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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
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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
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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
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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
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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
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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
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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
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A note on weekday, intraday, and overnight patterns in the interbank foreign exchange and listed currency options markets
Hilliard, Jimmy E. - In: Journal of banking & finance 16 (1992) 6, pp. 1159-1171
Persistent link: https://www.econbiz.de/10001136204