Details about Charlotte Christiansen
Access statistics for papers by Charlotte Christiansen.
Last updated 2019-08-05. Update your information in the RePEc Author Service.
Short-id: pch215
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Working Papers
2018
- Flight to Safety from 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 (2017) View citations (1)
- Mutual Fund Selection for Realistically Short Samples
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
- 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 in Finance Research Letters (2019)
2017
- Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
- Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
2016
- Credit Constraints, Growth and Inequality Dynamics
Working Papers, University of Pretoria, Department of Economics
- 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
2015
- Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (14)
See also Journal Article in Finance Research Letters (2015)
- 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 in Review of Quantitative Finance and Accounting (2019)
- 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 in International Review of Financial Analysis (2016)
2014
- Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Working Papers, Lund University, Department of Economics View citations (13)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (7)
See also Journal Article in Journal of Financial Econometrics (2016)
2013
- Classifying Returns as Extreme: European Stock and Bond Markets
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
See also Journal Article in International Review of Financial Analysis (2014)
- Forecasting US Recessions: The Role of Sentiments
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
See also Journal Article in Journal of Banking & Finance (2014)
2012
- A Comprehensive Look at Financial Volatility Prediction by Economic Variables
BIS Working Papers, Bank for International Settlements View citations (52)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (3)
See also Journal Article in Journal of Applied Econometrics (2012)
- Integration of European Bond Markets
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
See also Journal Article in Journal of Banking & Finance (2014)
- Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
See also Journal Article in Journal of Empirical Finance (2014)
2011
- 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 in Journal of International Money and Finance (2013)
- Quantiles of the Realized Stock-Bond Correlation
Working Papers, Universitat Rovira i Virgili, Department of Economics
- 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 (1)
See also Journal Article in Journal of Empirical Finance (2012)
2010
- Intertemporal Risk-Return Trade-off in Foreign Exchange Rates
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
See also Journal Article in Journal of International Financial Markets, Institutions and Money (2011)
- Sign and Quantiles of the Realized Stock-Bond Correlation
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
- 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 (2)
- The Time-Varying Systematic Risk of Carry Trade Strategies
Working Papers, Swiss National Bank View citations (4)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (8)
University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen (2009) View citations (3)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (5)
See also Journal Article in Journal of Financial and Quantitative Analysis (2011)
2008
- Extreme Coexceedances in New EU Member States' Stock Markets
Working Papers, Swiss National Bank View citations (1)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (6)
See also Journal Article in Journal of Banking & Finance (2009)
- Mean Reversion in US and International Short Rates
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
See also Journal Article in The North American Journal of Economics and Finance (2010)
2007
- Are Economists More Likely to Hold Stocks?
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
See also Journal Article in Review of Finance (2008)
- Decomposing European Bond and Equity Volatility
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
Also in Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2005) View citations (2)
See also Journal Article in International Journal of Finance & Economics (2010)
- 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 (4)
Also in Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2005) View citations (1)
See also Journal Article in International Review of Financial Analysis (2008)
2006
- 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 (3)
See also Journal Article in Journal of Futures Markets (2007)
- The Risk-Return Trade-Off in Human Capital Investment
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (14)
See also Journal Article in Labour Economics (2007)
2005
- Do More Economists Hold Stocks?
Economics Working Papers, Department of Economics and Business Economics, Aarhus University
Also in Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2005) View citations (2)
2003
- 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
- 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)
- 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 in Journal of Banking & Finance (2005)
- 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 (1)
Also in Working Papers, University of Aarhus, Aarhus School of Business, Department of Economics (2002) View citations (4)
- 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
- Regime Switching in the Yield Curve
Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (5)
See also Journal Article in Journal of Futures Markets (2004)
- 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 (7)
2001
- Long Maturity Forward Rates
Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (2)
2000
- 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 in International Review of Financial Analysis (2002)
- 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
2019
- Idiosyncratic volatility puzzle: influence of macro-finance factors
Review of Quantitative Finance and Accounting, 2019, 52, (2), 381-401
See also Working Paper (2015)
- Predicting bond betas using macro-finance variables
Finance Research Letters, 2019, 29, (C), 193-199
See also Working Paper (2018)
2016
- 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 (11)
See also Working Paper (2014)
- Risk-return trade-off for European stock markets
International Review of Financial Analysis, 2016, 46, (C), 84-103 View citations (3)
See also Working Paper (2015)
2015
- Effects of macroeconomic uncertainty on the stock and bond markets
Finance Research Letters, 2015, 13, (C), 10-16 View citations (14)
See also Working Paper (2015)
- 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 (2)
2014
- Classifying returns as extreme: European stock and bond markets
International Review of Financial Analysis, 2014, 34, (C), 1-4 View citations (1)
See also Working Paper (2013)
- Forecasting US recessions: The role of sentiment
Journal of Banking & Finance, 2014, 49, (C), 459-468 View citations (29)
See also Working Paper (2013)
- Integration of European bond markets
Journal of Banking & Finance, 2014, 42, (C), 191-198 View citations (22)
See also Working Paper (2012)
- Quantiles of the realized stock–bond correlation and links to the macroeconomy
Journal of Empirical Finance, 2014, 28, (C), 321-331 View citations (12)
See also Working Paper (2012)
2013
- Predicting severe simultaneous recessions using yield spreads as leading indicators
Journal of International Money and Finance, 2013, 32, (C), 1032-1043 View citations (7)
See also Working Paper (2011)
2012
- A comprehensive look at financial volatility prediction by economic variables
Journal of Applied Econometrics, 2012, 27, (6), 956-977 View citations (53)
See also Working Paper (2012)
- Smooth transition patterns in the realized stock–bond correlation
Journal of Empirical Finance, 2012, 19, (4), 454-464 View citations (12)
See also Working Paper (2011)
2011
- Intertemporal risk-return trade-off in foreign exchange rates
Journal of International Financial Markets, Institutions and Money, 2011, 21, (4), 535-549 View citations (4)
See also Working Paper (2010)
- The Time-Varying Systematic Risk of Carry Trade Strategies
Journal of Financial and Quantitative Analysis, 2011, 46, (04), 1107-1125 View citations (70)
See also Working Paper (2010)
2010
- Decomposing European bond and equity volatility
International Journal of Finance & Economics, 2010, 15, (2), 105-122 View citations (12)
See also Working Paper (2007)
- Mean reversion in US and international short rates
The North American Journal of Economics and Finance, 2010, 21, (3), 286-296 View citations (2)
See also Working Paper (2008)
2009
- Extreme coexceedances in new EU member states' stock markets
Journal of Banking & Finance, 2009, 33, (6), 1048-1057 View citations (39)
See also Working Paper (2008)
2008
- Are Economists More Likely to Hold Stocks?
Review of Finance, 2008, 12, (3), 465-496 View citations (72)
See also Working Paper (2007)
- 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 (3)
See also Working Paper (2007)
2007
- Realized bond—stock correlation: Macroeconomic announcement effects
Journal of Futures Markets, 2007, 27, (5), 439-469 View citations (15)
See also Working Paper (2006)
- The risk-return trade-off in human capital investment
Labour Economics, 2007, 14, (6), 971-986 View citations (17)
See also Working Paper (2006)
- Volatility‐Spillover Effects in European Bond Markets
European Financial Management, 2007, 13, (5), 923-948 View citations (75)
2005
- Multivariate term structure models with level and heteroskedasticity effects
Journal of Banking & Finance, 2005, 29, (5), 1037-1057 View citations (14)
See also Working Paper (2003)
- Variance-in-mean effects of the long forward-rate slope
Applied Financial Economics, 2005, 15, (11), 753-755 View citations (1)
2004
- Regime switching in the yield curve
Journal of Futures Markets, 2004, 24, (4), 315-336 View citations (2)
See also Working Paper (2002)
2003
- Testing the expectations hypothesis using long-maturity forward rates
Economics Letters, 2003, 78, (2), 175-180 View citations (8)
2002
- Credit spreads and the term structure of interest rates
International Review of Financial Analysis, 2002, 11, (3), 279-295 View citations (4)
See also Working Paper (2000)
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