28 Publications (Page 1 of 2)
2019
A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts
Hilliard, Jimmy E⋅Hilliard, Jitka⋅Hilliard, Jimmy E and Hilliard, Jitka
Journal of Banking and Finance, vol. 98, pp. 155, January 2019. | Journal Article
 
The Role of Market Sentiment in Asset Allocations and Stock Returns
Hilliard, Jitka⋅Narayanasamy, Arun and Zhang, Shen
Journal of Behavioral Finance, pp. 19, 2019-10-28. | Journal Article
2018
On Education Level and Terms in Obtaining P2P Funding: New Evidence from China
Xu, Junhui⋅Xu, Junhui⋅Hilliard, Jitka⋅Hilliard, Jitka⋅Barth, James R and Barth, James R
International Review of Finance, 2018-11-05. | Journal Article
 
Rebalancing versus buy and hold: theory, simulation and empirical analysis
Hilliard, Jimmy⋅Hilliard, Jimmy⋅Hilliard, Jimmy⋅Hilliard, Jitka⋅Hilliard, Jitka and Hilliard, Jitka
Review of Quantitative Finance and Accounting, vol. 50, (no. 1), pp. 1-32, Jan 2018. | Journal Article
 
Rebalancing versus buy and hold: theory, simulation and empirical analysis
Hilliard, Jimmy⋅Hilliard, Jimmy⋅Hilliard, Jimmy⋅Hilliard, Jitka⋅Hilliard, Jitka and Hilliard, Jitka
Review of Quantitative Finance and Accounting, vol. 50, (no. 1), pp. 1-32, Jan 2018. | Journal Article
 
The US financial crisis and corporate dividend reactions: for better or for worse?
Hilliard, Jitka⋅Jahera, John and Zhang, Haoran
Review of Quantitative Finance and Accounting, pp. 1-29, Nov 2018. | Journal Article
2017
Option pricing under short-lived arbitrage: theory and tests
Hilliard, Jimmy E⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, Jitka
Quantitative Finance, vol. 17, (no. 11), pp. 1681, 11/2/2017. | Journal Article
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, Yanfei
Journal of Economics and Business, vol. 84, pp. 29, March-April 2016. | Journal Article
2015
A comparison of rebalanced and buy and hold portfolios
Hilliard, Jimmy E and Hilliard, Jitka
Review of Pacific Basin financial markets and policies, vol. 18, (no. 1), pp. 18, 2015. | Journal Article
 
A Comparison of Rebalanced and Buy and Hold Portfolios: Does Monetary Policy Matter?
Hilliard, Jimmy E and Hilliard, Jitka
Review of Pacific Basin Financial Markets and Policies, vol. 18, (no. 1), pp. 1550006, 20150300. | Journal Article
 
Banks and Payday Lenders: Friends or Foes?
Barth, James⋅Hilliard, Jitka and Jahera, John
International Advances in Economic Research, vol. 21, (no. 2), pp. 139-153, May 2015. | Journal Article
 
Estimating Early Exercise Premiums on Gold and Copper Options Using a Multifactor Model and Density Matched Lattices
Hilliard, Jimmy E⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, Jitka
Financial Review, vol. 50, (no. 1), pp. 56, February 2015. | Journal Article
 
Pricing American options when there is short-lived arbitrage
Hilliard, Jimmy E⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, Jitka
International journal of financial markets and derivatives, vol. 4, (no. 1), pp. 53, 2015. | Journal Article
 
Size and price-to-book effects
Hilliard, Jitka
Pacific-Basin finance journal, vol. 32, pp. 55, 2015. | Journal Article
 
Size and price-to-book effects: Evidence from the Chinese stock markets
Hilliard, Jitka and Zhang, Haoran
Pacific-Basin Finance Journal, vol. 32, pp. 55, April 2015. | Journal Article
 
Using Multivariate Densities to Assign Lattice Probabilities When There Are Jumps
Hilliard, Jimmy E⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, Jitka
Journal of Futures Markets, vol. 35, (no. 4), pp. 398, 2015-04-00. | Journal Article
2014
Hedging price changes in the S&P 500 options and futures contracts
Hilliard, Jitka
International journal of financial markets and derivatives, vol. 3, (no. 3), pp. 259, 2014. | Journal Article
 
Hedging price changes in the S&P 500 options and futures contracts: the effect of different measures of implied volatility
Hilliard, Jitka
International Journal of Financial Markets and Derivatives, vol. 3, (no. 3), pp. 241, 2014-00-00. | Journal Article
 
Premiums and discounts in ETFs
Hilliard, Jitka
Global finance journal, vol. 25, (no. 2), pp. 107, 2014. | Journal Article
 
Premiums and discounts in ETFs: An analysis of the arbitrage mechanism in domestic and international funds
Hilliard, Jitka
Global Finance Journal, vol. 25, (no. 2), pp. 107, 2014. | Journal Article
 
Pricing American options when there is short-lived arbitrage
Hilliard, Jitka
International Journal of Financial Markets and Derivatives, vol. 4, (no. 1), pp. 43, 2015-00-00. | Journal Article
 
Volatilities implied by price changes in the S&P 500 options and futures contracts
Hilliard, Jitka and Li, Wei
Review of Quantitative Finance and Accounting, vol. 42, (no. 4), pp. 599-626, May 2014. | Journal Article
2013
Testing Greeks and price changes in the S&P 500 options and futures contract
Hilliard, Jitka
International review of financial analysis, vol. 26, pp. 58, 2013. | Journal Article
 
Testing Greeks and price changes in the S&P 500 options and futures contract: A regression analysis
Hilliard, Jitka
International Review of Financial Analysis, vol. 26, pp. 51, 20130101. | Journal Article
2012
Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators
Hilliard, Jimmy⋅Hilliard, Jimmy E⋅Hilliard, Jitka and Hilliard, Jitka
Quantitative Finance, vol. 12, (no. 1), pp. 49, 20120101. | Journal Article