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The specification of GARCH models with stochastic covariates
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of futures markets 28 (2008) 10, pp. 911-934
Persistent link: https://www.econbiz.de/10003769888
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Bootstrap tests of multiple inequality restrictions on variance ratios
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: Economics letters 91 (2006) 3, pp. 343-348
Persistent link: https://www.econbiz.de/10003333629
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Stochastic volatility, trading volume, and the daily flow of information
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of business : B 79 (2006) 3, pp. 1551-1590
Persistent link: https://www.econbiz.de/10003337036
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It's all in the timing : simple active portfolio strategies that outperform nai͏͏̈ve diversification
Kirby, Chris; Ostdiek, Barbara - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 2, pp. 437-467
Persistent link: https://www.econbiz.de/10009672551
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Information, trading, and volatility : evidence from weather-sensitive markets
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of finance : the journal of the American … 61 (2006) 6, pp. 2899-2930
Persistent link: https://www.econbiz.de/10003398510
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The economic value of volatility timing using "realized" volatility
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: Journal of financial economics 67 (2003) 3, pp. 473-509
Persistent link: https://www.econbiz.de/10001739263
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The economic value of volatility timing
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of finance : the journal of the American … 56 (2001) 1, pp. 329-352
Persistent link: https://www.econbiz.de/10001575075
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Predicting stock market volatility : a new measure
Fleming, Jeff - In: The journal of futures markets 15 (1995) 3, pp. 265-302
Persistent link: https://www.econbiz.de/10001180182
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Information and volatility linkages in the stock, bond, and money markets
Fleming, Jeff - In: Journal of financial economics 49 (1998) 1, pp. 111-137
Persistent link: https://www.econbiz.de/10001244931
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Trading costs and the relative rates of price discovery in stock, futures, and option markets
Fleming, Jeff - In: The journal of futures markets 16 (1996) 4, pp. 353-387
Persistent link: https://www.econbiz.de/10001198895