Chris Kirby

Most cited in this library

• The Economic Value of Volatility Timing2001 · 848 citations
• The economic value of volatility timing using “realized” volatility2003 · 668 citations
• The Economic Value of Volatility Timing Using 'Realized' Volatility2001 · 476 citations
• 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.1998 · 435 citations
• It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification2012 · 287 citations