Barbara Ostdiek

Rice University - Jesse H. Jones Graduate School of Business

Associate Professor of Finance

6100 South Main Street

P.O. Box 1892

Houston, TX 77005-1892

United States

SCHOLARLY PAPERS

15

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9,125

SSRN CITATIONS
Rank 7,928

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Top 7,928

in Total Papers Citations

204

CROSSREF CITATIONS

22

Scholarly Papers (15)

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 2,171 (13,978)
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

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 1,059 (41,439)
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.

Testing Factor Models on Characteristic and Covariance Pure Plays

Number of pages: 47 Posted: 24 Jun 2015 Last Revised: 13 Aug 2015
Kerry Back, Nishad Kapadia and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, Tulane University - Finance & Economics and Rice University - Jesse H. Jones Graduate School of Business
Downloads 928 (50,589)

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factor pricing models, characteristics, Fama-Macbeth, errors-in-variables

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 810 (60,027)
Citation 8

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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.

Covariance Estimation in Dynamic Portfolio Optimization: A Realized Single Factor Model

AFA 2010 Atlanta Meetings Paper
Number of pages: 38 Posted: 22 Mar 2009 Last Revised: 17 Oct 2009
Lada M. Kyj, Barbara Ostdiek and Katherine Ensor
Humboldt University of Berlin, Rice University - Jesse H. Jones Graduate School of Business and Rice University - George R. Brown School of Engineering
Downloads 768 (65,413)
Citation 10

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Factor Model, Realized Covariance, Volatilty Timing

6.

Slopes as Factors: Characteristic Pure Plays

Number of pages: 41 Posted: 21 Jul 2013
Kerry Back, Nishad Kapadia and Barbara Ostdiek
Rice University - Jesse H. Jones Graduate School of Business, Tulane University - Finance & Economics and Rice University - Jesse H. Jones Graduate School of Business
Downloads 767 (65,644)
Citation 10

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factor pricing models, characteristics, anomalies, performance evaluation

7.

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 656 (80,126)
Citation 1

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

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 656 (79,049)
Citation 20

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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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9.

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 368 (160,531)
Citation 5

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

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 366 (160,159)
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

Abstract:

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Variance ratios, excess volatility, public information, commodity futures

11.

Safe Minus Risky: Do Investors Pay a Premium for Stocks that Hedge Stock Market Downturns?

Number of pages: 54 Posted: 10 Jul 2015 Last Revised: 17 Dec 2015
Tulane University - Finance & Economics, Rice University - Jesse H. Jones Graduate School of Business, Rice University - Jesse H. Jones Graduate School of Business and Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management
Downloads 285 (211,004)

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Bear Markets, Expected Returns, Risk Factors

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 171 (342,175)

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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

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 120 (457,356)
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

14.

Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets

Posted: 24 Oct 1999
Jeff Fleming, Barbara Ostdiek and Robert Whaley
Rice University - Jesse H. Jones Graduate School of Business, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance

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15.

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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