Jeff Fleming

Assessing energy security: An overview of commonly used methodologies

Technical analysis: An asset allocation perspective on the use of moving averages☆

Early-warning signals for critical transitions

Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models

Valuing American Options by Simulation: A Simple Least-Squares Approach

Time-frequency information transmission among financial markets: evidence from implied volatility

Naive Diversification Strategies in Defined Contribution Saving Plans

THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS

Conceptualizing energy security

A Tale of Two Indices

Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market

International transmission of uncertainty implicit in stock index option prices

Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns

A time-varying copula approach to oil and stock market dependence: The case of transition economies

Forecasting realized volatility in a changing world: A dynamic model averaging approach

Intraday volatility interaction between the crude oil and equity markets

A closed-form solution to American options under general diffusion processes

Scheduled domestic and US macroeconomic news and stock valuation in Europe

Opaque financial reports, R2, and crash risk☆

The Analysis of Security Cost for Different Energy Sources

Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis

On the network topology of variance decompositions: Measuring the connectedness of financial firms

Differences of Opinion, Short-Sales Constraints, and Market Crashes

Is economic policy uncertainty important to forecast the realized volatility of crude oil futures?

Generating options-implied probability densities to understand oil market events

The dynamics of stochastic volatility: evidence from underlying and options markets

Foreign institutional ownership and stock market liquidity: Evidence from Indonesia

Large Investors: Implications for Equilibrium Asset Returns, Shock Absorption, and Liquidity

Modeling and Forecasting Realized Volatility

Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Weather, storage, and natural gas price dynamics: Fundamentals and volatility

The Macroeconomic Determinants of Volatility in Precious Metals Markets

Closed-form transformations from risk-neutral to real-world distributions

Nonlinear principal components and long-run implications of multivariate diffusions

Transaction costs and predictability: some utility cost calculations

A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

The market for crash risk

Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

The analysis of security cost for different energy sources

Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models

Volatility spillovers between oil prices and the stock market under structural breaks

American options with stochastic dividends and volatility: A nonparametric investigation

On the Out‐of‐Sample Predictability of Stock Market Returns*

The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes

Transform Analysis and Asset Pricing for Affine Jump-diffusions

The Price of a Smile: Hedging and Spanning in Option Markets

Complexity and Information Content of Financial Disclosures: Evidence from Evolution of Uncertainty Following 10-K Filings

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Investor Psychology and Asset Pricing

An Empirical Investigation of Continuous‐Time Equity Return Models

Optimal Versus Naive Diversification: How Inefficient is the 1/NPortfolio Strategy?

Stock Return Volatility and Market Crisis In Emerging Economies

Forecasting Future Volatility from Option Prices

Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns

Oil and energy price volatility

Errors in Implied Volatility Estimation

Forecasting the volatility of crude oil futures using intraday data

Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

The Term Structure of Implied Forward Volatility: Recovery and Informational Content in the Corn Options Market

Canonical vine copulas in the context of modern portfolio management: Are they worth it?

Relative Pricing of Options with Stochastic Volatility

Forecasting realized volatility of oil futures market: A new insight

Financial time series forecasting model based on CEEMDAN and LSTM

Recovering Risk Aversion from Option Prices and Realized Returns

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

A climate stress-test of the financial system

Pricing and Inference with Mixtures of Conditionally Normal Processes

R2 around the world: New theory and new tests☆

Is there dependence and systemic risk between oil and renewable energy stock prices?

Textual Analysis in Accounting and Finance: A Survey

Does Terrorism Affect the Stock‐Bond Covariance? Evidence from European Countries

A Selective Overview of Nonparametric Methods in Financial Econometrics

The economic value of co-movement between oil price and exchange rate using copula-based GARCH models

An optimal homotopy-analysis approach for strongly nonlinear differential equations

The connectedness between crude oil and financial markets: Evidence from implied volatility indices

Post-'87 crash fears in the S&P 500 futures option market

Oil volatility, oil and gas firms and portfolio diversification

Do Call Prices and the Underlying Stock Always Move in the Same Direction?

What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

Options on Leveraged Equity: Theory and Empirical Tests

Forecasting Volatility in Financial Markets: A Review

Volatility Timing in Mutual Funds: Evidence from Daily Returns

Long-Memory versus Option-Implied Volatility Predictions

From Efficient Markets Theory to Behavioral Finance

Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?

A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?

A Simple Approximate Long-Memory Model of Realized Volatility

Forty years of the Journal of Futures Markets: A bibliometric overview

The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data

Spurious Regressions in Financial Economics?

Market Liquidity and Funding Liquidity

Constructing a Market, Performing Theory: The Historical Sociology of a Financial Derivatives Exchange

Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices

Securitized banking and the run on repo

Implied Volatilities as Forecasts of Future Volatility, Time-Varying Risk Premia, and Returns Variability

Informed Trading in Stock and Option Markets

Shock and volatility transmission in the oil, US and Gulf equity markets

Consumption, Aggregate Wealth, and Expected Stock Returns

Forecasting Future Variance From Option Prices

Contagion as a Wealth Effect

The Distribution of Realized Exchange Rate Volatility

Energy security: Definitions, dimensions and indexes

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

Volatility transmission between oil prices and equity sector returns

The distribution of realized stock return volatility

Idiosyncratic Risk Matters!

Modeling and Forecasting Realized Volatility

Implied basket correlation dynamics

Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market

The predictive power of implied volatility: Evidence from 35 futures markets

How to conduct a bibliometric analysis: An overview and guidelines

Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar)

A new forecasting model with wrapper-based feature selection approach using multi-objective optimization technique for chaotic crude oil time series

Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility

CREDIT CONSTRAINTS AND THE CYCLICALITY OF R&D INVESTMENT: EVIDENCE FROM FRANCE

Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards

Geopolitical risk and dynamic connectedness between commodity markets

Volatility puzzles: a simple framework for gauging return-volatility regressions

Spurious Regressions in Financial Economics?

A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation

Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market

Trading behaviour connectedness across commodity markets: Evidence from the hedgers’ sentiment perspective

The economic implications of corporate financial reporting

Assessing oil supply security of South Asia

The Cross‐Section of Volatility and Expected Returns

THE ECONOMIC SIGNIFICANCE OF THE FORECAST BIAS OF S&P 100 INDEX OPTION IMPLIED VOLATILITY

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

The Economic Value of Volatility Timing Using 'Realized' Volatility

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.

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

Information and Volatility Linkages in the Stock, Bond, and Money Markets

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

The Value of Wildcard Options

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

The Value of Wildcard Options

High-frequency returns, jumps and the mixture of normals hypothesis

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

Implied Volatility Functions: Empirical Tests

Predicting stock market volatility: A new measure

The impact of energy derivatives on the crude oil market

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

The economic value of volatility timing using “realized” volatility

The Economic Value of Volatility Timing