Chris W Kirby

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Numerous studies report that standard volatility models have low explanatory power, leading some researchers to question whether these models have economic value. We examine this question by using conditional mean-variance analysis to assess the value of volatility timing to short-horizon investors. We nd that the volatility timing strategies outperform the(More)
Recent work suggests that intradaily returns can be used to construct estimates of daily return volatility that are more precise than those constructed using daily returns. We measure the economic value of this “realized” volatility approach in the context of investment decisions. Our results indicate that the value of switching from daily to intradaily(More)
The need to understand and measure the determinants of market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and the fairness of market maker rents. This study develops a simple, parsimonious model for the market maker’s spread that accounts for the effects of price discreteness induced by minimum tick size,(More)
DeMiguel et al. (2009) report that näıve diversification dominates mean-variance optimization in out-of-sample asset allocation tests. Our analysis suggests that this is largely due to their research design, which focuses on mean-variance efficient portfolios that are subject to high estimation risk and extreme turnover. We find that mean-variance(More)
Early cleavage stage human embryos and 8-cell mouse embryos were snap-frozen after a brief exposure to high concentrations of dimethyl sulfoxide (DMSO; 2 or 3.5 M) and 0.25 M sucrose and thawed in a warm water bath. Eleven of 12 3- to 8-cell human embryos survived freezing and thawing with more than 50% of their original blastomeres intact. However,(More)
Lignans are a class of diphenolic nonsteroidal phytoestrogens often found glycosylated in planta. Flax seeds are a rich source of secoisolariciresinol diglucoside (SDG) lignans. Glycosylation is a process by which a glycosyl group is covalently attached to an aglycone substrate and is catalyzed by uridine diphosphate glycosyltransferases (UGTs). Until now,(More)
The authors describe a rapid freezing method (ultrarapid freezing) that has been developed for cryopreservation of early cleavage stage embryos. In the present experiments, 2-cell mouse embryos were frozen under a wide range of conditions in an attempt to optimize their survival and viability in vitro and in vivo. The experiments show that embryos exposed(More)
The survival, fertilization, development, and viability in vitro and in vivo of unfertilized mouse eggs frozen by slow cooling to -36 degrees C or -80 degrees C in 1.5 M dimethyl sulphoxide (DMSO) was examined in a series of experiments which explored some of the problems in freezing the egg. DMSO was added to the eggs at either room temperature or at 0(More)
Vitrification of mouse oocytes adversely affected the subsequent developmental potential of embryos and fetuses derived from the fertilization of such oocytes after thawing. Only 5% of oocytes vitrified formed viable fetuses on the 15th day of gestation as compared to 47% in the controls. The incidence of chromosomally aneuploid zygotes, derived from(More)
We have previously shown that lipophilic components (LPC) of the brown seaweed Ascophyllum nodosum (ANE) improved freezing tolerance in Arabidopsis thaliana. However, the mechanism(s) of this induced freezing stress tolerance is largely unknown. Here, we investigated LPC induced changes in the transcriptome and metabolome of A. thaliana undergoing freezing(More)