Jeff Fleming

6.1k total citations · 2 hit papers
34 papers, 4.2k citations indexed

About

Jeff Fleming is a scholar working on Finance, Economics and Econometrics and General Economics, Econometrics and Finance. According to data from OpenAlex, Jeff Fleming has authored 34 papers receiving a total of 4.2k indexed citations (citations by other indexed papers that have themselves been cited), including 28 papers in Finance, 25 papers in Economics and Econometrics and 8 papers in General Economics, Econometrics and Finance. Recurrent topics in Jeff Fleming's work include Financial Risk and Volatility Modeling (21 papers), Market Dynamics and Volatility (18 papers) and Financial Markets and Investment Strategies (15 papers). Jeff Fleming is often cited by papers focused on Financial Risk and Volatility Modeling (21 papers), Market Dynamics and Volatility (18 papers) and Financial Markets and Investment Strategies (15 papers). Jeff Fleming collaborates with scholars based in United States, Australia and United Kingdom. Jeff Fleming's co-authors include Barbara Ostdiek, Chris Kirby, Robert E. Whaley, Bernard Dumas, Bradley S. Paye, Dominic Moore, Tessie W. October, Thomas J. Straka, Stephen E. Miller and D. J. Pascoe and has published in prestigious journals such as The Journal of Finance, Journal of Financial Economics and Journal of Econometrics.

In The Last Decade

Jeff Fleming

31 papers receiving 3.9k citations

Hit Papers

align trajectories

What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

Implied Volatility Functions: Empirical Tests

1998 884 citations Jeff Fleming, Robert E. Whaley et al. The Journal of Finance profile →
The Economic Value of Volatility Timing

2001 534 citations Jeff Fleming, Chris Kirby et al. The Journal of Finance profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Jeff Fleming United States	17	3.8k	2.8k	1.0k	297	272	34	4.2k
Hao Zhou United States	24	4.1k 1.1×	2.5k 0.9×	1.0k 1.0×	225 0.8×	601 2.2×	86	4.6k
Barbara Ostdiek United States	16	2.7k 0.7×	2.2k 0.8×	900 0.9×	339 1.1×	237 0.9×	30	3.1k
Kris Jacobs United States	35	4.3k 1.1×	2.2k 0.8×	719 0.7×	179 0.6×	400 1.5×	125	4.7k
Liuren Wu United States	35	5.3k 1.4×	2.3k 0.8×	925 0.9×	248 0.8×	380 1.4×	122	5.6k
François Longin France	13	3.4k 0.9×	3.0k 1.1×	1.0k 1.0×	171 0.6×	203 0.7×	25	3.8k
William D. Lastrapes United States	25	3.3k 0.9×	3.5k 1.3×	2.0k 2.0×	225 0.8×	285 1.0×	59	4.4k
Peter K. Clark United States	17	2.1k 0.5×	2.6k 0.9×	1.4k 1.4×	264 0.9×	194 0.7×	35	3.3k
Chris Kirby United States	17	2.3k 0.6×	1.8k 0.7×	765 0.8×	323 1.1×	186 0.7×	50	2.6k
Raúl Susmel United States	15	2.4k 0.6×	2.3k 0.8×	1.1k 1.1×	135 0.5×	149 0.5×	25	2.9k
Michael Johannes United States	21	3.2k 0.8×	1.6k 0.6×	583 0.6×	216 0.7×	213 0.8×	43	3.5k

Countries citing papers authored by Jeff Fleming

Since Specialization

Citations

This map shows the geographic impact of Jeff Fleming's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Jeff Fleming with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Jeff Fleming more than expected).

Fields of papers citing papers by Jeff Fleming

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Jeff Fleming. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Jeff Fleming. The network helps show where Jeff Fleming may publish in the future.

Co-authorship network of co-authors of Jeff Fleming

This figure shows the co-authorship network connecting the top 25 collaborators of Jeff Fleming. A scholar is included among the top collaborators of Jeff Fleming based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Jeff Fleming. Jeff Fleming is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

October, Tessie W., et al.. (2020). ‘I’m praying for a miracle’: characteristics of spiritual statements in paediatric intensive care unit care conferences. BMJ Supportive & Palliative Care. 12(e5). e680–e686. 6 indexed citations

Fleming, Jeff & Chris Kirby. (2011). Component-Driven Regime-Switching Volatility. SSRN Electronic Journal.

Fleming, Jeff & Chris Kirby. (2010). Long memory in volatility and trading volume. Journal of Banking & Finance. 35(7). 1714–1726. 90 indexed citations

Fleming, Jeff & Bradley S. Paye. (2010). High-frequency returns, jumps and the mixture of normals hypothesis. Journal of Econometrics. 160(1). 119–128. 17 indexed citations

Fleming, Jeff, Chris Kirby, & Barbara Ostdiek. (2008). The specification of GARCH models with stochastic covariates. Journal of Futures Markets. 28(10). 911–934. 8 indexed citations

Fleming, Jeff & Bradley S. Paye. (2006). High-Frequency Returns, Jumps and the Mixture of Normals Hypothesis. SSRN Electronic Journal. 5 indexed citations

Fleming, Jeff, Chris Kirby, & Barbara Ostdiek. (2006). Bootstrap tests of multiple inequality restrictions on variance ratios. Economics Letters. 91(3). 343–348. 2 indexed citations

Fleming, Jeff, Chris Kirby, & Barbara Ostdiek. (2006). Stochastic Volatility, Trading Volume, and the Daily Flow of Information*. The Journal of Business. 79(3). 1551–1590. 57 indexed citations

Fleming, Jeff, Thomas J. Straka, & Stephen E. Miller. (2006). An Econometric Model to Predict Participation in Urban and Community Forestry Programs in South Carolina, U.S.. Arboriculture & Urban Forestry. 32(5). 229–235. 4 indexed citations

10.

Fleming, Jeff, Chris Kirby, & Barbara Ostdiek. (2006). The Specification of GARCH Models with Stochastic Covariates. SSRN Electronic Journal.

11.

Fleming, Jeff, Chris Kirby, & Barbara Ostdiek. (2005). Information, Trading and Volatility: Evidence from Weather-Sensitive Markets. SSRN Electronic Journal. 10 indexed citations

12.

Fleming, Jeff & Chris Kirby. (2003). A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility. SSRN Electronic Journal. 15 indexed citations

13.

Fleming, Jeff, Chris Kirby, & Barbara Ostdiek. (2001). The Economic Value of Volatility Timing Using 'Realized' Volatility. SSRN Electronic Journal. 382 indexed citations

14.

Fleming, Jeff, Chris Kirby, & Barbara Ostdiek. (2001). The Economic Value of Volatility Timing. The Journal of Finance. 56(1). 329–352. 534 indexed citations breakdown →

15.

Fleming, Jeff. (1998). THE ECONOMIC SIGNIFICANCE OF THE FORECAST BIAS OF S&P 100 INDEX OPTION IMPLIED VOLATILITY. European review for medical and pharmacological sciences. 20(20). 4328–4336. 16 indexed citations

16.

Fleming, Jeff, Chris Kirby, & Barbara Ostdiek. (1998). 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. 49(1). 111–137. 342 indexed citations

17.

Fleming, Jeff, Chris Kirby, & Barbara Ostdiek. (1998). Information and Volatility Linkages in the Stock, Bond, and Money Markets. RePEc: Research Papers in Economics. 99 indexed citations

18.

Fleming, Jeff, Barbara Ostdiek, & Robert E. Whaley. (1996). Trading costs and the relative rates of price discovery in stock, futures, and option markets. Journal of Futures Markets. 16(4). 353–387. 320 indexed citations

19.

Fleming, Jeff, Barbara Ostdiek, & Robert E. Whaley. (1995). Predicting stock market volatility: A new measure. Journal of Futures Markets. 15(3). 265–302. 397 indexed citations

20.

Fleming, Jeff & Robert E. Whaley. (1994). The Value of Wildcard Options. The Journal of Finance. 49(1). 215–236. 39 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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