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

DOWNLOADS
Rank 5,915

SSRN RANKINGS

Top 5,915

in Total Papers Downloads

6,015

CITATIONS
Rank 2,036

SSRN RANKINGS

Top 2,036

in Total Papers Citations

276

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 1,283 (11,467)
Citation 6

Abstract:

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

Abstract:

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

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 754 (25,645)
Citation 12

Abstract:

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

Abstract:

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

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 752 (25,740)
Citation 97

Abstract:

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

Abstract:

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

4.

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 527 (38,983)
Citation 2

Abstract:

Factor Model, Realized Covariance, Volatilty Timing

5.
Downloads 495 ( 45,736)
Citation 147

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 495 (45,165)
Citation 147

Abstract:

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

Abstract:

6.

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 463 (43,314)
Citation 1

Abstract:

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

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 311 (79,116)
Citation 7

Abstract:

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:

Variance ratios, excess volatility, public information, commodity futures

8.

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 301 (79,370)
Citation 2

Abstract:

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

9.

Slopes as Factors: Characteristic Pure Plays

Number of pages: 41 Posted: 21 Jul 2013
Kerry Back, Nishad Kapadia and Barbara Ostdiek
Rice University - Jones Graduate School of Business and Department of Economics, Tulane University - A.B. Freeman School of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 229 (82,917)

Abstract:

factor pricing models, characteristics, anomalies, performance evaluation

10.

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 - Jones Graduate School of Business and Department of Economics, Tulane University - A.B. Freeman School of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 137 (57,902)

Abstract:

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

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 128 (186,435)

Abstract:

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

Abstract:

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 90 (240,729)
Citation 2

Abstract:

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

Abstract:

composite hypothesis, stationary bootstrap, least favorable configuration

13.

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 - A.B. Freeman School of Business, Rice University - Jesse H. Jones Graduate School of Business, Rice University - Jesse H. Jones Graduate School of Business and Tulane University
Downloads 41 (218,357)

Abstract:

Bear Markets, Expected Returns, Risk Factors

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 E. Whaley
Rice University - Jesse H. Jones Graduate School of Business, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance

Abstract:

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

Abstract: