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Jump processes in commodity futures prices and options pricing

Hilliard, Jimmy E.; Reis, Jorge - In: American journal of agricultural economics 81 (1999) 2, pp. 273-286

Persistent link: https://www.econbiz.de/10001387252

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

A test of technical analysis : matching time displaced generalized patterns

Hilliard, Jimmy E.; Schwartz, Adam; Squire, James C. - In: Financial management 42 (2013) 2, pp. 291-314

Persistent link: https://www.econbiz.de/10010187926

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

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

Rebalancing versus Buy and Hold : Theory, Simulation and Empirical Analysis

Hilliard, Jimmy E. - 2015

We consider returns from rebalanced and buy and hold portfolios consisting of the same stocks. Theoretical properties are derived using Jensen's inequality and the Hölder's Defect Formula. Simulations are used to confirm theory and to investigate ambiguous cases where theory is silent....

Persistent link: https://www.econbiz.de/10013026375