Details about Charlotte Christiansen

Access statistics for papers by Charlotte Christiansen.

Last updated 2021-01-15. Update your information in the RePEc Author Service.

Short-id: pch215

Working Papers

2020

1. Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
2. Uncertainty and Downside Risk in International Stock Returns
   Working Papers, Universitat Rovira i Virgili, Department of Economics

2019

3. The Economic Value of VIX ETPs
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article in Journal of Empirical Finance (2020)

2018

4. 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)
5. Mutual Fund Selection for Realistically Short Samples
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article in Journal of Empirical Finance (2020)
6. 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

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

2016

9. Credit Constraints, Growth and Inequality Dynamics
   Working Papers, University of Pretoria, Department of Economics View citations (3)
10. 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 (1)

2015

11. Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (17)
    See also Journal Article in Finance Research Letters (2015)
12. 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)
13. 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

14. 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 in Journal of Financial Econometrics (2016)

2013

15. 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)
16. 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

17. A Comprehensive Look at Financial Volatility Prediction by Economic Variables
    BIS Working Papers, Bank for International Settlements View citations (87)
    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)
18. 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)
19. 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

20. 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)
21. Quantiles of the Realized Stock-Bond Correlation
    Working Papers, Universitat Rovira i Virgili, Department of Economics
22. 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

23. 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)
24. Sign and Quantiles of the Realized Stock-Bond Correlation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
25. 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 (3)
26. The Time-Varying Systematic Risk of Carry Trade Strategies
    Working Papers, Swiss National Bank View citations (4)
    Also in 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)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (8)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2011)

2008

27. 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)
28. 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

29. Are Economists More Likely to Hold Stocks?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    See also Journal Article in Review of Finance (2008)
30. 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)
31. 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

32. 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)
33. 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

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

2003

35. 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
36. 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)
37. 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)
38. 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)
39. 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

40. 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 in Journal of Futures Markets (2004)
41. 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 (8)

2001

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

2000

43. 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)
44. 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

2020

1. Flight-to-safety and the risk-return trade-off: European evidence
   Finance Research Letters, 2020, 35, (C)
2. Mutual fund selection for realistically short samples
   Journal of Empirical Finance, 2020, 55, (C), 218-240 View citations (1)
   See also Working Paper (2018)
3. The economic value of VIX ETPs
   Journal of Empirical Finance, 2020, 58, (C), 121-138
   See also Working Paper (2019)

2019

4. Idiosyncratic volatility puzzle: influence of macro-finance factors
   Review of Quantitative Finance and Accounting, 2019, 52, (2), 381-401
   See also Working Paper (2015)
5. Negative house price co-movements and US recessions
   Regional Science and Urban Economics, 2019, 77, (C), 382-394 View citations (3)
6. Predicting bond betas using macro-finance variables
   Finance Research Letters, 2019, 29, (C), 193-199
   See also Working Paper (2018)

2016

7. 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 (15)
   See also Working Paper (2014)
8. Risk-return trade-off for European stock markets
   International Review of Financial Analysis, 2016, 46, (C), 84-103 View citations (8)
   See also Working Paper (2015)

2015

9. Effects of macroeconomic uncertainty on the stock and bond markets
   Finance Research Letters, 2015, 13, (C), 10-16 View citations (17)
   See also Working Paper (2015)
10. 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 (5)

2014

11. 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)
12. Forecasting US recessions: The role of sentiment
    Journal of Banking & Finance, 2014, 49, (C), 459-468 View citations (48)
    See also Working Paper (2013)
13. Integration of European bond markets
    Journal of Banking & Finance, 2014, 42, (C), 191-198 View citations (26)
    See also Working Paper (2012)
14. Quantiles of the realized stock–bond correlation and links to the macroeconomy
    Journal of Empirical Finance, 2014, 28, (C), 321-331 View citations (16)
    See also Working Paper (2012)

2013

15. 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

16. A comprehensive look at financial volatility prediction by economic variables
    Journal of Applied Econometrics, 2012, 27, (6), 956-977 View citations (88)
    See also Working Paper (2012)
17. Smooth transition patterns in the realized stock–bond correlation
    Journal of Empirical Finance, 2012, 19, (4), 454-464 View citations (18)
    See also Working Paper (2011)

2011

18. Intertemporal risk-return trade-off in foreign exchange rates
    Journal of International Financial Markets, Institutions and Money, 2011, 21, (4), 535-549 View citations (5)
    See also Working Paper (2010)
19. The Time-Varying Systematic Risk of Carry Trade Strategies
    Journal of Financial and Quantitative Analysis, 2011, 46, (4), 1107-1125 View citations (83)
    See also Working Paper (2010)

2010

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

2009

22. Extreme coexceedances in new EU member states' stock markets
    Journal of Banking & Finance, 2009, 33, (6), 1048-1057 View citations (43)
    See also Working Paper (2008)

2008

23. Are Economists More Likely to Hold Stocks?
    Review of Finance, 2008, 12, (3), 465-496 View citations (81)
    See also Working Paper (2007)
24. 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

25. Realized bond—stock correlation: Macroeconomic announcement effects
    Journal of Futures Markets, 2007, 27, (5), 439-469 View citations (18)
    See also Working Paper (2006)
26. The risk-return trade-off in human capital investment
    Labour Economics, 2007, 14, (6), 971-986 View citations (18)
    See also Working Paper (2006)
27. Volatility‐Spillover Effects in European Bond Markets
    European Financial Management, 2007, 13, (5), 923-948 View citations (86)

2005

28. 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)
29. Variance-in-mean effects of the long forward-rate slope
    Applied Financial Economics, 2005, 15, (11), 753-755 View citations (1)

2004

30. Regime switching in the yield curve
    Journal of Futures Markets, 2004, 24, (4), 315-336 View citations (2)
    See also Working Paper (2002)

2003

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

2002

32. 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)