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Scholarly Interest Report
         
Barbara Ostdiek
Associate Professor
Associate Professor of Management and Statistics
 
e-mail:ostdiek@rice.edu
 
  • Ph.D. (1994) Duke University
  • B.A. (1986) University of Nebraska - Lincoln
 
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Department Affiliations
 
  • Department of Statistics
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    Websites
     http://www.ruf.rice.edu/~ostdiek/
     
    Research Areas
     Information and Market Linkages, Stochastic Volatility, Risk Management
     
    Selected Publications
     Other
     

    Barbara Ostdiek (with Jeff Fleming and Chris Kirby) "The Economic Value of Volatility Timing." Journal of Finance, 56 (February, 2001) : 329-352.

     
     

    Barbara Ostdiek and Jeff Fleming "The Impact of Energy Derivatives on the Crude Oil Market,." Energy Economics, 21:2 (April 1999) : 135-167.

     
     

    Barbara Ostdiek, Jeff Fleming, and Chris Kirby "Does Volatility Timing Matter?." Computational Finance - Proceedings of the Sixth International Conference (January 1999)

     
     

    Barbara Ostdiek "The World Ex Ante Risk Premium: An Empirical Investigation." Journal of International Money and Finance, 17 (December 1998) : 967-999.

     
     

    Jeff Fleming, Chris Kirby, Barbara Ostdiek "Measuring the Impact of Stochastic Volatility on Short-Horizon Investment and Risk Management Decisions." Proceeding of the Annual Spring Research Seminar, Chicago Board of Trade (May 1998)

     
     

    Jeff Fleming, Chris Kirby, Barbara Ostdiek "Volatility and Common Information in Stock, Bond, and Money Markets." Journal of Financial Economics, 49 (July 1998) : 111-137.

     
     

    Barbara Ostdiek, Jeff Fleming, and Robert Whaley "Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets." Journal of Futures Markets, 16:4 (June 1996) : 353-387.

     
     

    Barbara Ostdiek, Jeff Fleming, and Robert Whaley "Predicting Stock Market Volatility: A New Measure." Journal of Futures Markets, 15:3 (May 1995) : 265-302.

     
    Presentations
     Other
     

    "Predicting Stock Market Volatility: A New Approach." Conference on Financial Innovation: 20 Years of Black/Scholes and Merton, Duke University. (1993)

     
     

    "Predicting Stock Market Volatility: A New Approach." Berkeley Program in Finance, University of California at Berkeley. (1994)

     
     

    "Predicting Stock Market Volatility: A New Approach." Chicago Board of Trade Fall Research Conference, Boston. (1994)

     
     

    "The Economic Value of Volatility Timing." American Finance Association Annual Meetings, Boston, MA. (2000)

     
     

    "Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets." Texas Finance Symposium, University of North Texas. (1994)

     
     

    "Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets." Western Finance Association Meetings , Whistler. (1993)

     
     

    "VaR for Options and Cross-Market Option Portfolios Under Stochastic Volatility." Queensland University of Technology Risk Measurement and Control Forum, (2000)

     
     

    "Volatility and Common Information in Stock, Bond, and Money Markets ." Texas Finance Symposium , Texas Christian University. (1996)

     
     

    "Volatility and Common Information in Stock, Bond, and Money markets." American Finance Association Meetings, New Orleans, LA. (1997)

     
     

    "Does Volatility Timing Matter?." Computational Finance Conf, Stern School of Business, NYU. (January 1999) With co-authored with Jeff Fleming and Chris Kirby

     
     

    "Financial Strategy: Risk Management & Financial Engineering." Fourth International Finance Day, ITESM, Monterrey, Mexico. (October 1999)

     
     

    "The Economic Value of Volatility Timing." Faculty Seminar, Statistic Department, Rice University. (September 1999) With co-authored with Jeff Fleming and Chris Kirby

     
     

    "The Economic Value of Volatility Timing." Computational and Quantitative Finance, New York City. (September 1999) With co-authored with Jeff Fleming and Chris Kirby

     
     

    "Does Volatility Timing Matter?." Financial Economics and Accounting Conference, New York University, New York City. (November 1998) With Jeff Fleming and Chris Kirby

     
     

    "Does Volatility Timing Matter?." Finance Seminar Series, University of Minnesota. (November 1998) With Jeff Fleming and Chris Kirby

     
     

    "Measuring the Impact of Stochastic Volatility on Short-Horizon Investment and Risk Management Decisions." Chicago Board Of Trade Spring Research Conference, Chicago. (May 1998) With Jeff Fleming and Chris Kirby

     
    Awards, Prizes, & Fellowships
     Referee Service to several journals,

     Referee service to several journals,

     Ad hoc referee, Review of Financial Studies, Journal of Futures Markets, Communications in Statistics-Theory and Methods

     Program Committee, Eastern Finance Association Annual Meeting