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 Contact:
Email: ostdiek@rice.edu
Office
Rm. 332
Mailstop: MS-531
Phone: 713-348-5384 |
Teaching Areas:
Risk Management, Economic Environment of Business Scholarly Areas:
Corporate Debt Pricing, Empirical Finance, Information and Market Linkages, Risk Management, Volatility Modeling | Education:
| B.A. (1986) University of Nebraska - Lincoln | | Ph.D. (1994) Duke University |
Bio Statement:
Barbara Ostdiek is an Associate Professor of Finance and Academic Director of the El Paso Corporation Finance Center at the Jones Graduate School of Management at Rice University. A member of the Jones School faculty since 1994, Ostdiek has taught courses on International Finance, Applied Risk Management, and the Economic Environment of Business. She was received the Jones Graduate School Excellence in Teaching award in 2001 and 2004. Her current research interests focus on understanding market volatility in terms of information flow and trading activity. She has published in the Journal of Finance, the Journal of Financial Economics, the Journal of Business and other top academic journals. She graduated Summa Cum Laude with a B.A. in International Affairs from the University of Nebraska-Lincoln in 1986. She received a Ph.D. in Business Administration (Finance) from the Fuqua School of Business at Duke University in 1994. Prior to returning to school for her Ph.D., Barbara was a portfolio manager and was awarded the Chartered Financial Analyst designation. Research Statement:
Ostdiek's research, focusing on volatility and information flow, indicates that informational market linkages can be quite strong, that volatility is predictable, and that modeling cross-market linkages and volatility dynamics has economic value for market participants. In her recent work in weather sensitive markets, Barbara confirms the importance of information flow in generating both volatility and trading activity. Publications:
Journal Articles
| Jeff Fleming, Chris Kirby and Barbara Ostdiek. 2005. "Stochastic volatility, trading volume, and the daily flow of information." Journal of Business forthcoming.
| Jeff Fleming, Chris Kirby and Barbara Ostdiek. 2003. "The Economic Value of Volatility Timing Using 'Realized' Volatility." Journal of Financial Economics 67 473509.
| Jeff Fleming, Chris Kirby & Barbara Ostdiek. 2001. "The Economic Value of Volatility Timing." Journal of Finance 56 329-352.
| Jeff Fleming and Barbara Ostdiek. 1999. "The Impact of Energy Derivatives on the Crude Oil Market." Energy Economics 21:2 135-167.
| Ostdiek, Barbara, Fleming, Jeff ,Chris Kirby. 1998. "Information and Volatility Linkages in the Stock, Bond, and Money Markets.." Journal of Financial Economics 49 111-137.
| Ostdiek, Barbara. 1998. "The World Ex Ante Risk Premium: An Empirical Investigation." Journal of International Money and Finance 17 967-999.
| Jeff Fleming, Barbara Ostdiek & Robert 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.
| Jeff Fleming, Barbara Ostdiek & Robert Whaley. 1995. "Predicting Stock Market Volatility: A New Measure." Journal of Futures Markets 15:3 265-302.
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Recognition and Relationships:
Jones Graduate School Alumni Award for Excellence in Teaching, Jones Graduate School, Rice University, 5/8/2004
| Jones Graduate School Alumni Award for Excellence in Teaching, Jones Graduate School, Rice University, 5/11/2001
| Finalist, Smith-Breeden Prize, American Finance Association, 12/15/2001
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