Chris Kirby

UNC Charlotte - Belk College of Business

Professor of Finance

9201 University City Boulevard

Charlotte, NC 28223

United States

  • UNC Charlotte - Belk College of Business

SCHOLARLY PAPERS

29

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9,287

SSRN CITATIONS
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Top 8,753

in Total Papers Citations

131

CROSSREF CITATIONS

15

Scholarly Papers (29)

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1.

It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naive Diversification

Downloads 1,695 ( 14,752)
Citation 31

It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naive Diversification

Number of pages: 43 Posted: 01 Jan 2010 Last Revised: 13 May 2010
Chris Kirby and Barbara Ostdiek
UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 1,695 (14,508)
Citation 31

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portfolio selection, mean-variance optimization, estimation risk, turnover, market timing, volatility timing

It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naive Diversification

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 04 Dec 2010
Chris Kirby and Barbara Ostdiek
UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

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portfolio selection, mean-variance optimization, estimation risk, turnover, market timing, volatility timing

2.

The Economic Value of Volatility Timing Using 'Realized' Volatility

Downloads 945 ( 34,872)
Citation 64

The Economic Value of Volatility Timing Using 'Realized' Volatility

Rice University, Jones Graduate School Working Paper
Number of pages: 48 Posted: 21 Jul 2001
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 945 (34,369)
Citation 64

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Realized volatility, volatility timing, tactical asset allocation, portfolio optimization, mean-variance analysis

The Economic Value of Volatility Timing Using 'Realized' Volatility

Posted: 20 Nov 2002
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

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volatility timing, realized volatility, portfolio optimization, mean-variance analysis, rolling estimators

3.

A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility

Downloads 905 ( 37,096)
Citation 7

A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility

Rice University and University of Texas at Dallas Working Paper
Number of pages: 59 Posted: 01 Oct 2003
Jeff Fleming and Chris Kirby
Rice University - Jesse H. Jones Graduate School of Business and UNC Charlotte - Belk College of Business
Downloads 905 (36,565)
Citation 7

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Conditional heteroskedasticity, Kalman filter, Particle filter, Markov chain Monte Carlo, Value-at-risk

A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility

Posted: 01 Oct 2003
Jeff Fleming and Chris Kirby
Rice University - Jesse H. Jones Graduate School of Business and UNC Charlotte - Belk College of Business

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Conditional heteroskedasticity, Kalman filter, Particle filter, Markov chain Monte Carlo, Value-at-risk

4.

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

Downloads 782 ( 45,242)
Citation 7

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

Rice University, Jones Graduate School Working Paper
Number of pages: 39 Posted: 24 Jul 2001
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 782 (44,626)
Citation 7

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GARCH, mixture-of-distributions hypothesis, bivariate mixture models, Kalman filter

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

Posted: 25 Oct 2004
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

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GARCH, mixture-of-distributions hypothesis, bivariate mixture models, Kalman filter

5.

Optimizing the Performance of Sample Mean-Variance Efficient Portfolios

AFA 2013 San Diego Meetings Paper
Number of pages: 42 Posted: 25 Apr 2011 Last Revised: 25 Jul 2012
Chris Kirby and Barbara Ostdiek
UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 594 (64,699)
Citation 1

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active management, conditioning information, estimation risk, mean-variance optimization, portfolio choice, turnover

6.

The Economic Value of Volatility Timing

Downloads 584 ( 66,140)
Citation 12

The Economic Value of Volatility Timing

Jones Graduate School Working Paper No. 1999.17.4
Number of pages: 32 Posted: 11 Feb 2000
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 584 (65,382)
Citation 12

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The Economic Value of Volatility Timing

Posted: 18 Feb 2000
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

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7.

Capital Expenditures and Firm Performance: Evidence from a Cross-Sectional Analysis of Stock Returns

Number of pages: 22 Posted: 24 Jan 2015 Last Revised: 28 Jun 2015
Adriana S. Cordis and Chris Kirby
Winthrop University - College of Business Administration and UNC Charlotte - Belk College of Business
Downloads 556 (70,375)
Citation 1

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capital budgeting, capital expenditures, cross-sectional regression, asset growth, hurdle rate, overinvestment

8.

Volatility of Volatility, Expected Stock Return and Variance Risk Premium

26th Australasian Finance and Banking Conference 2013
Number of pages: 34 Posted: 20 Aug 2013
Ruoyang Wang, Chris Kirby and Steven P. Clark
University of North Carolina (UNC) at Charlotte - Department of Finance & Business Law, UNC Charlotte - Belk College of Business and University of North Carolina (UNC) at Charlotte
Downloads 444 (92,432)
Citation 6

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Volatility of Volatility, Variance Risk Premium, Expected Stock Return

9.

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

Downloads 341 (124,747)
Citation 5

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

Number of pages: 35 Posted: 30 Oct 2004
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 341 (123,992)
Citation 5

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Variance ratios, excess volatility, public information, commodity futures

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

Journal of Finance, Forthcoming
Posted: 09 Aug 2005
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

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Variance ratios, excess volatility, public information, commodity futures

10.

Arch Effects and Trading Volume

Number of pages: 32 Posted: 26 Sep 2005
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 335 (127,113)
Citation 5

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volume-volatility relation, information flow, two-component GARCH, bivariate mixture model, mixture of distributions hypothesis

11.

Multivariate Stochastic Volatility Models with Correlated Errors

Number of pages: 31 Posted: 21 Jan 2006
David X. Chan, Robert Kohn and Chris Kirby
Cendant Corporation, University of New South Wales - School of Economics and School of Banking and Finance and UNC Charlotte - Belk College of Business
Downloads 247 (173,535)

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Bayesian estimation, Correlation matrix, Leverage, Markov chain Monte Carlo, Model averaging

12.

The Value Premium and Expected Business Conditions

Number of pages: 11 Posted: 22 Jun 2018
Chris Kirby
UNC Charlotte - Belk College of Business
Downloads 196 (215,643)

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Value Stocks, Growth Stocks, Return Predictability, GDP Forecasts

13.

Component-Driven Regime-Switching Volatility

Number of pages: 39 Posted: 05 Jan 2009 Last Revised: 25 Oct 2012
Jeff Fleming and Chris Kirby
Rice University - Jesse H. Jones Graduate School of Business and UNC Charlotte - Belk College of Business
Downloads 177 (235,588)

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variance components, Markov switching, stochastic volatility, realized volatility, ARMA models

14.

Short-Term Reversals, Short-Term Momentum, and News-Driven Trading Activity

Number of pages: 62 Posted: 08 May 2019 Last Revised: 09 Nov 2020
I-Hsuan Ethan Chiang, Chris Kirby and Ziye Zoe Nie
University of North Carolina (UNC) at Charlotte, UNC Charlotte - Belk College of Business and Tulane University
Downloads 176 (236,713)

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turnover, information diffusion, liquidity, return continuations, post earnings announcement drift, cross-section of expected returns

15.

The Specification of GARCH Models with Stochastic Covariates

Downloads 156 (261,922)

The Specification of GARCH Models with Stochastic Covariates

Number of pages: 29 Posted: 09 Oct 2007
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 156 (262,535)

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two-component GARCH, bivariate mixture models, volume-volatility relation

The Specification of Garch Models With Stochastic Covariates

Journal of Futures Markets, 2008
Posted: 09 Nov 2007
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

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two-component GARCH, bivariate mixture models, volume-volatility relation

16.

Income Shifting as an Aspect of Tax Avoidance: Evidence from U.S. Multinational Corporations

Downloads 136 (291,949)
Citation 2

Income Shifting as an Aspect of Tax Avoidance: Evidence from U.S. Multinational Corporations

Number of pages: 45 Posted: 16 Nov 2015
Adriana S. Cordis and Chris Kirby
Winthrop University - College of Business Administration and UNC Charlotte - Belk College of Business
Downloads 136 (293,052)
Citation 2

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income shifting, tax avoidance, effective tax rate, cross-sectional regression

Income Shifting as an Aspect of Tax Avoidance: Evidence from U.S. Multinational Corporations

Review of Pacific Basin Financial Markets and Policies (RPBFMP), Forthcoming
Posted: 28 Dec 2017
Adriana S. Cordis and Chris Kirby
Winthrop University - College of Business Administration and UNC Charlotte - Belk College of Business

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income shifting, tax avoidance, tax incentives, effective tax rate, foreign income share

17.

Firm Characteristics, Cross-Sectional Regression Estimates, and Intertemporal Asset Pricing Tests

Number of pages: 53 Posted: 27 Apr 2015
Chris Kirby
UNC Charlotte - Belk College of Business
Downloads 135 (293,582)
Citation 3

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stochastic discount factor, size effect, book-to-market ratio, gross profitability, capital expenditures, corporate liquidity, momentum

18.

Firm Characteristics, Stock Market Regimes, and the Cross-Section of Expected Returns

Number of pages: 67 Posted: 09 Feb 2020 Last Revised: 12 Feb 2020
Chris Kirby
UNC Charlotte - Belk College of Business
Downloads 132 (298,636)

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Markov switching, principal components analysis, factor model, cross-section of expected returns, price of covariance risk, Fama-MacBeth regressions

19.

Linear Filtering for Asymmetric Stochastic Volatility Models

Downloads 128 (305,682)

Linear Filtering for Asymmetric Stochastic Volatility Models

Number of pages: 9 Posted: 01 Apr 2005
Chris Kirby
UNC Charlotte - Belk College of Business
Downloads 128 (306,963)

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Kalman filter, state-space model, autoregressive volatility, leverage effect

Linear Filtering for Asymmetric Stochastic Volatility Models

Economics Letters, Forthcoming
Posted: 10 Mar 2006
Chris Kirby
UNC Charlotte - Belk College of Business

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Kalman filter, state-space model, autoregressive volatility, leverage effect, quasi maximum likelihood

20.

Regime-Switching Factor Models in Which the Number of Factors Defines the Regime

Downloads 123 (314,824)
Citation 1

Regime-Switching Factor Models in Which the Number of Factors Defines the Regime

Number of pages: 9 Posted: 01 Dec 2010 Last Revised: 25 Apr 2011
Adriana S. Cordis and Chris Kirby
Winthrop University - College of Business Administration and UNC Charlotte - Belk College of Business
Downloads 123 (316,285)
Citation 1

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dynamic factor analysis, covariance matrix estimation, correlation matrix estimation

Regime-Switching Factor Models in Which the Number of Factors Defines the Regime

Economics Letters, Forthcoming
Posted: 25 Apr 2011
Adriana S. Cordis and Chris Kirby
Winthrop University - College of Business Administration and UNC Charlotte - Belk College of Business

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dynamic factor analysis, covariance matrix estimation, correlation matrix estimation

21.

Long Memory in Volatility and Trading Volume

Downloads 108 (344,746)
Citation 4

Long Memory in Volatility and Trading Volume

Number of pages: 40 Posted: 29 Oct 2010
Jeff Fleming and Chris Kirby
Rice University - Jesse H. Jones Graduate School of Business and UNC Charlotte - Belk College of Business
Downloads 108 (346,982)
Citation 4

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realized volatility, fractional integration, strongly autocorrelated, bivariate mixture model, long-range dependence

Long Memory in Volatility and Trading Volume

Journal of Banking and Finance, Forthcoming
Posted: 15 Nov 2010
Jeff Fleming and Chris Kirby
Rice University - Jesse H. Jones Graduate School of Business and UNC Charlotte - Belk College of Business

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Realized volatility, Fractional integration, Strongly autocorrelated, Bivariate mixture model, Long-range dependence

22.

Discrete Stochastic Autoregressive Volatility

Downloads 105 (351,353)
Citation 1

Discrete Stochastic Autoregressive Volatility

Number of pages: 36 Posted: 18 Jun 2013 Last Revised: 12 Mar 2014
Adriana S. Cordis and Chris Kirby
Winthrop University - College of Business Administration and UNC Charlotte - Belk College of Business
Downloads 105 (353,760)
Citation 1

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Markov chain, time-varying transition probabilities, discrete autoregressive model, stochastic volatility, realized volatility

Discrete Stochastic Autoregressive Volatility

Journal of Banking and Finance, Forthcoming
Posted: 21 Mar 2014
Adriana S. Cordis and Chris Kirby
Winthrop University - College of Business Administration and UNC Charlotte - Belk College of Business

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Markov chain, time-varying transition probabilities, discrete autoregressive model, stochastic volatility, realized volatility

23.

Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios

Downloads 105 (351,353)
Citation 2

Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios

Number of pages: 6 Posted: 11 Feb 2005
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 105 (353,760)
Citation 2

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Composite hypothesis, stationary bootstrap, least favorable configuration

Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios

Economics Letters, Forthcoming
Posted: 13 Dec 2005
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

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composite hypothesis, stationary bootstrap, least favorable configuration

24.

Locally Adaptive Semiparametric Estimation of the Mean and Variance Functions in Regression Models

Number of pages: 26 Posted: 30 Jan 2006
David X. Chan, Robert Kohn, David J. Nott and Chris Kirby
Cendant Corporation, University of New South Wales - School of Economics and School of Banking and Finance, University of New South Wales (UNSW) - School of Mathematics and UNC Charlotte - Belk College of Business
Downloads 90 (387,640)
Citation 1

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Additive model, Bayesian estimation, Markov chain Monte Carlo, Radial basis functions

25.

Firm Characteristics and the Cross-Section of Covariance Risk

Number of pages: 53 Posted: 18 Jun 2018
Chris Kirby
UNC Charlotte - Belk College of Business
Downloads 66 (461,335)

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Fundamental Factor, Multivariate GARCH, Cross-Section of Expected Returns, Price of Covariance Risk, Fama-MacBeth Regressions

26.

Volatility Shocks, the Leverage Effect, and Time-Varying Conditional Skewness

Number of pages: 66 Posted: 27 Apr 2022 Last Revised: 06 May 2022
Chris Kirby
UNC Charlotte - Belk College of Business
Downloads 26 (657,288)

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polynomial normal transform, two-piece distribution, asymmetric volatility, realized volatility, Cornish-Fisher expansion, expectiles

27.

The Restrictions on Predictability Implied by Rational Asset Pricing Models

The Review of Financial Studies
Posted: 23 Mar 1998
Chris Kirby
UNC Charlotte - Belk College of Business

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28.

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

Journal of Financial Economics
Posted: 05 Mar 1998
Jeff Fleming, Chris Kirby and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

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29.

Measuring the Predictable Variation in Stock and Bond Returns

REVIEW OF FINANCIAL STUDIES, Vol. 10 No. 3
Posted: 16 Jul 1997
Chris Kirby
UNC Charlotte - Belk College of Business

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