28 Publications (Page 1 of 2)
2019
A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contractsHilliard, Jimmy E⋅Hilliard, Jitka⋅Hilliard, Jimmy E and Hilliard, JitkaJournal of Banking and Finance, vol. 98, pp. 155, January 2019.
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The Role of Market Sentiment in Asset Allocations and Stock ReturnsHilliard, Jitka⋅Narayanasamy, Arun and Zhang, ShenJournal of Behavioral Finance, pp. 19, 2019-10-28.
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2018
On Education Level and Terms in Obtaining P2P Funding: New Evidence from ChinaXu, Junhui⋅Xu, Junhui⋅Hilliard, Jitka⋅Hilliard, Jitka⋅Barth, James R and Barth, James RInternational Review of Finance, 2018-11-05.
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Rebalancing versus buy and hold: theory, simulation and empirical analysisHilliard, Jimmy⋅Hilliard, Jimmy⋅Hilliard, Jimmy⋅Hilliard, Jitka⋅Hilliard, Jitka and Hilliard, JitkaReview of Quantitative Finance and Accounting, vol. 50, (no. 1), pp. 1-32, Jan 2018.
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Rebalancing versus buy and hold: theory, simulation and empirical analysisHilliard, Jimmy⋅Hilliard, Jimmy⋅Hilliard, Jimmy⋅Hilliard, Jitka⋅Hilliard, Jitka and Hilliard, JitkaReview of Quantitative Finance and Accounting, vol. 50, (no. 1), pp. 1-32, Jan 2018.
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The US financial crisis and corporate dividend reactions: for better or for worse?Hilliard, Jitka⋅Jahera, John and Zhang, HaoranReview of Quantitative Finance and Accounting, pp. 1-29, Nov 2018.
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2017
Option pricing under short-lived arbitrage: theory and testsHilliard, Jimmy E⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, JitkaQuantitative Finance, vol. 17, (no. 11), pp. 1681, 11/2/2017.
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2016
Do state regulations affect payday lender concentration?Barth, James R⋅Barth, James R⋅Barth, James R⋅Hilliard, Jitka⋅Hilliard, Jitka⋅Hilliard, Jitka⋅Jahera, John S⋅Jahera, John S⋅Jahera, John S⋅Sun, Yanfei⋅Sun, Yanfei and Sun, YanfeiJournal of Economics and Business, vol. 84, pp. 29, March-April 2016.
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2015
A comparison of rebalanced and buy and hold portfoliosHilliard, Jimmy E and Hilliard, JitkaReview of Pacific Basin financial markets and policies, vol. 18, (no. 1), pp. 18, 2015.
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A Comparison of Rebalanced and Buy and Hold Portfolios: Does Monetary Policy Matter?Hilliard, Jimmy E and Hilliard, JitkaReview of Pacific Basin Financial Markets and Policies, vol. 18, (no. 1), pp. 1550006, 20150300.
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Estimating Early Exercise Premiums on Gold and Copper Options Using a Multifactor Model and Density Matched LatticesHilliard, Jimmy E⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, JitkaFinancial Review, vol. 50, (no. 1), pp. 56, February 2015.
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Pricing American options when there is short-lived arbitrageHilliard, Jimmy E⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, JitkaInternational journal of financial markets and derivatives, vol. 4, (no. 1), pp. 53, 2015.
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Size and price-to-book effectsHilliard, JitkaPacific-Basin finance journal, vol. 32, pp. 55, 2015.
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Size and price-to-book effects: Evidence from the Chinese stock marketsHilliard, Jitka and Zhang, HaoranPacific-Basin Finance Journal, vol. 32, pp. 55, April 2015.
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Using Multivariate Densities to Assign Lattice Probabilities When There Are JumpsHilliard, Jimmy E⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, JitkaJournal of Futures Markets, vol. 35, (no. 4), pp. 398, 2015-04-00.
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2014
Hedging price changes in the S&P 500 options and futures contractsHilliard, JitkaInternational journal of financial markets and derivatives, vol. 3, (no. 3), pp. 259, 2014.
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Hedging price changes in the S&P 500 options and futures contracts: the effect of different measures of implied volatilityHilliard, JitkaInternational Journal of Financial Markets and Derivatives, vol. 3, (no. 3), pp. 241, 2014-00-00.
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Premiums and discounts in ETFsHilliard, JitkaGlobal finance journal, vol. 25, (no. 2), pp. 107, 2014.
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Premiums and discounts in ETFs: An analysis of the arbitrage mechanism in domestic and international fundsHilliard, JitkaGlobal Finance Journal, vol. 25, (no. 2), pp. 107, 2014.
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Pricing American options when there is short-lived arbitrageHilliard, JitkaInternational Journal of Financial Markets and Derivatives, vol. 4, (no. 1), pp. 43, 2015-00-00.
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Volatilities implied by price changes in the S&P 500 options and futures contractsHilliard, Jitka and Li, WeiReview of Quantitative Finance and Accounting, vol. 42, (no. 4), pp. 599-626, May 2014.
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2013
Testing Greeks and price changes in the S&P 500 options and futures contractHilliard, JitkaInternational review of financial analysis, vol. 26, pp. 58, 2013.
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Testing Greeks and price changes in the S&P 500 options and futures contract: A regression analysisHilliard, JitkaInternational Review of Financial Analysis, vol. 26, pp. 51, 20130101.
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2012
Matching non-synchronous observations in derivative markets: choosing windows and efficient estimatorsHilliard, Jimmy⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, JitkaQuantitative Finance, vol. 12, (no. 1), pp. 49, 20120101.
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