Details about Charlotte Christiansen

Access statistics for papers by Charlotte Christiansen.

Last updated 2024-04-06. Update your information in the RePEc Author Service.

Short-id: pch215

Working Papers

2020

1. Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
   See also Journal Article Long- and short-run components of factor betas: Implications for stock pricing, Journal of International Financial Markets, Institutions and Money, Elsevier (2021) View citations (1) (2021)
2. Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
3. Uncertainty and Downside Risk in International Stock Returns
   Working Papers, Universitat Rovira i Virgili, Department of Economics

2019

4. The Economic Value of VIX ETPs
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article The economic value of VIX ETPs, Journal of Empirical Finance, Elsevier (2020) View citations (4) (2020)

2018

5. Flight to Safety from European Stock Markets
   Working Papers, Universitat Rovira i Virgili, Department of Economics View citations (1)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (3)
6. Mutual Fund Selection for Realistically Short Samples
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Mutual fund selection for realistically short samples, Journal of Empirical Finance, Elsevier (2020) View citations (2) (2020)
7. Predicting Bond Betas using Macro-Finance Variables
   Working Papers, Universitat Rovira i Virgili, Department of Economics
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017)
   See also Journal Article Predicting bond betas using macro-finance variables, Finance Research Letters, Elsevier (2019) View citations (2) (2019)

2017

8. Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
9. Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2016

10. Credit Constraints, Growth and Inequality Dynamics
    Working Papers, University of Pretoria, Department of Economics View citations (5)
11. 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 View citations (2)

2015

12. Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (36)
    See also Journal Article Effects of macroeconomic uncertainty on the stock and bond markets, Finance Research Letters, Elsevier (2015) View citations (30) (2015)
13. Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors
    Working Papers, Universitat Rovira i Virgili, Department of Economics
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014)
    See also Journal Article Idiosyncratic volatility puzzle: influence of macro-finance factors, Review of Quantitative Finance and Accounting, Springer (2019) View citations (2) (2019)
14. Risk-Return Trade-Off for European Stock Markets
    Working Papers, Universitat Rovira i Virgili, Department of Economics
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013)
    See also Journal Article Risk-return trade-off for European stock markets, International Review of Financial Analysis, Elsevier (2016) View citations (17) (2016)

2014

15. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
    Working Papers, Lund University, Department of Economics View citations (16)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (7)
    See also Journal Article Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification, Journal of Financial Econometrics, Oxford University Press (2016) View citations (24) (2016)

2013

16. Classifying Returns as Extreme: European Stock and Bond Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article Classifying returns as extreme: European stock and bond markets, International Review of Financial Analysis, Elsevier (2014) View citations (2) (2014)
17. Forecasting US Recessions: The Role of Sentiments
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)
    See also Journal Article Forecasting US recessions: The role of sentiment, Journal of Banking & Finance, Elsevier (2014) View citations (70) (2014)

2012

18. A Comprehensive Look at Financial Volatility Prediction by Economic Variables
    BIS Working Papers, Bank for International Settlements View citations (172)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (4)
    See also Journal Article A comprehensive look at financial volatility prediction by economic variables, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012) View citations (166) (2012)
19. Integration of European Bond Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article Integration of European bond markets, Journal of Banking & Finance, Elsevier (2014) View citations (42) (2014)
20. Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article Quantiles of the realized stock–bond correlation and links to the macroeconomy, Journal of Empirical Finance, Elsevier (2014) View citations (27) (2014)

2011

21. Predicting Severe Simultaneous Recessions Using Yield Spreads as Leading Indicators
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article Predicting severe simultaneous recessions using yield spreads as leading indicators, Journal of International Money and Finance, Elsevier (2013) View citations (11) (2013)
22. Quantiles of the Realized Stock-Bond Correlation
    Working Papers, Universitat Rovira i Virgili, Department of Economics
23. Smooth Transition Patterns in the Realized Stock- Bond Correlation
    Working Papers, Universitat Rovira i Virgili, Department of Economics
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (3)
    See also Journal Article Smooth transition patterns in the realized stock–bond correlation, Journal of Empirical Finance, Elsevier (2012) View citations (28) (2012)

2010

24. Intertemporal Risk-Return Trade-off in Foreign Exchange Rates
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article Intertemporal risk-return trade-off in foreign exchange rates, Journal of International Financial Markets, Institutions and Money, Elsevier (2011) View citations (7) (2011)
25. Sign and Quantiles of the Realized Stock-Bond Correlation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
26. 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 View citations (5)
27. The Time-Varying Systematic Risk of Carry Trade Strategies
    Working Papers, Swiss National Bank View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (8)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (5)
    University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen (2009) View citations (3)
    See also Journal Article The Time-Varying Systematic Risk of Carry Trade Strategies, Journal of Financial and Quantitative Analysis, Cambridge University Press (2011) View citations (114) (2011)

2008

28. Extreme Coexceedances in New EU Member States' Stock Markets
    Working Papers, Swiss National Bank View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (6)
    See also Journal Article Extreme coexceedances in new EU member states' stock markets, Journal of Banking & Finance, Elsevier (2009) View citations (48) (2009)
29. Mean Reversion in US and International Short Rates
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article Mean reversion in US and international short rates, The North American Journal of Economics and Finance, Elsevier (2010) View citations (5) (2010)

2007

30. Are Economists More Likely to Hold Stocks?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (11)
    See also Journal Article Are Economists More Likely to Hold Stocks?, Review of Finance, European Finance Association (2008) View citations (94) (2008)
31. Decomposing European Bond and Equity Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2005) View citations (3)
    See also Journal Article Decomposing European bond and equity volatility, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2010) View citations (19) (2010)
32. 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 View citations (5)
    Also in Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2005) View citations (4)
    See also Journal Article Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates, International Review of Financial Analysis, Elsevier (2008) View citations (4) (2008)

2006

33. Realized Bond-Stock Correlation: Macroeconomic Announcement Effects
    Working Papers, Swiss National Bank View citations (9)
    Also in Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2005) View citations (6)
    See also Journal Article Realized bond—stock correlation: Macroeconomic announcement effects, Journal of Futures Markets, John Wiley & Sons, Ltd. (2007) View citations (22) (2007)
34. The Risk-Return Trade-Off in Human Capital Investment
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (14)
    See also Journal Article The risk-return trade-off in human capital investment, Labour Economics, Elsevier (2007) View citations (22) (2007)

2005

35. Do More Economists Hold Stocks?
    Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (4)
    Also in Economics Working Papers, Department of Economics and Business Economics, Aarhus University (2005) View citations (4)

2003

36. 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
37. Denmark - A chapter on the Danish Bond Market
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (1)
38. Multivariate Term Structure Models with Level and Heteroskedasticity Effects
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (4)
    See also Journal Article Multivariate term structure models with level and heteroskedasticity effects, Journal of Banking & Finance, Elsevier (2005) View citations (16) (2005)
39. 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 View citations (2)
    Also in Working Papers, University of Aarhus, Aarhus School of Business, Department of Economics (2002) View citations (4)
40. Volatility-Spillover E ffects in European Bond Markets
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (6)

2002

41. Regime Switching in the Yield Curve
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (6)
    See also Journal Article Regime switching in the yield curve, Journal of Futures Markets, John Wiley & Sons, Ltd. (2004) View citations (2) (2004)
42. 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 View citations (9)

2001

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

2000

44. Credit Spreads and the Term Structure of Interest Rates
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (2)
    See also Journal Article Credit spreads and the term structure of interest rates, International Review of Financial Analysis, Elsevier (2002) View citations (5) (2002)
45. 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

2023

1. Households' investments in socially responsible mutual funds
   The Quarterly Review of Economics and Finance, 2023, 87, (C), 46-67 View citations (1)
2. The effect of uncertainty on stock market volatility and correlation
   Journal of Banking & Finance, 2023, 154, (C) View citations (3)

2021

3. Long- and short-run components of factor betas: Implications for stock pricing
   Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) View citations (1)
   See also Working Paper Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing, IRTG 1792 Discussion Papers (2020) (2020)
4. Quantile Risk–Return Trade-Off
   JRFM, 2021, 14, (6), 1-14

2020

5. Flight-to-safety and the risk-return trade-off: European evidence
   Finance Research Letters, 2020, 35, (C) View citations (3)
6. Mutual fund selection for realistically short samples
   Journal of Empirical Finance, 2020, 55, (C), 218-240 View citations (2)
   See also Working Paper Mutual Fund Selection for Realistically Short Samples, CREATES Research Papers (2018) (2018)
7. The economic value of VIX ETPs
   Journal of Empirical Finance, 2020, 58, (C), 121-138 View citations (4)
   See also Working Paper The Economic Value of VIX ETPs, CREATES Research Papers (2019) (2019)

2019

8. Idiosyncratic volatility puzzle: influence of macro-finance factors
   Review of Quantitative Finance and Accounting, 2019, 52, (2), 381-401 View citations (2)
   See also Working Paper Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors, Working Papers (2015) (2015)
9. Negative house price co-movements and US recessions
   Regional Science and Urban Economics, 2019, 77, (C), 382-394 View citations (7)
10. Predicting bond betas using macro-finance variables
    Finance Research Letters, 2019, 29, (C), 193-199 View citations (2)
    See also Working Paper Predicting Bond Betas using Macro-Finance Variables, Working Papers (2018) (2018)

2016

11. Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification
    Journal of Financial Econometrics, 2016, 14, (3), 617-642 View citations (24)
    See also Working Paper Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification, Working Papers (2014) View citations (16) (2014)
12. Risk-return trade-off for European stock markets
    International Review of Financial Analysis, 2016, 46, (C), 84-103 View citations (17)
    See also Working Paper Risk-Return Trade-Off for European Stock Markets, Working Papers (2015) (2015)

2015

13. Effects of macroeconomic uncertainty on the stock and bond markets
    Finance Research Letters, 2015, 13, (C), 10-16 View citations (30)
    See also Working Paper Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets, CREATES Research Papers (2015) View citations (36) (2015)
14. UNDERSTANDING THE EFFECTS OF MARRIAGE AND DIVORCE ON FINANCIAL INVESTMENTS: THE ROLE OF BACKGROUND RISK SHARING
    Economic Inquiry, 2015, 53, (1), 431-447 View citations (11)

2014

15. Classifying returns as extreme: European stock and bond markets
    International Review of Financial Analysis, 2014, 34, (C), 1-4 View citations (2)
    See also Working Paper Classifying Returns as Extreme: European Stock and Bond Markets, CREATES Research Papers (2013) (2013)
16. Forecasting US recessions: The role of sentiment
    Journal of Banking & Finance, 2014, 49, (C), 459-468 View citations (70)
    See also Working Paper Forecasting US Recessions: The Role of Sentiments, CREATES Research Papers (2013) View citations (8) (2013)
17. Integration of European bond markets
    Journal of Banking & Finance, 2014, 42, (C), 191-198 View citations (42)
    See also Working Paper Integration of European Bond Markets, CREATES Research Papers (2012) (2012)
18. Quantiles of the realized stock–bond correlation and links to the macroeconomy
    Journal of Empirical Finance, 2014, 28, (C), 321-331 View citations (27)
    See also Working Paper Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy, CREATES Research Papers (2012) View citations (2) (2012)

2013

19. Predicting severe simultaneous recessions using yield spreads as leading indicators
    Journal of International Money and Finance, 2013, 32, (C), 1032-1043 View citations (11)
    See also Working Paper Predicting Severe Simultaneous Recessions Using Yield Spreads as Leading Indicators, CREATES Research Papers (2011) (2011)

2012

20. A comprehensive look at financial volatility prediction by economic variables
    Journal of Applied Econometrics, 2012, 27, (6), 956-977 View citations (166)
    See also Working Paper A Comprehensive Look at Financial Volatility Prediction by Economic Variables, BIS Working Papers (2012) View citations (172) (2012)
21. Smooth transition patterns in the realized stock–bond correlation
    Journal of Empirical Finance, 2012, 19, (4), 454-464 View citations (28)
    See also Working Paper Smooth Transition Patterns in the Realized Stock- Bond Correlation, Working Papers (2011) (2011)

2011

22. Intertemporal risk-return trade-off in foreign exchange rates
    Journal of International Financial Markets, Institutions and Money, 2011, 21, (4), 535-549 View citations (7)
    See also Working Paper Intertemporal Risk-Return Trade-off in Foreign Exchange Rates, CREATES Research Papers (2010) (2010)
23. The Time-Varying Systematic Risk of Carry Trade Strategies
    Journal of Financial and Quantitative Analysis, 2011, 46, (4), 1107-1125 View citations (114)
    See also Working Paper The Time-Varying Systematic Risk of Carry Trade Strategies, Working Papers (2010) View citations (5) (2010)

2010

24. Decomposing European bond and equity volatility
    International Journal of Finance & Economics, 2010, 15, (2), 105-122 View citations (19)
    See also Working Paper Decomposing European Bond and Equity Volatility, CREATES Research Papers (2007) View citations (2) (2007)
25. Mean reversion in US and international short rates
    The North American Journal of Economics and Finance, 2010, 21, (3), 286-296 View citations (5)
    See also Working Paper Mean Reversion in US and International Short Rates, CREATES Research Papers (2008) View citations (2) (2008)

2009

26. Extreme coexceedances in new EU member states' stock markets
    Journal of Banking & Finance, 2009, 33, (6), 1048-1057 View citations (48)
    See also Working Paper Extreme Coexceedances in New EU Member States' Stock Markets, Working Papers (2008) View citations (2) (2008)

2008

27. Are Economists More Likely to Hold Stocks?
    Review of Finance, 2008, 12, (3), 465-496 View citations (94)
    See also Working Paper Are Economists More Likely to Hold Stocks?, CREATES Research Papers (2007) View citations (11) (2007)
28. 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 View citations (4)
    See also Working Paper Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates, CREATES Research Papers (2007) View citations (5) (2007)

2007

29. Realized bond—stock correlation: Macroeconomic announcement effects
    Journal of Futures Markets, 2007, 27, (5), 439-469 View citations (22)
    See also Working Paper Realized Bond-Stock Correlation: Macroeconomic Announcement Effects, Working Papers (2006) View citations (9) (2006)
30. The risk-return trade-off in human capital investment
    Labour Economics, 2007, 14, (6), 971-986 View citations (22)
    See also Working Paper The Risk-Return Trade-Off in Human Capital Investment, Economics Working Papers (2006) View citations (7) (2006)
31. Volatility‐Spillover Effects in European Bond Markets
    European Financial Management, 2007, 13, (5), 923-948 View citations (101)

2005

32. Multivariate term structure models with level and heteroskedasticity effects
    Journal of Banking & Finance, 2005, 29, (5), 1037-1057 View citations (16)
    See also Working Paper Multivariate Term Structure Models with Level and Heteroskedasticity Effects, Finance Working Papers (2003) View citations (4) (2003)
33. Variance-in-mean effects of the long forward-rate slope
    Applied Financial Economics, 2005, 15, (11), 753-755 View citations (1)

2004

34. Regime switching in the yield curve
    Journal of Futures Markets, 2004, 24, (4), 315-336 View citations (2)
    See also Working Paper Regime Switching in the Yield Curve, Finance Working Papers (2002) View citations (6) (2002)

2003

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

2002

36. Credit spreads and the term structure of interest rates
    International Review of Financial Analysis, 2002, 11, (3), 279-295 View citations (5)
    See also Working Paper Credit Spreads and the Term Structure of Interest Rates, Finance Working Papers (2000) View citations (2) (2000)