Chris Kirby : Citation Profile

University of North Carolina-Charlotte

11

H index

11

i10 index

1448

Citations

RESEARCH PRODUCTION:

22

Articles

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 60
   Journals where Chris Kirby has often published
   Relations with other researchers
   Recent citing documents: 98.    Total self citations: 7 (0.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pki191
   Updated: 2025-12-27    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)

Asai, Manabu (24)

Andersen, Torben (23)

Caporin, Massimiliano (17)

Omori, Yasuhiro (16)

Santos, Andre (16)

Clements, Adam (15)

Christiansen, Charlotte (14)

Maheu, John (13)

Wang, Yudong (13)

Cites to:

Bollerslev, Tim (21)

Andersen, Torben (16)

Campbell, John (13)

Shephard, Neil (13)

French, Kenneth (12)

Diebold, Francis (10)

Fama, Eugene (9)

Hansen, Lars (9)

Harvey, Campbell (6)

Yu, Jun (5)

Engle, Robert (5)

Main data

Where Chris Kirby has published?

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

Recent works citing Chris Kirby (2025 and 2024)

YearTitle of citing document
2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343544.

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2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Chavas, Jean-Paul ; Li, Jian. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343544.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2024Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning. (2024). 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. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models. (2024). Younas, Zahid I ; Jeleskovic, Vahidin ; Koch, Dennis. In: Papers. RePEc:arx:papers:2401.03393.

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2024Regularizing stock return covariance matrices via multiple testing of correlations. (2024). Luger, Richard. In: Papers. RePEc:arx:papers:2407.09696.

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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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2025Impact of the COVID-19 pandemic on the financial market efficiency of price returns, absolute returns, and volatility increment: Evidence from stock and cryptocurrency markets. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2504.18960.

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2025The Exploratory Multi-Asset Mean-Variance Portfolio Selection using Reinforcement Learning. (2025). Wu, Yuhan ; Li, YU ; Zhang, Shuhua. In: Papers. RePEc:arx:papers:2505.07537.

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2025Multifractality and sample size influence on Bitcoin volatility patterns. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2511.03314.

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2024A Multifactor Perspective on Volatility‐Managed Portfolios. (2024). Uppal, Raman ; Martnutrera, Alberto ; Demiguel, Victor. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:3859-3891.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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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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2025Financial market responses to the policy language of forward guidance: Evidence from China. (2025). Wang, Yulong ; Nie, LI ; Shi, Kai. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:317-335.

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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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2025Estimation and forecast of carbon emission market volatility based on model averaging method. (2025). Wang, Qianchao ; Li, Yong. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s026499932400333x.

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2025Improving minimum-variance portfolio through shrinkage of large covariance matrices. (2025). Shu, Lianjie ; Shi, Fangquan ; Huang, Wenpo ; He, Fangyi. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003389.

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2025Predicting cryptocurrency volatility: The power of model clustering. (2025). Qu, Shaoguang ; Qiu, Yue ; Xie, Tian ; Shi, Zhentao. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003432.

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2024A comparison of bitcoin futures return and return volatility based on news sentiment contemporaneously or lead-lag. (2024). Kao, Yu-Sheng ; Day, Min-Yuh ; Chou, Ke-Hsin. 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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2025Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967.

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2025Indirect and direct forecasting of volatility-timing portfolios. (2025). Xie, Xiaodu. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176524006268.

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2025Testing liquidity: A statistical theory based on asset staleness. (2025). Trapin, Luca ; Pollastri, Alessandro ; Pirino, Davide. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:23-40.

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2025Dynamic financial connectedness among the US, China, and countries of the Belt and Road Initiative. (2025). Winkelried, Diego ; Bazn-Palomino, Walter. In: Emerging Markets Review. RePEc:eee:ememar:v:66:y:2025:i:c:s1566014125000354.

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2024Instantaneous volatility of the yield curve, variance risk premium and bond return predictability. (2024). Yin, Ximing ; Yang, GE. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000252.

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2024Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio. (2024). Chen, Chen ; Stivers, Chris ; Sun, Licheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000902.

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2025On the performance of volatility-managed equity factors — International and further evidence. (2025). Schwarz, Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s092753982400094x.

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2025Market neutrality and beta crashes. (2025). Xu, Xia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001117.

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2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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2024Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Guan, Bo ; Mazouz, Khelifa. 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 ; Zhang, Xiaojing ; Khan, Khalid. 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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2025Information linkages across countries around net zero announcements. (2025). Linnenluecke, Martina ; Rajabi, Mona Mashhadi ; Smith, Tom. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007710.

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2025The interplay of carbon offset, renewable energy certificate and electricity markets in Australia. (2025). Kuruppuarachchi, Duminda ; Diaz-Rainey, Ivan ; Liao, Ling. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001677.

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2025Market perspective on climate actions and clean energy transition. (2025). Xia, Qinqin. In: Energy Policy. RePEc:eee:enepol:v:198:y:2025:i:c:s0301421524004907.

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2025Market efficiency across intra-daily sampling frequencies for Brent crude oil futures. (2025). Ewald, Christian-Oliver ; Haugom, Erik ; Smith-Meyer, Erik. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925005113.

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2024Gold market volatility and REITs returns during tranquil and turbulent episodes. (2024). Salisu, Afees ; Hammed, Yinka S ; Akinsomi, Omokolade ; Ametefe, Frank Kwakutse. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002801.

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2024VIX-managed portfolios. (2024). Boovi, Milo. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002850.

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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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2025Conditional currency momentum portfolios. (2025). Sakemoto, Ryuta ; Iwanaga, Yasuhiro. In: International Review of Financial Analysis. RePEc:eee:finana:v:99:y:2025:i:c:s1057521925000511.

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

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2025Multifractality and sample size influence on Bitcoin volatility patterns. (2025). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:74:y:2025:i:c:s1544612324017124.

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2025Forecasting volatility in commodity markets with climate risk. (2025). Tang, Yusui ; Zhou, Ling ; Peng, Pei ; Guo, Yangli. In: Finance Research Letters. RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325003575.

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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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2024COVID-19 and time-frequency spillovers between oil and sectoral stocks and portfolio implications: Evidence from China and US economies. (2024). Vo, Xuan Vinh ; Kang, Sang Hoon ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed. In: International Economics. RePEc:eee:inteco:v:180:y:2024:i:c:s2110701724000775.

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2025Predicting the equity premium around the globe: Comprehensive evidence from a large sample. (2025). Tharann, Bjrn ; Simen, Chardin Wese ; Hollstein, Fabian ; Prokopczuk, Marcel. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:208-228.

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2025The contribution of realized variance–covariance models to the economic value of volatility timing. (2025). Xu, Yongdeng ; Bauwens, Luc. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1165-1183.

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2025The volatility puzzle of the beta anomaly. (2025). Barroso, Pedro ; Detzel, Andrew ; Maio, Paulo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:165:y:2025:i:c:s0304405x25000029.

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2025Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization. (2025). Lai, Yu-Sheng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000236.

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2024Mapping fear in financial markets: Insights from dynamic networks and centrality measures. (2024). Mohnot, Rajesh ; Arfaoui, Nadia ; Naeem, Muhammad Abubakr ; Senthilkumar, Arunachalam. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24001197.

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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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2025What drives the ‘synchrony’ and ‘asynchrony’ between Chinas stock and bond markets? An adaptive Lasso-DCC-MIDAS model. (2025). Deng, Yang ; Zhang, Yilin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:101:y:2025:i:c:s1059056025003697.

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2025Which assets are safe havens? Evidence from 13 stock market downturns. (2025). Cheema, Muhammad A ; Sarwar, Sirajum Munira ; Ryan, Michael. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025005271.

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2024The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume. (2024). Kao, Yu-Sheng ; Ku, Yu-Cheng ; Zhao, Kai ; Chuang, Hwei-Lin. 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). Xu, Yanyan ; Liu, Jing ; Chu, Jielei ; Ma, Feng. 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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2024Natural resources and sustainable development: Evidence from the dynamic correlation between crude oil and gold market. (2024). Zhang, Xincheng ; Wu, Shaojiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006579.

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2024Modeling dynamic higher-order comoments for portfolio selection based on copula approach. (2024). Ke, Rui ; Yang, Dong ; Wang, Yanfeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006609.

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2025Extreme temperature shocks and firms’ financial distress. (2025). Yang, Xin ; Lv, Shumei ; Huang, Chuangxia ; Cao, Jie ; Liu, Xinheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025001091.

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

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2024Deciphering asymmetric spillovers in US industries: Insights from higher-order moments. (2024). Shafiullah, Muhammad ; lucey, brian ; Naeem, Muhammad Abubakr ; Senthilkumar, Arunachalam. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001065.

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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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2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

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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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2025Environmental, Social and Governance-Valued Portfolio Optimization and Dynamic Asset Pricing. (2025). Lauria, Davide ; Lindquist, Brent W ; Mittnik, Stefan ; Rachev, Svetlozar T. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:3:p:153-:d:1611712.

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2024Connectedness of Carbon Price and Energy Price under Shocks: A Study Based on Positive and Negative Price Volatility. (2024). Chang, Zhijia ; Yu, BO. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:12:p:5226-:d:1418235.

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2024Scenario Generation for Financial Data with a Machine Learning Approach Based on Realized Volatility and Copulas. (2024). Valle, Cristiano Arbex ; Mesquita, Caio Mario ; Machado, Adriano Cesar. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:5:d:10.1007_s10614-023-10387-2.

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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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2024Technology investments and firm performance under the wave of InsurTech. (2024). , Vincent. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:49:y:2024:i:3:d:10.1057_s41288-023-00286-w.

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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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2024Short-term volatility timing: a cross-country study. (2024). Boubaker, Sabri ; Bekiros, Stelios ; Vidal, Marta ; Vidal-Garca, Javier. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:3:d:10.1007_s10479-022-04998-5.

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2025Dynamic asset allocation with asset-specific regime forecasts. (2025). Mulvey, John M ; Yu, Chenyu ; Shu, Yizhan. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06266-0.

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2024Research on the effectiveness of the volatility–tail risk-managed portfolios in China’s market. (2024). Jia, Guangyan ; Li, Yihan ; Guo, Zirui. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:3:d:10.1007_s00181-023-02493-9.

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2024Forecasting the equity premium using weighted regressions: Does the jump variation help?. (2024). Zhang, Yaojie ; Wang, Yudong. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02521-8.

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2025Baidu News and the return volatility of Chinese commodity futures: evidence for the sequential information arrival hypothesis. (2025). Xiong, Xiong ; Ma, Junjun ; Zhang, Yuzhao ; Zhao, Ruwei. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00753-4.

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2024Rough Volatility: Fact or Artefact?. (2024). Cont, Rama ; Das, Purba. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:86:y:2024:i:1:d:10.1007_s13571-024-00322-2.

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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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2025Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment. (2025). Romero, Laura Capera ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250041.

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2024Firm Adaptation to Climate Risk in the Developing World. (2024). Kahn, Matthew Edwin ; Grover, Arti Goswami. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:10797.

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2025The implications of non‐synchronous trading in G‐7 financial markets. (2025). Kenourgios, Dimitris ; Dimitriou, Dimitrios ; Tsioutsios, Alexandros ; Simos, Theodore. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:1:p:689-709.

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2025Partial index tracking enhanced mean–variance portfolio. (2025). Cui, Zhenyu ; Simaan, Majeed ; Cai, Zhaokun. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1206-1224.

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2025How do the reserve currency and uncertainties in major markets affect the uncertainty of oil prices over time?. (2025). Soytas, Ugur ; Kocaarslan, Baris. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:2016-2041.

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2024Forecasting realized volatility of crude oil futures prices based on machine learning. (2024). Walther, Thomas ; Ji, Qiang ; Klein, Tony ; Luo, Jiawen. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1422-1446.

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2025Forecasting Chinese Stock Market Volatility With Volatilities in Bond Markets. (2025). Zhang, Yaojie ; He, Mengxi ; Lei, Likun. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:547-555.

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2025Forecasting Realized Volatility: The Choice of Window Size. (2025). Zhang, Yaojie ; Feng, Yuqing. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:692-705.

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2024Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures. (2024). Zhang, Qun ; Luo, Jiawen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:151-217.

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2024Can night trading reduce price volatility? Evidence from Chinas corn and corn starch futures markets. (2024). Xia, Weiyi ; Xiong, Tao ; Li, Miao. 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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2025Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?. (2025). Zhang, Xueer ; Chiu, Chienliang ; Hung, Juicheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:4:p:326-342.

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2025Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets. (2025). Li, Zeguang ; Liu, Jianmin ; Yu, Arthur ; Putnam, Bluford. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:5:p:407-428.

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Works by Chris Kirby:

YearTitleTypeCited
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]		article417
2006Information, Trading, and Volatility: Evidence from Weather‐Sensitive Markets In: Journal of Finance.
[Full Text][Citation analysis]		article34
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]		article112
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]		article3
2011Long memory in volatility and trading volume In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article66
1998Information and volatility linkages in the stock, bond, and money markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article258
2003The economic value of volatility timing using realized volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]		article321
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]		article35
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]		article34
2006Stochastic Volatility, Trading Volume, and the Daily Flow of Information In: The Journal of Business.
[Full Text][Citation analysis]		article42
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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