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

  • Rice University - Jesse H. Jones Graduate School of Business

    • Email
    • Tel: 713-348-4677
    • Fax: 713-348-5251
SCHOLARLY PAPERS

15

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5,519

SSRN CITATIONS
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SSRN RANKINGS

Top 6,196

in Total Papers Citations

171

CROSSREF CITATIONS

85

Scholarly Papers (15)

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1.

The Economic Value of Volatility Timing Using 'Realized' Volatility

Downloads 989 (38,887)
Citation 64

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 989 (38,304)
Citation 64

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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

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

2.

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

Downloads 917 (43,275)

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 917 (42,649)
Citation 7

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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

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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

3.

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

Downloads 797 (52,399)

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 797 (51,672)
Citation 8

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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

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

4.

Implied Volatility Functions: Empirical Tests

NBER Working Paper No. w5500
Number of pages: 36 Posted: 01 Jul 1998 Last Revised: 14 Jul 2022
Bernard Dumas, Jeff Fleming and Robert Whaley
INSEAD, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance
Downloads 697 (62,679)
Citation 35

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5.

The Economic Value of Volatility Timing

Downloads 629 (71,488)
Citation 20

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 629 (70,560)
Citation 20

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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

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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 351 (143,101)
Citation 5

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

7.

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

Downloads 350 (143,529)
Citation 5

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 350 (142,516)
Citation 5

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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

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 Tech - Department of Finance, Insurance, and Business Law
Downloads 196 (255,921)
Citation 8

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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 191 (261,943)

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

10.

The Specification of GARCH Models with Stochastic Covariates

Downloads 165 (297,582)

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 165 (297,704)

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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

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

11.

Long Memory in Volatility and Trading Volume

Downloads 124 (373,493)
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 124 (374,880)
Citation 4

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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

12.

Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios

Downloads 113 (399,707)
Citation 2

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 113 (401,740)
Citation 2

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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

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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 Whaley
Rice University - Jesse H. Jones Graduate School of Business, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance

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14.

Implied Volatility Smiles: Empirical Tests

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

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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

Abstract:

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