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 Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)

Access statistics for papers by Charlotte Christiansen.

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

Short-id: pch215

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Working Papers

2020

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

2019

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 (7) (2020)

2018

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)
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)
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

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

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 Classifying returns as extreme: European stock and bond markets, International Review of Financial Analysis, Elsevier (2014) View citations (2) (2014)
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 (73) (2014)

2012

A Comprehensive Look at Financial Volatility Prediction by Economic Variables
BIS Working Papers, Bank for International Settlements View citations (191)
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 (183) (2012)
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 (45) (2014)
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

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)
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 (3)
See also Journal Article Smooth transition patterns in the realized stock–bond correlation, Journal of Empirical Finance, Elsevier (2012) View citations (30) (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 Intertemporal risk-return trade-off in foreign exchange rates, Journal of International Financial Markets, Institutions and Money, Elsevier (2011) View citations (7) (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 (5)
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)
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 The Time-Varying Systematic Risk of Carry Trade Strategies, Journal of Financial and Quantitative Analysis, Cambridge University Press (2011) View citations (117) (2011)

2008

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 (49) (2009)
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

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 (98) (2008)
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 (20) (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 (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

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)
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 (23) (2007)

2005

Do More Economists Hold Stocks?
Economics Working 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 (4)

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 Multivariate term structure models with level and heteroskedasticity effects, Journal of Banking & Finance, Elsevier (2005) View citations (17) (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 (2)
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 (6)
See also Journal Article Regime switching in the yield curve, Journal of Futures Markets, John Wiley & Sons, Ltd. (2004) View citations (2) (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 (10)

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 Credit spreads and the term structure of interest rates, International Review of Financial Analysis, Elsevier (2002) View citations (5) (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

2023

Households' investments in socially responsible mutual funds
The Quarterly Review of Economics and Finance, 2023, 87, (C), 46-67 View citations (2)
The effect of uncertainty on stock market volatility and correlation
Journal of Banking & Finance, 2023, 154, (C) View citations (10)

2021

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)
Quantile Risk–Return Trade-Off
JRFM, 2021, 14, (6), 1-14

2020

Flight-to-safety and the risk-return trade-off: European evidence
Finance Research Letters, 2020, 35, (C) View citations (7)
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)
The economic value of VIX ETPs
Journal of Empirical Finance, 2020, 58, (C), 121-138 View citations (7)
See also Working Paper The Economic Value of VIX ETPs, CREATES Research Papers (2019) (2019)

2019

Idiosyncratic volatility puzzle: influence of macro-finance factors
Review of Quantitative Finance and Accounting, 2019, 52, (2), 381-401 View citations (3)
See also Working Paper Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors, Working Papers (2015) (2015)
Negative house price co-movements and US recessions
Regional Science and Urban Economics, 2019, 77, (C), 382-394 View citations (11)
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

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 (25)
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)
Risk-return trade-off for European stock markets
International Review of Financial Analysis, 2016, 46, (C), 84-103 View citations (18)
See also Working Paper Risk-Return Trade-Off for European Stock Markets, Working Papers (2015) (2015)

2015

Effects of macroeconomic uncertainty on the stock and bond markets
Finance Research Letters, 2015, 13, (C), 10-16 View citations (42)
See also Working Paper Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets, CREATES Research Papers (2015) View citations (42) (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 (14)

2014

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)
Forecasting US recessions: The role of sentiment
Journal of Banking & Finance, 2014, 49, (C), 459-468 View citations (73)
See also Working Paper Forecasting US Recessions: The Role of Sentiments, CREATES Research Papers (2013) View citations (8) (2013)
Integration of European bond markets
Journal of Banking & Finance, 2014, 42, (C), 191-198 View citations (45)
See also Working Paper Integration of European Bond Markets, CREATES Research Papers (2012) (2012)
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

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

A comprehensive look at financial volatility prediction by economic variables
Journal of Applied Econometrics, 2012, 27, (6), 956-977 View citations (183)
See also Working Paper A Comprehensive Look at Financial Volatility Prediction by Economic Variables, BIS Working Papers (2012) View citations (191) (2012)
Smooth transition patterns in the realized stock–bond correlation
Journal of Empirical Finance, 2012, 19, (4), 454-464 View citations (30)
See also Working Paper Smooth Transition Patterns in the Realized Stock- Bond Correlation, Working Papers (2011) (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 (7)
See also Working Paper Intertemporal Risk-Return Trade-off in Foreign Exchange Rates, CREATES Research Papers (2010) (2010)
The Time-Varying Systematic Risk of Carry Trade Strategies
Journal of Financial and Quantitative Analysis, 2011, 46, (4), 1107-1125 View citations (117)
See also Working Paper The Time-Varying Systematic Risk of Carry Trade Strategies, Working Papers (2010) View citations (5) (2010)

2010

Decomposing European bond and equity volatility
International Journal of Finance & Economics, 2010, 15, (2), 105-122 View citations (20)
See also Working Paper Decomposing European Bond and Equity Volatility, CREATES Research Papers (2007) View citations (2) (2007)
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

Extreme coexceedances in new EU member states' stock markets
Journal of Banking & Finance, 2009, 33, (6), 1048-1057 View citations (49)
See also Working Paper Extreme Coexceedances in New EU Member States' Stock Markets, Working Papers (2008) View citations (2) (2008)

2008

Are Economists More Likely to Hold Stocks?
Review of Finance, 2008, 12, (3), 465-496 View citations (98)
See also Working Paper Are Economists More Likely to Hold Stocks?, CREATES Research Papers (2007) View citations (11) (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 (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

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)
The risk-return trade-off in human capital investment
Labour Economics, 2007, 14, (6), 971-986 View citations (23)
See also Working Paper The Risk-Return Trade-Off in Human Capital Investment, Economics Working Papers (2006) View citations (7) (2006)
Volatility‐Spillover Effects in European Bond Markets
European Financial Management, 2007, 13, (5), 923-948 View citations (105)

2005

Multivariate term structure models with level and heteroskedasticity effects
Journal of Banking & Finance, 2005, 29, (5), 1037-1057 View citations (17)
See also Working Paper Multivariate Term Structure Models with Level and Heteroskedasticity Effects, Finance Working Papers (2003) View citations (4) (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 Regime Switching in the Yield Curve, Finance Working Papers (2002) View citations (6) (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 (5)
See also Working Paper Credit Spreads and the Term Structure of Interest Rates, Finance Working Papers (2000) View citations (2) (2000)

Undated

Value-at-risk using the factor-ARCH model
Journal of Risk