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Details about Charlotte Christiansen

Homepage:https://sites.google.com/site/charlottechristiansenaudk/home
Workplace:Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Charlotte Christiansen.

Last updated 2017-03-14. Update your information in the RePEc Author Service.

Short-id: pch215


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Working Papers

2016

  1. Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2016) Downloads

2015

  1. Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
    See also Journal Article in Finance Research Letters (2015)
  2. Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads
  3. Risk-Return Trade-Off for European Stock Markets
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads

    See also Journal Article in International Review of Financial Analysis (2016)

2014

  1. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
    Working Papers, Lund University, Department of Economics Downloads View citations (8)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads View citations (5)

    See also Journal Article in Journal of Financial Econometrics (2016)

2013

  1. Classifying Returns as Extreme: European Stock and Bond Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in International Review of Financial Analysis (2014)
  2. Forecasting US Recessions: The Role of Sentiments
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    See also Journal Article in Journal of Banking & Finance (2014)

2012

  1. A Comprehensive Look at Financial Volatility Prediction by Economic Variables
    BIS Working Papers, Bank for International Settlements Downloads View citations (32)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (3)

    See also Journal Article in Journal of Applied Econometrics (2012)
  2. Integration of European Bond Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Banking & Finance (2014)
  3. Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Empirical Finance (2014)

2011

  1. Predicting Severe Simultaneous Recessions Using Yield Spreads as Leading Indicators
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of International Money and Finance (2013)
  2. Quantiles of the Realized Stock-Bond Correlation
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads
  3. Smooth Transition Patterns in the Realized Stock- Bond Correlation
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (1)

    See also Journal Article in Journal of Empirical Finance (2012)

2010

  1. Intertemporal Risk-Return Trade-off in Foreign Exchange Rates
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2011)
  2. Sign and Quantiles of the Realized Stock-Bond Correlation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  3. The Effects of Marriage and Divorce on Financial Investments: Learning to Love or Hate Risk?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
  4. The Time-Varying Systematic Risk of Carry Trade Strategies
    Working Papers, Swiss National Bank Downloads View citations (2)
    Also in University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen (2009) Downloads View citations (3)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (5)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (8)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2011)

2008

  1. Extreme Coexceedances in New EU Member States' Stock Markets
    Working Papers, Swiss National Bank Downloads View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (6)

    See also Journal Article in Journal of Banking & Finance (2009)
  2. Mean Reversion in US and International Short Rates
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in The North American Journal of Economics and Finance (2010)

2007

  1. Are Economists More Likely to Hold Stocks?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
    See also Journal Article in Review of Finance (2008)
  2. Decomposing European Bond and Equity Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2005) Downloads View citations (2)

    See also Journal Article in International Journal of Finance & Economics (2010)
  3. Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    Also in Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2005) Downloads View citations (1)

    See also Journal Article in International Review of Financial Analysis (2008)

2006

  1. Realized Bond-Stock Correlation: Macroeconomic Announcement Effects
    Working Papers, Swiss National Bank Downloads View citations (9)
    Also in Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2005) Downloads View citations (2)

    See also Journal Article in Journal of Futures Markets (2007)
  2. The Risk-Return Trade-Off in Human Capital Investment
    IZA Discussion Papers, Institute for the Study of Labor (IZA) Downloads View citations (13)
    Also in Economics Working Papers, Department of Economics and Business Economics, Aarhus University (2006) Downloads View citations (4)

    See also Journal Article in Labour Economics (2007)

2005

  1. Do More Economists Hold Stocks?
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2005) Downloads View citations (2)

2003

  1. An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads
  2. Denmark - A chapter on the Danish Bond Market
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads View citations (1)
  3. Multivariate Term Structure Models with Level and Heteroskedasticity Effects
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads View citations (4)
    See also Journal Article in Journal of Banking & Finance (2005)
  4. The Educational Asset Market: A Finance Perspective on Human Capital Investment
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads View citations (1)
    Also in Working Papers, University of Aarhus, Aarhus School of Business, Department of Economics (2002) Downloads View citations (4)
  5. Volatility-Spillover E ffects in European Bond Markets
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads View citations (6)

2002

  1. Regime Switching in the Yield Curve
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads View citations (5)
    See also Journal Article in Journal of Futures Markets (2004)
  2. Revisiting the shape of the yield curve: the effect of interest rate volatility
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads View citations (6)

2001

  1. Long Maturity Forward Rates
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads View citations (2)

2000

  1. Credit Spreads and the Term Structure of Interest Rates
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads View citations (2)
    See also Journal Article in International Review of Financial Analysis (2002)
  2. Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (1)

Journal Articles

2016

  1. Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification
    Journal of Financial Econometrics, 2016, 14, (3), 617-642 Downloads View citations (2)
    See also Working Paper (2014)
  2. Risk-return trade-off for European stock markets
    International Review of Financial Analysis, 2016, 46, (C), 84-103 Downloads
    See also Working Paper (2015)

2015

  1. Effects of macroeconomic uncertainty on the stock and bond markets
    Finance Research Letters, 2015, 13, (C), 10-16 Downloads View citations (5)
    See also Working Paper (2015)
  2. UNDERSTANDING THE EFFECTS OF MARRIAGE AND DIVORCE ON FINANCIAL INVESTMENTS: THE ROLE OF BACKGROUND RISK SHARING
    Economic Inquiry, 2015, 53, (1), 431-447 Downloads

2014

  1. Classifying returns as extreme: European stock and bond markets
    International Review of Financial Analysis, 2014, 34, (C), 1-4 Downloads
    See also Working Paper (2013)
  2. Forecasting US recessions: The role of sentiment
    Journal of Banking & Finance, 2014, 49, (C), 459-468 Downloads View citations (10)
    See also Working Paper (2013)
  3. Integration of European bond markets
    Journal of Banking & Finance, 2014, 42, (C), 191-198 Downloads View citations (13)
    See also Working Paper (2012)
  4. Quantiles of the realized stock–bond correlation and links to the macroeconomy
    Journal of Empirical Finance, 2014, 28, (C), 321-331 Downloads View citations (5)
    See also Working Paper (2012)

2013

  1. Predicting severe simultaneous recessions using yield spreads as leading indicators
    Journal of International Money and Finance, 2013, 32, (C), 1032-1043 Downloads View citations (6)
    See also Working Paper (2011)

2012

  1. A comprehensive look at financial volatility prediction by economic variables
    Journal of Applied Econometrics, 2012, 27, (6), 956-977 View citations (33)
    See also Working Paper (2012)
  2. Smooth transition patterns in the realized stock–bond correlation
    Journal of Empirical Finance, 2012, 19, (4), 454-464 Downloads View citations (5)
    See also Working Paper (2011)

2011

  1. Intertemporal risk-return trade-off in foreign exchange rates
    Journal of International Financial Markets, Institutions and Money, 2011, 21, (4), 535-549 Downloads View citations (3)
    See also Working Paper (2010)
  2. The Time-Varying Systematic Risk of Carry Trade Strategies
    Journal of Financial and Quantitative Analysis, 2011, 46, (04), 1107-1125 Downloads View citations (47)
    See also Working Paper (2010)

2010

  1. Decomposing European bond and equity volatility
    International Journal of Finance & Economics, 2010, 15, (2), 105-122 Downloads View citations (10)
    See also Working Paper (2007)
  2. Mean reversion in US and international short rates
    The North American Journal of Economics and Finance, 2010, 21, (3), 286-296 Downloads View citations (2)
    See also Working Paper (2008)

2009

  1. Extreme coexceedances in new EU member states' stock markets
    Journal of Banking & Finance, 2009, 33, (6), 1048-1057 Downloads View citations (36)
    See also Working Paper (2008)

2008

  1. Are Economists More Likely to Hold Stocks?
    Review of Finance, 2008, 12, (3), 465-496 Downloads View citations (52)
    See also Working Paper (2007)
  2. Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates
    International Review of Financial Analysis, 2008, 17, (5), 925-948 Downloads View citations (3)
    See also Working Paper (2007)

2007

  1. Realized bond—stock correlation: Macroeconomic announcement effects
    Journal of Futures Markets, 2007, 27, (5), 439-469 Downloads View citations (7)
    See also Working Paper (2006)
  2. The risk-return trade-off in human capital investment
    Labour Economics, 2007, 14, (6), 971-986 Downloads View citations (14)
    See also Working Paper (2006)
  3. Volatility-Spillover Effects in European Bond Markets
    European Financial Management, 2007, 13, (5), 923-948 Downloads View citations (55)

2005

  1. Multivariate term structure models with level and heteroskedasticity effects
    Journal of Banking & Finance, 2005, 29, (5), 1037-1057 Downloads View citations (10)
    See also Working Paper (2003)
  2. Variance-in-mean effects of the long forward-rate slope
    Applied Financial Economics, 2005, 15, (11), 753-755 Downloads

2004

  1. Regime switching in the yield curve
    Journal of Futures Markets, 2004, 24, (4), 315-336 Downloads
    See also Working Paper (2002)

2003

  1. Testing the expectations hypothesis using long-maturity forward rates
    Economics Letters, 2003, 78, (2), 175-180 Downloads View citations (8)

2002

  1. Credit spreads and the term structure of interest rates
    International Review of Financial Analysis, 2002, 11, (3), 279-295 Downloads View citations (3)
    See also Working Paper (2000)
 
Page updated 2017-05-23