Chris Kirby

The Economic Value of Volatility Timing

Jeff Fleming, Chris Kirby, Barbara Ostdiek · The Journal of Finance · 2001 · 843 citations

Empirical Finance, Standard Volatility Models, Economics +12

The economic value of volatility timing using “realized” volatility

Jeff Fleming, Chris Kirby, Barbara Ostdiek · Journal of Financial Economics · 2003 · 649 citations

Economics, Volatility Modeling, Multivariate Stochastic Volatility +5

The Economic Value of Volatility Timing Using 'Realized' Volatility

Jeff Fleming, Chris Kirby, Barbara Ostdiek · SSRN Electronic Journal · 2001 · 504 citations · Full text

Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University.

Jeff Fleming, Chris Kirby, Barbara Ostdiek · Journal of Financial Economics · 1998 · 434 citations

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

Chris Kirby, Barbara Ostdiek · Journal of Financial and Quantitative Analysis · 2012 · 296 citations

Asset Allocation, Portfolio Management, Outperform Naïve Diversification +18