Jeff Fleming

Rice University - Jesse H. Jones Graduate School of Business

Professor of Finance

6100 South Main Street

P.O. Box 1892

Houston, TX 77005-1892

United States

http://www.ruf.rice.edu/~jfleming

SCHOLARLY PAPERS

15

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5,049

SSRN CITATIONS
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SSRN RANKINGS

Top 7,198

in Total Papers Citations

97

CROSSREF CITATIONS

85

Scholarly Papers (15)

The Economic Value of Volatility Timing Using 'Realized' Volatility

Rice University, Jones Graduate School Working Paper
Number of pages: 48 Posted: 21 Jul 2001
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 918 (32,887)
Citation 64

Abstract:

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Realized volatility, volatility timing, tactical asset allocation, portfolio optimization, mean-variance analysis

The Economic Value of Volatility Timing Using 'Realized' Volatility

Posted: 20 Nov 2002
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

Abstract:

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volatility timing, realized volatility, portfolio optimization, mean-variance analysis, rolling estimators

A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility

Rice University and University of Texas at Dallas Working Paper
Number of pages: 59 Posted: 01 Oct 2003
Jeff Fleming and Chris Kirby
Rice University - Jesse H. Jones Graduate School of Business and UNC Charlotte - Belk College of Business
Downloads 904 (33,546)
Citation 7

Abstract:

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Conditional heteroskedasticity, Kalman filter, Particle filter, Markov chain Monte Carlo, Value-at-risk

A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility

Journal of Financial Econometrics, Vol. 1, pp. 365-419, 2003
Posted: 29 Feb 2008
Jeff Fleming
Rice University - Jesse H. Jones Graduate School of Business

Abstract:

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GARCH, stochastic volatility, volatility forecasting, value-at-risk, particle filter, Markov chain Monte Carlo

A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility

Journal of Financial Econometrics, Vol. 1, pp. 365-419, 2003
Posted: 29 Feb 2008
Jeff Fleming
Rice University - Jesse H. Jones Graduate School of Business

Abstract:

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GARCH, stochastic volatility, volatility forecasting, value-at-risk, particle filter, Markov chain Monte Carlo

A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility

Posted: 01 Oct 2003
Jeff Fleming and Chris Kirby
Rice University - Jesse H. Jones Graduate School of Business and UNC Charlotte - Belk College of Business

Abstract:

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Conditional heteroskedasticity, Kalman filter, Particle filter, Markov chain Monte Carlo, Value-at-risk

Stochastic Volatility, Trading Volume, and the Daily Flow of Information

Rice University, Jones Graduate School Working Paper
Number of pages: 39 Posted: 24 Jul 2001
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 781 (41,108)
Citation 7

Abstract:

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GARCH, mixture-of-distributions hypothesis, bivariate mixture models, Kalman filter

Stochastic Volatility, Trading Volume, and the Daily Flow of Information

Posted: 25 Oct 2004
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

Abstract:

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GARCH, mixture-of-distributions hypothesis, bivariate mixture models, Kalman filter

4.
Downloads 571 ( 62,731)
Citation 12

The Economic Value of Volatility Timing

Jones Graduate School Working Paper No. 1999.17.4
Number of pages: 32 Posted: 11 Feb 2000
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 571 (62,028)
Citation 12

Abstract:

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The Economic Value of Volatility Timing

Posted: 18 Feb 2000
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

Abstract:

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5.

Implied Volatility Functions: Empirical Tests

NBER Working Paper No. w5500
Number of pages: 36 Posted: 01 Jul 1998 Last Revised: 12 Jan 2022
Bernard Dumas, Jeff Fleming and Robert E. Whaley
INSEAD, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance
Downloads 492 (75,660)
Citation 3

Abstract:

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Information, Trading and Volatility: Evidence from Weather-Sensitive Markets

Number of pages: 35 Posted: 30 Oct 2004
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 337 (116,181)
Citation 5

Abstract:

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Variance ratios, excess volatility, public information, commodity futures

Information, Trading and Volatility: Evidence from Weather-Sensitive Markets

Journal of Finance, Forthcoming
Posted: 09 Aug 2005
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

Abstract:

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Variance ratios, excess volatility, public information, commodity futures

7.

Arch Effects and Trading Volume

Number of pages: 32 Posted: 26 Sep 2005
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 330 (119,603)
Citation 5

Abstract:

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volume-volatility relation, information flow, two-component GARCH, bivariate mixture model, mixture of distributions hypothesis

8.

High-Frequency Returns, Jumps and the Mixture of Normals Hypothesis

Number of pages: 51 Posted: 28 Nov 2005
Jeff Fleming and Bradley S. Paye
Rice University - Jesse H. Jones Graduate School of Business and Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 180 (216,475)
Citation 8

Abstract:

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Realized variance, realized bipower variance, microstructure noise, mixture of normals, jump process

9.

Component-Driven Regime-Switching Volatility

Number of pages: 39 Posted: 05 Jan 2009 Last Revised: 25 Oct 2012
Jeff Fleming and Chris Kirby
Rice University - Jesse H. Jones Graduate School of Business and UNC Charlotte - Belk College of Business
Downloads 176 (220,666)

Abstract:

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variance components, Markov switching, stochastic volatility, realized volatility, ARMA models

The Specification of GARCH Models with Stochastic Covariates

Number of pages: 29 Posted: 09 Oct 2007
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 153 (248,925)

Abstract:

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two-component GARCH, bivariate mixture models, volume-volatility relation

The Specification of Garch Models With Stochastic Covariates

Journal of Futures Markets, 2008
Posted: 09 Nov 2007
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

Abstract:

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two-component GARCH, bivariate mixture models, volume-volatility relation

11.
Downloads 106 (326,538)
Citation 4

Long Memory in Volatility and Trading Volume

Number of pages: 40 Posted: 29 Oct 2010
Jeff Fleming and Chris Kirby
Rice University - Jesse H. Jones Graduate School of Business and UNC Charlotte - Belk College of Business
Downloads 106 (328,654)
Citation 4

Abstract:

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realized volatility, fractional integration, strongly autocorrelated, bivariate mixture model, long-range dependence

Long Memory in Volatility and Trading Volume

Journal of Banking and Finance, Forthcoming
Posted: 15 Nov 2010
Jeff Fleming and Chris Kirby
Rice University - Jesse H. Jones Graduate School of Business and UNC Charlotte - Belk College of Business

Abstract:

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Realized volatility, Fractional integration, Strongly autocorrelated, Bivariate mixture model, Long-range dependence

Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios

Number of pages: 6 Posted: 11 Feb 2005
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 101 (339,619)
Citation 2

Abstract:

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Composite hypothesis, stationary bootstrap, least favorable configuration

Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios

Economics Letters, Forthcoming
Posted: 13 Dec 2005
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

Abstract:

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composite hypothesis, stationary bootstrap, least favorable configuration

13.

Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets

Posted: 24 Oct 1999
Jeff Fleming, Barbara Ostdiek and Robert E. Whaley
Rice University - Jesse H. Jones Graduate School of Business, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance

Abstract:

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14.

Implied Volatility Smiles: Empirical Tests

Posted: 10 Oct 1998
Bernard Dumas, Jeff Fleming and Robert E. Whaley
INSEAD, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance

Abstract:

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15.

Information and Volatility Linkages in the Stock, Bond, and Money Markets

Journal of Financial Economics
Posted: 05 Mar 1998
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

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