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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8,326

SSRN CITATIONS
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SSRN RANKINGS

Top 10,011

in Total Papers Citations

81

CROSSREF CITATIONS

19

Scholarly Papers (29)

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1.

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

Downloads 1,436 ( 12,919)
Citation 16

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 1,436 (12,649)
Citation 16

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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.

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

Downloads 895 ( 26,315)

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 895 (25,893)
Citation 6

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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

Journal of Financial Econometrics, Vol. 1, No. 3, Winter 2003
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

3.

The Economic Value of Volatility Timing Using 'Realized' Volatility

Downloads 847 ( 28,458)
Citation 41

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 847 (28,018)
Citation 41

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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

Journal of Financial Economics, Vol. 67, No. 3, March 2003
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

4.

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

Downloads 769 ( 32,526)
Citation 5

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 769 (32,026)
Citation 5

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

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

Journal of Business, Forthcoming
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 552 (50,593)

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

6.

The Economic Value of Volatility Timing

Downloads 525 ( 53,975)
Citation 9

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 525 (53,341)
Citation 9

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The Economic Value of Volatility Timing

Journal of Finance
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

Downloads 493 ( 58,446)
Citation 2

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 493 (57,795)
Citation 1

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

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

Accounting & Finance, Vol. 57, Issue 4, pp. 1019-1042, 2017
Number of pages: 24 Posted: 17 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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Capital budgeting, Capital expenditures, 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 418 (71,495)
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 327 ( 94,792)

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 327 (94,203)
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 320 (97,104)
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 238 (132,736)

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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 174 (177,849)
Citation 1

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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 172 (179,664)

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

14.

The Specification of GARCH Models with Stochastic Covariates

Downloads 138 (215,959)

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 138 (216,553)

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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

15.

Linear Filtering for Asymmetric Stochastic Volatility Models

Downloads 128 (229,150)

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 (229,972)

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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

16.

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

Downloads 121 (238,980)
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 121 (239,979)
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.

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

Downloads 115 (248,163)

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 115 (249,344)
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

18.

Long Memory in Volatility and Trading Volume

Downloads 102 (269,866)
Citation 2

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 102 (271,580)
Citation 2

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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

19.

Discrete Stochastic Autoregressive Volatility

Downloads 101 (271,650)

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 101 (273,425)

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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

20.

Estimating the Cost of Equity Capital Using Empirical Asset Pricing Models

Number of pages: 36 Posted: 28 Jun 2015 Last Revised: 14 Nov 2015
Chris Kirby
UNC Charlotte - Belk College of Business
Downloads 100 (273,552)

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cross-sectional regression, gross profitability, book-to-market ratio, size effect, three-factor model, five-factor model

21.

Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios

Downloads 99 (275,391)
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 99 (277,268)
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

22.

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 (292,774)
Citation 1

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

23.

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 68 (345,038)
Citation 3

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

24.

Short-Term Reversals and Trading Activity

Number of pages: 52 Posted: 08 May 2019 Last Revised: 26 May 2019
I-Hsuan Ethan Chiang, Chris Kirby and Ziye Zoe Nie
University of North Carolina (UNC) at Charlotte, UNC Charlotte - Belk College of Business and University of North Carolina (UNC) at Charlotte, Belk College of Business
Downloads 53 (390,246)

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turnover, trading volume, information flow, liquidity, return continuations, cross-section of expected returns

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 45 (418,324)

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

26.

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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27.

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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28.

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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29.

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

Number of pages: 66
Chris Kirby
UNC Charlotte - Belk College of Business
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Markov switching, principal components analysis, factor model, cross-section of expected returns, price of covariance risk, Fama-MacBeth regressions