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Jeff Fleming

14 works· latest 2010· 1 institutionscluster: provisional

h-index14

i1014

Citations5,648

Works here14

Most cited in this library

Implied Volatility Functions: Empirical Tests1998 · 1,248 citations
The Economic Value of Volatility Timing2001 · 848 citations
The economic value of volatility timing using “realized” volatility2003 · 668 citations
Predicting stock market volatility: A new measure1995 · 538 citations
The quality of market volatility forecasts implied by S&P 100 index option prices1998 · 476 citations

Works

14 shown

Long Memory in Volatility and Trading Volume

Journal of Banking & Finance·2010·2 authors·Open access

114citations

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

The Journal of Finance·2006·3 authors·Open access

65citations

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

The Journal of Business·2006·3 authors·Open access

82citations

The economic value of volatility timing using “realized” volatility

Journal of Financial Economics·2003·3 authors

668citations

The Economic Value of Volatility Timing

The Journal of Finance·2001·3 authors·Open access

848citations

The Economic Value of Volatility Timing Using 'Realized' Volatility

SSRN Electronic Journal·2001·3 authors·preprint·Open access

476citations

The impact of energy derivatives on the crude oil market

Energy Economics·1999·2 authors

96citations

Implied Volatility Functions: Empirical Tests

The Journal of Finance·1998·3 authors

1,248citations

The quality of market volatility forecasts implied by S&P 100 index option prices

Journal of Empirical Finance·1998·1 author

476citations

Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University.

Journal of Financial Economics·1998·3 authors

435citations

Trading costs and the relative rates of price discovery in stock, futures, and option markets

Journal of Futures Markets·1996·3 authors

424citations

Predicting stock market volatility: A new measure

Journal of Futures Markets·1995·3 authors

538citations

The Value of Wildcard Options

The Journal of Finance·1994·2 authors

48citations

Information and volatility linkages in the stock, bond, and money markets

RePEc: Research Papers in Economics·3 authors

130citations