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

  • Rice University - Jesse H. Jones Graduate School of Business

    • Email
    • Tel: 713-348-5384
    • Fax: 713-348-5251
SCHOLARLY PAPERS

15

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8,516

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Top 7,628

in Total Papers Citations

188

CROSSREF CITATIONS

22

Scholarly Papers (15)

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1.

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

Downloads 1,936 (14,896)

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 1,936 (14,626)
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 1,001 (39,774)

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 1,001 (39,181)
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 856 (49,480)

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

4.

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

Downloads 799 (54,289)
Citation 8

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 799 (53,505)
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 735 (60,656)
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 661 (69,624)
Citation 10

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factor pricing models, characteristics, anomalies, performance evaluation

7.

The Economic Value of Volatility Timing

Downloads 634 (73,471)

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 634 (72,525)
Citation 21

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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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8.

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 631 (73,850)
Citation 1

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

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 356 (146,003)
Citation 5

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

10.

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

Downloads 351 (148,227)
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 351 (147,181)
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

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
Nishad Kapadia, Barbara Ostdiek, James Weston and Morad Zekhnini
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 272 (193,816)

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Bear Markets, Expected Returns, Risk Factors

12.

The Specification of GARCH Models with Stochastic Covariates

Downloads 169 (301,845)

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 169 (301,803)

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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

13.

Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios

Downloads 115 (408,934)
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 115 (410,884)
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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