Chris Kirby : Citation Profile

University of North Carolina-Charlotte

11

H index

11

i10 index

1383

Citations

RESEARCH PRODUCTION:

22

Articles

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 57
   Journals where Chris Kirby has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 7 (0.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pki191
   Updated: 2025-03-22    RAS profile: 2021-05-23    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Chris Kirby.

Is cited by:

Diebold, Francis (33)

Bollerslev, Tim (31)

Andersen, Torben (23)

Asai, Manabu (22)

Santos, Andre (16)

Omori, Yasuhiro (16)

Caporin, Massimiliano (15)

Christiansen, Charlotte (14)

Sarno, Lucio (13)

Clements, Adam (13)

Maheu, John (13)

Cites to:

Bollerslev, Tim (21)

Andersen, Torben (16)

Campbell, John (13)

Shephard, Neil (13)

French, Kenneth (12)

Diebold, Francis (10)

Hansen, Lars (9)

Fama, Eugene (9)

Harvey, Campbell (6)

Tauchen, George (5)

Engle, Robert (5)

Main data

Production by document typearticle199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202102.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020210102030Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020210200400600Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 11Most cited documents123456789101112130200400600Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201308201309201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501202502202503051015h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Chris Kirby has published?

Journals with more than one article published# docs
Economics Letters3
The Review of Financial Studies2
Journal of Financial Economics2
Journal of Banking & Finance2
Journal of Finance2
Journal of Financial Econometrics2

Recent works citing Chris Kirby (2025 and 2024)

Year  ↓Title of citing document  ↓
2024A GRU-Based Dynamic Generative Factor Model for CVaR Portfolio Optimization. (2023). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2025Empirical Study on the Factors Influencing Stock Market Volatility in China. (2025). Zhang, Jingchu. In: Papers. RePEc:arx:papers:2501.08668.

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2025Can optimal diversification beat the naive 1/N strategy in a highly correlated market? Empirical evidence from cryptocurrencies. (2025). Chen, Heming. In: Papers. RePEc:arx:papers:2501.12841.

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2024.

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2024Return volatility and trading volume of GameFi. (2024). Shen, Dehua ; Goodell, John W ; Shi, Guiqiang. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000704.

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2024The interplay of CSR, stakeholder interest management, capital budgeting, and firm performance. (2024). Hunjra, Ahmed ; Bouri, Elie ; Colombage, Sisira ; Verhoeven, Peter ; Arunachalam, Murugesh. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000820.

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2024Dynamic CVaR portfolio construction with attention-powered generative factor learning. (2024). Yan, Xing ; Wu, QI ; Sun, Chuting. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188924000137.

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2024Option listing and underlying commodity futures volatility in China. (2024). Guo, Jin ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839.

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2024A comparison of bitcoin futures return and return volatility based on news sentiment contemporaneously or lead-lag. (2024). Chou, Ke-Hsin ; Day, Min-Yuh ; Kao, Yu-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000846.

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2024The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing. (2024). Hung, Jui-Cheng ; Yang, Jimmy J ; Liu, Hung-Chun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001852.

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2024Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Mazouz, Khelifa ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136.

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2024The rising role of artificial intelligence in renewable energy development in China. (2024). Oprean-Stan, Camelia ; Shao, Xuefeng ; Khan, Khalid ; Zhang, Xiaojing. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s014098832400197x.

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2024Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. (2024). Xu, Yongdeng ; Lu, Wenna ; Heravi, Saeed ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004584.

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2024Commodity sectors and factor investment strategies. (2024). Sakemoto, Ryuta ; Nakagawa, Kei. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004253.

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2024Stock market volatility and economic policy uncertainty: New insight into a dynamic threshold mixed-frequency model. (2024). Yang, Hua ; Tang, Yusui ; Zeng, Qing ; Zhang, XI. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010863.

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2024The lead–lag relation between VIX futures and SPX futures. (2024). Kokholm, Thomas ; Bangsgaard, Christine. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000496.

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2024Benefit volatility-targeting strategies in lifetime pension pools. (2024). Begin, Jean-Franois ; Sanders, Barbara. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:72-94.

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2024The equally weighted portfolio still remains a challenging benchmark. (2024). Uberti, Pierpaolo ; Gelmini, Matteo. In: International Economics. RePEc:eee:inteco:v:179:y:2024:i:c:s2110701724000489.

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2024Forecasting Chinese stock market volatility with high-frequency intraday and current return information. (2024). Wang, Yuyao ; Han, Yang ; Wu, Xinyu ; Zhao, AN. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002099.

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2024The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume. (2024). Ku, Yu-Cheng ; Chuang, Hwei-Lin ; Zhao, Kai ; Kao, Yu-Sheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:524-542.

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2024Liquidity and realized volatility prediction in Chinese stock market: A time-varying transitional dynamic perspective. (2024). Ma, Feng ; Liu, Jing ; Xu, Yanyan ; Chu, Jielei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:543-560.

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2024ESG, clean energy, and petroleum futures markets: Asymmetric return connectedness and hedging effectiveness. (2024). Mishra, Sibanjan ; Bhattacherjee, Purba ; Wee, Jung Bum ; Bouri, Elie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003678.

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2024The Federal Reserve’s Quantitative Easing policy and volatility spillovers: Evidence from Australia. (2024). de Mello, Lurion ; Yahyaei, Hamid ; Singh, Abhay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003897.

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2024FinTech and fan tokens: Understanding the risks spillover of digital asset investment. (2024). Pacelli, Vincenzo ; Maci, Giampiero ; Foglia, Matteo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003161.

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2024The football world upside down: Traditional equities as an alternative for the new fan tokens? A portfolio optimization study. (2024). Esparcia, Carlos ; Diaz, Antonio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002897.

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2024Bayesian Inference for Long Memory Stochastic Volatility Models. (2024). Laurini, Márcio ; Chaim, Pedro. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:4:p:35-:d:1530826.

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2024Quantifying the non-Gaussian gain. (2024). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:1:d:10.1057_s41260-023-00338-9.

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2025The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501.

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2024Stocks, Gold and Crude Oil: How Valuable are Volatility and Correlation Timing?. (2024). Zagaglia, Paolo. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:14:y:2024:i:6:f:14_6_5.

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2024Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting. (2024). Opschoor, Anne ; Romero, Laura Capera. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240059.

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2024Can night trading reduce price volatility? Evidence from Chinas corn and corn starch futures markets. (2024). Li, Miao ; Xiong, Tao ; Xia, Weiyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:4:p:585-604.

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2025Optimal Versus Naive Diversification in Commodity Futures Markets. (2025). Schuhmacher, Frank ; Auer, Benjamin R ; Heide, Max. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:1:p:3-22.

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Works by Chris Kirby:

Year  ↓Title  ↓Type  ↓Cited  ↓
2017Capital expenditures and firm performance: evidence from a cross€ sectional analysis of stock returns In: Accounting and Finance.
[Full Text][Citation analysis]		article4
2019Estimating the Cost‐of‐Equity Capital Using Empirical Asset Pricing Models In: International Review of Finance.
[Full Text][Citation analysis]		article0
2001The Economic Value of Volatility Timing In: Journal of Finance.
[Full Text][Citation analysis]		article403
2006Information, Trading, and Volatility: Evidence from Weather‐Sensitive Markets In: Journal of Finance.
[Full Text][Citation analysis]		article31
2012It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article104
2011Regime-switching factor models in which the number of factors defines the regime In: Economics Letters.
[Full Text][Citation analysis]		article2
2006Bootstrap tests of multiple inequality restrictions on variance ratios In: Economics Letters.
[Full Text][Citation analysis]		article3
2006Linear filtering for asymmetric stochastic volatility models In: Economics Letters.
[Full Text][Citation analysis]		article3
2019The value premium and expected business conditions In: Finance Research Letters.
[Full Text][Citation analysis]		article2
2021Short-term reversals, short-term momentum, and news-driven trading activity In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2
2011Long memory in volatility and trading volume In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article64
1998Information and volatility linkages in the stock, bond, and money markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article245
2003The economic value of volatility timing using realized volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]		article302
2013Component-Driven Regime-Switching Volatility In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article5
2003A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility In: Journal of Financial Econometrics.
[Citation analysis]		article34
2020Firm Characteristics, Cross-Sectional Regression Estimates, and Asset Pricing Tests In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]		article2
1997Measuring the Predictable Variation in Stock and Bond Returns. In: The Review of Financial Studies.
[Citation analysis]		article60
1998The Restrictions on Predictability Implied by Rational Asset Pricing Models. In: The Review of Financial Studies.
[Citation analysis]		article41
2006Multivariate Stochastic Volatility Models with Correlated Errors In: Econometric Reviews.
[Full Text][Citation analysis]		article32
2006Stochastic Volatility, Trading Volume, and the Daily Flow of Information In: The Journal of Business.
[Full Text][Citation analysis]		article40
2008The specification of GARCH models with stochastic covariates In: Journal of Futures Markets.
[Full Text][Citation analysis]		article3
2018Income Shifting as an Aspect of Tax Avoidance: Evidence from U.S. Multinational Corporations In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
[Full Text][Citation analysis]		article1

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