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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 - 2021

The short squeeze in GameStop attracted worldwide attention and resulted in congressional hearings. The increase in price from $21 to $483 over a short period of time was not the result of obvious fundamental earnings prospects. Excess demand by investors on a social media site accompanied by...

Persistent link: https://www.econbiz.de/10013214714

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 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

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

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

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

Implied parameter estimation for jump diffusion option pricing models : pricing accuracy and the role of loss and evaluation functions

Hilliard, Jimmy E.; Hilliard, Jitka; Ngo, Julie T. D. - In: Journal of commodity markets : JCM 35 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015077292

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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