Chris Kirby : Citation Profile

Are you Chris Kirby?

University of North Carolina-Charlotte

10

H index

10

i10 index

1325

Citations

RESEARCH PRODUCTION:

20

Articles

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 55
   Journals where Chris Kirby has often published
   Relations with other researchers
   Recent citing documents: 92.    Total self citations: 7 (0.53 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pki191
   Updated: 2024-12-03    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)

Omori, Yasuhiro (16)

Caporin, Massimiliano (15)

Christiansen, Charlotte (14)

Santos, Andre (13)

Maheu, John (13)

Sarno, Lucio (13)

Clements, Adam (13)

Cites to:

Bollerslev, Tim (21)

Andersen, Torben (16)

Shephard, Neil (13)

Campbell, John (13)

French, Kenneth (12)

Diebold, Francis (10)

Hansen, Lars (9)

Fama, Eugene (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
The Review of Financial Studies2
Journal of Financial Economics2
Journal of Financial Econometrics2
Journal of Banking & Finance2

Recent works citing Chris Kirby (2024 and 2023)

YearTitle of citing document
2023Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644.

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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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2023Bayesian Optimization of ESG Financial Investments. (2023). Vaca, Maria Coronado ; Piris, Gabriel Gonz'Alez ; Garrido-Merch, Eduardo C. In: Papers. RePEc:arx:papers:2303.01485.

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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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2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023Do capital expenditures influence earnings performance: Evidence from loss?making firms. (2021). Bose, Sudipta ; Saha, Amitav ; Kim, Sungsoo. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:2539-2575.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2023Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27.

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2023The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018.

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2023Probability distortions, collectivism, and international stock prices. (2023). Sejdiu, Vulnet ; Hollstein, Fabian. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000503.

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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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2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512.

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2023The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074.

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2023Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735.

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2023Forecasting stock return volatility in data-rich environment: A new powerful predictor. (2023). Li, Tingyu ; Zhang, Xiaotong ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001802.

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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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2023Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications. (2023). Wang, Bin ; Kim, Jihyun ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1934-1954.

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2023Strategic trading with information acquisition and long-memory stochastic liquidity. (2023). Kennedy, Adrian Patrick ; Ma, Guiyuan ; Li, Xiaolong ; Han, Jinhui. In: European Journal of Operational Research. RePEc:eee:ejores:v:308:y:2023:i:1:p:480-495.

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2023Expected returns and risk in the stock market. (2023). Taylor, Alex P ; Brennan, M J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:276-300.

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2023When “time varying” volatility meets “transaction cost” in portfolio selection. (2023). Li, E ; Wen, T ; Liao, Y ; Gibberd, A ; Bu, D ; Qiao, W. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:220-237.

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2023Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292.

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2023The effects of economic uncertainty on financial volatility: A comprehensive investigation. (2023). Wang, Tianyi ; Zhang, Cong ; Huang, Zhuo ; Tong, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:369-389.

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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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2023Sovereign bonds and flight to safety: Implications of the COVID-19 crisis for sovereign debt markets in the G-7 and E-7 economies. (2023). Toan, Luu Duc ; Ghabri, Yosra ; Lan, Thi Ngoc ; Nasir, Muhammad Ali. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000649.

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2023U.S. leveraged loan and debt markets: Implications for optimal portfolio and hedging. (2023). Lee, Chien-Chiang ; Tiwari, Aviral Kumar ; Nasreen, Samia ; Aikins, Emmanuel Joel. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000303.

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2023Do green bond and green stock markets boom and bust together? Evidence from China. (2023). Dai, Liang ; Guo, Dawei ; Su, Xianfang. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002600.

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2023State transformation of information spillover in asset markets and effective dynamic hedging strategies. (2023). Tsai, I-Chun ; Lin, Che-Chun ; Wang, Yu-Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002880.

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2023Optimal trend-following with transaction costs. (2023). Giner, Javier ; Zakamulin, Valeriy. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004441.

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2023Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures. (2023). Reh, Laura ; Hartkopf, Jan Patrick. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005019.

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2023Economic evaluation of dynamic hedging strategies using high-frequency data. (2023). Lai, Yu-Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006025.

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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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2023Recency bias and the cross-section of international stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000069.

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2023Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic. (2023). Elsayed, Ahmed ; Helmi, Mohamad Husam ; Ahmed, Habib. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000525.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2023Forecasting crude oil market volatility using variable selection and common factor. (2023). Wang, Yudong ; Wahab, M. I. M., ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:486-502.

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2023The sum of all fears: Forecasting international returns using option-implied risk measures. (2023). Toupin, Dominique ; Power, Gabriel J ; Gagnon, Marie-Helene. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002813.

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2023The effect of uncertainty on stock market volatility and correlation. (2023). Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097.

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2023A credit-based theory of the currency risk premium. (2023). , Ella ; Jeanneret, Alexandre ; della Corte, Pasquale. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:473-496.

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2023Cross-border capital flows and information spillovers across the equity and currency markets in emerging economies. (2023). Demirer, Riza ; Ferrer, Roman ; Bathia, Deven ; Raheem, Ibrahim D. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s0261560623001493.

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2023A Bayesian perspective on commodity style integration. (2023). Zhao, Nan ; Fuertes, Ana-Maria. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000181.

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2023The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed ; Chen, Shengming. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723005032.

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2023Does short-term momentum exist in China?. (2023). Ruan, Xinfeng ; Li, Tianjiao ; Yue, Tian. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002153.

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2023Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications. (2023). Kang, Sang Hoon ; Vo, Xuan Vinh ; Aslan, Aylin ; Mensi, Walid. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:219-232.

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2023Are categorical EPU indices predictable for carbon futures volatility? Evidence from the machine learning method. (2023). Liang, Chao ; Huang, Dengshi ; Guo, Xiaozhu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:672-693.

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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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2023Financial market spillovers and macroeconomic shocks: Evidence from China. (2023). Guo, Kun ; Wu, Jie ; Liu, Yue ; Feng, Haoyuan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000879.

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2023Effects of family ownership and family management on the performance of entrepreneurial firms. (2023). Wellalage, Nirosha Hewa ; Reddy, Krishna. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923001034.

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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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2023Inflation, Equity Market Volatility, and Bond Prices: Evidence from G7 Countries. (2023). Chiang, Thomas Chinan ; Chen, Yu-Fen ; Lin, Fu-Lai. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:11:p:191-:d:1271970.

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2023The Eligibility of Green Bonds as Safe Haven Assets: A Systematic Review. (2023). Aassouli, Dalal ; Khamis, Munir. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:8:p:6841-:d:1126691.

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2023RISK-ADJUSTED PERFORMANCE AND SEMI-MOMENTS OF NON-GAUSSIAN PORTFOLIO RETURNS DISTRIBUTIONS. (2023). Kamdem, Jules Sadefo. In: Working Papers. RePEc:hal:wpaper:hal-04134833.

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2023Volatility Puzzle: Long Memory or Antipersistency. (2023). Yu, Jun ; Shi, Shuping. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:3861-3883.

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2023The Determinants of Volatility Timing Performance. (2023). Taylor, Nick. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:4:p:1228-1257..

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2023Market Timing and Predictability in FX Markets. (2023). Tran, Ngoc-Khanh ; To, Thuy-Duong ; Maurer, Thomas A. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:1:p:223-246..

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2023On the Economic Significance of Stock Return Predictability*. (2023). Odoherty, Michael S ; Johnson, Travis L ; Cederburg, Scott. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:2:p:619-657..

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2023Macroeconomic News and Stock–Bond Comovement*. (2023). Duffee, Gregory R. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:5:p:1859-1882..

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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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2023Volatility linkages and value gains from diversifying with Islamic assets. (2023). Jahromi, Maria ; Akhtar, Shumi ; John, Kose. In: Journal of International Business Studies. RePEc:pal:jintbs:v:54:y:2023:i:8:d:10.1057_s41267-023-00641-y.

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2023Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India. (2023). Ledwani, Sanket ; Iyer, Vishwanathan ; Chakraborty, Suman. In: MPRA Paper. RePEc:pra:mprapa:117067.

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2023Relative Signed Jump and Future Stock Returns. (2023). Ullah, Wali ; Sharif, Saqib ; Rehman, Seema. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2023:i:1:p:25-45.

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2023Information loss in volatility measurement with flat price trading. (2023). Yu, Jun ; Phillips, Peter. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02353-y.

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2023The determinants of liquidity commonality in the Euro-area sovereign bond market. (2023). Jiang, XU ; Panagiotou, Panagiotis ; Gavilan, Angel. In: The European Journal of Finance. RePEc:taf:eurjfi:v:29:y:2023:i:10:p:1144-1186.

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2023Do investors gain from forecasting the asymmetric return co?movements of financial and real assets?. (2021). Power, Gabriel J ; Poshakwale, Sunil S ; Mandal, Anandadeep. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3246-3268.

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2023Time‐Varying Parameter Realized Volatility Models. (2017). Wang, Yudong ; Wu, Chongfeng ; Pan, Zhiyuan. In: Journal of Forecasting. RePEc:wly:jforec:v:36:y:2017:i:5:p:566-580.

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2023Policy uncertainty and stock market volatility revisited: The predictive role of signal quality. (2023). Salisu, Afees ; Demirer, Riza ; Gupta, Rangan. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:8:p:2307-2321.

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2023Modeling skewness in portfolio choice. (2023). Markellos, Raphael ; Kourtis, Apostolos ; Le, Trung H. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:734-770.

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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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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]		article3
2001The Economic Value of Volatility Timing In: Journal of Finance.
[Full Text][Citation analysis]		article391
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]		article102
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]		article62
1998Information and volatility linkages in the stock, bond, and money markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article244
2003The economic value of volatility timing using realized volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]		article293
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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