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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511

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Scholarly Papers (15)

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 891 (24,709)

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

Journal of Financial Econometrics, Vol. 1, No. 3, Winter 2003
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

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 830 (27,315)

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

Journal of Financial Economics, Vol. 67, No. 3, March 2003
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

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 768 (30,392)

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

Journal of Business, Forthcoming
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 520 ( 51,731)

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 520 (51,138)

Abstract:

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The Economic Value of Volatility Timing

Journal of Finance
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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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 324 (90,532)

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

6.

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 318 (92,972)

Abstract:

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

7.

Implied Volatility Functions: Empirical Tests

NBER Working Paper No. w5500
Number of pages: 36 Posted: 01 Jul 1998 Last Revised: 28 Nov 2012
Bernard Dumas, Jeff Fleming and Robert E. Whaley
INSEAD, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance
Downloads 302 (98,381)

Abstract:

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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 176 (167,621)

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 170 (172,881)

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 132 (213,872)

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 99 (262,492)

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 99 (264,274)

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 98 (266,019)

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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