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Ostdiek, Barbara's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
4,057 |
Total
Citations
263 |
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1.
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Stochastic Volatility, Trading Volume, and the Daily Flow of Information
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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Posted:
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24 Jul 01
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Last Revised:
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25 Feb 09
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722
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12
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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GARCH, mixture-of-distributions hypothesis, bivariate mixture models, Kalman filter
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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722
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12
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GARCH, mixture-of-distributions hypothesis, bivariate mixture models, Kalman filter
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2.
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The Economic Value of Volatility Timing using 'Realized' Volatility
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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Posted:
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21 Jul 01
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Last Revised:
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20 Nov 02
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679
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91
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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volatility timing, realized volatility, portfolio optimization, mean-variance analysis, rolling estimators
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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679
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91
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Realized volatility, volatility timing, tactical asset allocation, portfolio optimization, mean-variance analysis
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3.
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It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naive Diversification
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Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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Posted:
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01 Jan 10
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Last Revised:
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04 Dec 10
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621
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5
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Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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portfolio selection, mean-variance optimization, estimation risk, turnover, market timing, volatility timing
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Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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01 Jan 10
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Last Revised:
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13 May 10
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621
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5
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portfolio selection, mean-variance optimization, estimation risk, turnover, market timing, volatility timing
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4.
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Kyj, Lada M.
Humboldt University of Berlin Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business Ensor, Katherine
Rice University - George R. Brown School of Engineering
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22 Mar 09
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Last Revised:
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17 Oct 09
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459
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3
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Factor Model, Realized Covariance, Volatilty Timing
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5.
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The Economic Value of Volatility Timing
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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Posted:
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11 Feb 00
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Last Revised:
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23 Jul 01
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450
(29,626)
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140
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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450
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140
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6.
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Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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25 Apr 11
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Last Revised:
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25 Jul 12
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345
(41,323)
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1
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active management, conditioning information, estimation risk, mean-variance optimization, portfolio choice, turnover
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7.
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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295
(49,722)
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2
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volume-volatility relation, information flow, two-component GARCH, bivariate mixture model, mixture of distributions hypothesis
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8.
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Information, Trading and Volatility: Evidence from Weather-Sensitive Markets
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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Posted:
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30 Oct 04
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Last Revised:
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21 Sep 05
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285
(51,731)
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7
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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0
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Variance ratios, excess volatility, public information, commodity futures
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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285
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7
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Variance ratios, excess volatility, public information, commodity futures
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9.
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The Specification of GARCH Models with Stochastic Covariates
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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Posted:
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09 Oct 07
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Last Revised:
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09 Nov 07
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114
(124,280)
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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0
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two-component GARCH, bivariate mixture models, volume-volatility relation
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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114
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two-component GARCH, bivariate mixture models, volume-volatility relation
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10.
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Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios
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Show Abstracts |
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Versions (2)
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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Posted:
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11 Feb 05
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Last Revised:
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13 Dec 05
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87
(149,984)
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2
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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0
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composite hypothesis, stationary bootstrap, least favorable configuration
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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87
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2
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Composite hypothesis, stationary bootstrap, least favorable configuration
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11.
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business Whaley, Robert E.
Vanderbilt University - Finance
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12.
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Fleming, Jeff
Rice University - Jesse H. Jones Graduate School of Business Kirby, Chris
UNC Charlotte - Belk College of Business Ostdiek, Barbara
Rice University - Jesse H. Jones Graduate School of Business
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