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The relationship between equity indices on world exchanges

Hilliard, Jimmy E. - In: The journal of finance : the journal of the American … 34 (1979) 1, pp. 103-114

Persistent link: https://www.econbiz.de/10002845237

Option volume and stock market : while put-call ratios seem to forecast market direction, transaction costs make it difficult to exploit the forecasts

Chance, Don M. - In: The journal of portfolio management : a publication of … 16 (1990) 4, pp. 42-51

Persistent link: https://www.econbiz.de/10001112342

Parity tests of index options

Chance, Don M. - In: Advances in futures and options research : a research annual 2 (1987), pp. 47-64

Persistent link: https://www.econbiz.de/10001081787

Mean reversion models of financial markets

Hillebrand, Eric - 2003 - [Elektronische Ressource]

Mean reversion, volatility persistence, long memory, time scales, stochastic volatility, GARCH, spurious long memory. - I discuss mean reversion in the first and the second moment of the return distribution. After a discussion of the concepts and a summary of the findings in the literature, I...

Persistent link: https://www.econbiz.de/10001774355

The benefits of bagging for forecast models of realized volatility

Hillebrand, Eric; Medeiros, Marcelo C. - In: Econometric reviews 29 (2010) 5/6, pp. 571-593

Persistent link: https://www.econbiz.de/10008668163

World oil prices and equity returns of major oil and auto companiens

Hilliard, Jimmy E.; Danielsen, Albert L. - In: Resources and energy : a journal devoted to … 6 (1984) 3, pp. 259-276

Persistent link: https://www.econbiz.de/10002845232

The VIX, VXO and realised volatility : a test of lagged and contemporaneous relationships

Adhikari, Binay Kumar; Hilliard, Jimmy E. - In: International journal of financial markets and derivatives 3 (2014) 3, pp. 222-240

Persistent link: https://www.econbiz.de/10010406927

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

Implied standard deviations and put-call parity relations around primary security offerings

Broughton, John B.; Chance, Don M.; Smith, David M. - In: The journal of applied business research 15 (1998/99) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10001400535

The effect of margins on the volatility of stock and derivative markets : a review of the evidence

Chance, Don M. - 1990

Persistent link: https://www.econbiz.de/10013383796