Charlotte Christiansen

Aarhus University - CREATES

Fuglesangs Alle 4

Aarhus V, DK 8210

Denmark

SCHOLARLY PAPERS

39

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13,189

CITATIONS
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207

Scholarly Papers (39)

1.

Revisiting the Shape of the Yield Curve: The Effect of Interest Rate Volatility

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 30 Posted: 21 Mar 2001
Charlotte Christiansen and Jesper Lund
Aarhus University - CREATES and affiliation not provided to SSRN
Downloads 1,622 (10,048)
Citation 8

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Multivariate GARCH-M,Short-Rate Volatility,Yield Curve Curvature,Yield Curve Shape, Yield Curve Slope

The Time-Varying Systematic Risk of Carry Trade Strategies

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 26 Posted: 23 Apr 2009 Last Revised: 11 Jun 2013
Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 1,288 (14,202)
Citation 5

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carry trade, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas

The Time-Varying Systematic Risk of Carry Trade Strategies

Number of pages: 35 Posted: 14 Mar 2010
Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 284 (105,050)
Citation 2

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carry trades, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas

The Time-Varying Systematic Risk of Carry Trade Strategies

CEPR Discussion Paper No. DP7345
Number of pages: 33 Posted: 26 Aug 2009
Charlotte Christiansen, Angelo Ranaldo and Paul Söderlind
Aarhus University - CREATES, University of St. Gallen and University of St. Gallen
Downloads 4 (640,739)
Citation 62
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carry trade, factor model, smooth transition regression, time-varying betas

Value at Risk Using the Factor-Arch Model

Number of pages: 31 Posted: 16 Aug 1998
Charlotte Christiansen
Aarhus University - CREATES
Downloads 1,274 (14,443)
Citation 1

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Value at Risk Using the Factor-Arch Model

Journal of Risk, Vol. 1, No. 2, 1999
Posted: 28 Mar 2000
Charlotte Christiansen
Aarhus University - CREATES

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A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Number of pages: 45 Posted: 10 Jan 2011 Last Revised: 06 Mar 2012
Charlotte Christiansen, Maik Schmeling and Andreas Schrimpf
Aarhus University - CREATES, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 876 (25,426)
Citation 2

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Realized volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

BIS Working Paper No. 374
Number of pages: 47 Posted: 07 Mar 2012
Charlotte Christiansen, Maik Schmeling and Andreas Schrimpf
Aarhus University - CREATES, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 207 (144,848)
Citation 28

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Realised volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty

5.

Credit Spreads and the Term Structure of Interest Rates

Department of Finance, The Aarhus School of Business
Number of pages: 22 Posted: 16 Oct 2000
Charlotte Christiansen
Aarhus University - CREATES
Downloads 686 (36,213)
Citation 2

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6.

Implied Volatility of Interest Rate Options: An Empirical Application of the Market Model

Number of pages: 40 Posted: 09 Dec 1999
Charlotte Christiansen and Charlotte Strunk Hansen
Aarhus University - CREATES and Platinum Grove Asset Management L.P.
Downloads 664 (37,818)
Citation 2

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7.

The Risk-Return Trade-Off in Human Capital Investment

IZA Discussion Paper No. 1962, University of Aarhus Department of Economics Working Paper No. 2006-2
Number of pages: 41 Posted: 20 Feb 2006
Charlotte Christiansen, Helena Skyt Nielsen and Juanna Schrøter Joensen
Aarhus University - CREATES, Aarhus University - Department of Economics and Business and University of Chicago
Downloads 532 (50,510)
Citation 22

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educational choice, efficient frontier, human capital investment, mean-variance

8.

Macroeconomic Announcement Effects on the Covariance Structure of Bond Returns

EFA 0026
Number of pages: 38 Posted: 14 May 1999
Charlotte Christiansen
Aarhus University - CREATES
Downloads 449 (62,490)
Citation 12

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9.

Realized Bond-Stock Correlation: Macroeconomic Announcement Effects

Number of pages: 31 Posted: 10 Mar 2006
Charlotte Christiansen and Angelo Ranaldo
Aarhus University - CREATES and University of St. Gallen
Downloads 443 (63,506)
Citation 20

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Bond-stock correlation, Macroeconomic announcements, Realized correlation, Realized volatility

10.

Fiction or Fact: Systematic Gender Differences in Financial Investments?

EFA 2007 Ljubljana Meetings Paper
Number of pages: 14 Posted: 30 Nov 2006 Last Revised: 08 Nov 2017
Charlotte Christiansen, Jesper Rangvid and Juanna Schrøter Joensen
Aarhus University - CREATES, Copenhagen Business School and University of Chicago
Downloads 386 (74,887)
Citation 1

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Stock market participation, Bond market participation, Gender, Portfolio Choice

11.

Forecasting US Recessions: The Role of Sentiment

Number of pages: 46 Posted: 22 Feb 2013 Last Revised: 15 Sep 2014
Charlotte Christiansen, Jonas N. Eriksen and Stig Vinther Møller
Aarhus University - CREATES, Aarhus University and CREATES and Aarhus University - CREATES
Downloads 309 (96,381)
Citation 11

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business cycles, forecasting, factor analysis, probit model, sentiment variables

12.
Downloads 278 (108,008)
Citation 23

Volatility-Spillover Effects in European Bond Markets

Number of pages: 51 Posted: 15 Sep 2003
Charlotte Christiansen
Aarhus University - CREATES
Downloads 266 (112,565)
Citation 9

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Euro Introduction, Government Bonds, Integration of Bond Markets, International Bond Markets, Volatility Spillover

Volatility-Spillover Effects in European Bond Markets

European Financial Management, Vol. 13, No. 5, pp. 923-948, November 2007
Number of pages: 26 Posted: 26 Oct 2007
Charlotte Christiansen
Aarhus University - CREATES
Downloads 12 (584,762)
Citation 26
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13.

Regime Switching in the Yield Curve

Number of pages: 27 Posted: 24 Feb 2002
Charlotte Christiansen
Aarhus University - CREATES
Downloads 273 (110,148)
Citation 3

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Interest rate variance, Regime switching, SWARCH, Yield curve, Yield curve slope

14.

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification

Number of pages: 38 Posted: 12 Apr 2014 Last Revised: 04 Nov 2015
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 251 (120,189)
Citation 4

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DCC-MIDAS model; Long-run correlation; Macro-finance variables; Stock-bond correlation

15.
Downloads 239 (126,294)
Citation 59

Are Economists More Likely to Hold Stocks?

EFA 2006 Zurich Meetings Paper, Aarhus University Economics Paper No. 2005-06
Number of pages: 35 Posted: 18 Apr 2005
Charlotte Christiansen, Jesper Rangvid and Juanna Schrøter Joensen
Aarhus University - CREATES, Copenhagen Business School and University of Chicago
Downloads 239 (125,802)
Citation 59

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Investor Education, Portfolio Choice, Stock Market Participation

Are Economists More Likely to Hold Stocks?

Review of Finance, Vol. 12, No. 3, pp. 465-496, 2008
Posted: 08 Aug 2008
Charlotte Christiansen, Juanna Schrøter Joensen and Jesper Rangvid
Aarhus University - CREATES, University of Chicago and Copenhagen Business School

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Understanding the Effects of Marriage and Divorce on Financial Investments: The Role of Background Risk Sharing

Number of pages: 35 Posted: 03 Sep 2010 Last Revised: 14 Mar 2014
Charlotte Christiansen, Juanna Schrøter Joensen and Jesper Rangvid
Aarhus University - CREATES, University of Chicago and Copenhagen Business School
Downloads 214 (140,345)
Citation 2

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Gender, Marriage and divorce, Stock market participation, Portfolio choice, Labor income risk sharing

Understanding the Effects of Marriage and Divorce on Financial Investments: The Role of Background Risk Sharing

Economic Inquiry, Vol. 53, Issue 1, pp. 431-447, 2015
Number of pages: 17 Posted: 21 Nov 2014
Charlotte Christiansen, Juanna Schrøter Joensen and Jesper Rangvid
Aarhus University - CREATES, University of Chicago and Copenhagen Business School
Downloads 0
Citation 2
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17.

Decomposing European Bond and Equity Volatility

Number of pages: 33 Posted: 30 Jun 2004
Charlotte Christiansen
Aarhus University - CREATES
Downloads 213 (141,310)
Citation 14

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European Asset Markets, Euro, GARCH, Integration of Financial Markets

18.

Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation

Number of pages: 47 Posted: 22 Mar 2018 Last Revised: 09 May 2019
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 196 (152,793)

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Economic Policy Uncertainty Index, Mixed Data Sampling, Stock Market Correlation, Stock Market Volatility, Asymmetry

19.

Effects of Macroeconomic Uncertainty on the Stock and Bond Markets

Number of pages: 14 Posted: 24 Mar 2015 Last Revised: 26 Mar 2015
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 194 (154,245)
Citation 3

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DCC-MIDAS model; GARCH-MIDAS model; Macroeconomic uncertainty index; Stock-bond correlation; Stock volatility; Bond volatility

Smooth Transition Patterns in the Realized Stock Bond Correlation

Number of pages: 29 Posted: 26 Apr 2010 Last Revised: 16 Apr 2012
Nektarios Aslanidis and Charlotte Christiansen
Universitat Rovira Virgili and Aarhus University - CREATES
Downloads 127 (221,346)
Citation 2

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realized stock-bond correlation, smooth transition regressions, correlation regimes, VIX index

Smooth Transition Patterns in the Realized Stock Bond Correlation

CREATES Research Paper 2010-15
Number of pages: 29 Posted: 27 Apr 2010 Last Revised: 16 Apr 2012
Nektarios Aslanidis and Charlotte Christiansen
Universitat Rovira Virgili and Aarhus University - CREATES
Downloads 60 (357,038)
Citation 7

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realized stock-bond correlation, smooth transition regressions, correlation regimes, VIX index

21.

Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors

Number of pages: 32 Posted: 21 Nov 2014 Last Revised: 09 Nov 2017
Universitat Rovira Virgili, Aarhus University - CREATES, Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 186 (160,240)

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Idiosyncratic volatility puzzle; Macro-finance factors; Business cycle

22.

Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy

Number of pages: 35 Posted: 01 Sep 2010 Last Revised: 12 Mar 2014
Nektarios Aslanidis and Charlotte Christiansen
Universitat Rovira Virgili and Aarhus University - CREATES
Downloads 170 (173,631)
Citation 9

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Realized stock-bond correlation, Quantile regressions, Macro-finance variables, Factor analysis

23.

Multivariate Term Structure Models with Level and Heteroskedasticity Effects

Number of pages: 29 Posted: 22 Oct 2002
Charlotte Christiansen
Aarhus University - CREATES
Downloads 165 (178,169)
Citation 3

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Heteroskedasticity effects, Level effects, Multivariate level-GARCH model, Two-factor term structure model

Intertemporal Risk-Return Trade-Off in Foreign Exchange Rates

Number of pages: 26 Posted: 10 May 2010 Last Revised: 21 Jan 2011
Charlotte Christiansen
Aarhus University - CREATES
Downloads 95 (272,691)
Citation 3

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Foreign exchange rates, Risk-return trade-off, Realized volatility, Realized skewness, Value-at-risk, Financial crisis

Intertemporal Risk-Return Trade-Off in Foreign Exchange Rates

CREATES Research Paper No. 2010-20
Number of pages: 27 Posted: 12 May 2010
Charlotte Christiansen
Aarhus University - CREATES
Downloads 56 (369,645)

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Foreign exchange rates, Risk-return trade-off, Realized volatility, Realized skewness, Value-at-risk, Financial crisis

25.

Risk-Return Trade-Off for European Stock Markets

Number of pages: 58 Posted: 29 Jul 2013 Last Revised: 31 Jan 2015
Nektarios Aslanidis, Charlotte Christiansen and Christos S. Savva
Universitat Rovira Virgili, Aarhus University - CREATES and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 145 (198,491)
Citation 5

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European stock markets; Factor model; Macro-finance predictors; Markov switching model; Quantile regressions; Risk-return trade-off

26.

Long Maturity Forward Rates

Number of pages: 33 Posted: 20 Sep 2001
Charlotte Christiansen
Aarhus University - CREATES
Downloads 144 (199,549)

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Expectations Hypothesis, Forward Rate Curve, Long Maturity, Volatility

27.

Integration of European Bond Markets

Number of pages: 25 Posted: 10 Jul 2012 Last Revised: 02 Jan 2014
Charlotte Christiansen
Aarhus University - CREATES
Downloads 133 (212,715)
Citation 6

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Integration, European government bond markets, European sovereign debt crisis, Financial crises, Factor models

28.

Level-Arch Short Rate Models with Regime Switching: Bivariate Modeling of Us and European Short Rates

CREATES Research Paper 2007-5
Number of pages: 53 Posted: 18 Apr 2005
Charlotte Christiansen
Aarhus University - CREATES
Downloads 128 (219,246)
Citation 12

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Bivariate short-rate model, International short rates, Level-ARCH model, Regime Switching

29.

Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation

Number of pages: 11 Posted: 04 Oct 2016 Last Revised: 12 Jan 2018
Hossein Asgharian, Charlotte Christiansen, Rangan Gupta and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, University of Pretoria - Department of Economics and Stockholm University
Downloads 126 (221,869)

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economic policy uncertainty index; mixed data sampling; stock market correlation; stock market volatility

30.

Predicting Simultaneous Severe Recessions Using Yield Spreads as Leading Indicators

Number of pages: 27 Posted: 03 Jun 2011 Last Revised: 22 Feb 2012
Charlotte Christiansen
Aarhus University - CREATES
Downloads 123 (225,923)
Citation 4

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Business Cycle, Recessions, Yield spread, Probit Model

31.

Mean Reversion in US and International Short Rates

Number of pages: 27 Posted: 09 Aug 2008
Charlotte Christiansen
Aarhus University - CREATES
Downloads 123 (225,923)

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Short term interest rate, Mean reversion, Extreme value, Nonlinearity

32.

Extreme Coexceedances in New EU Member States' Stock Markets

Number of pages: 31 Posted: 03 Mar 2008 Last Revised: 08 Nov 2017
Charlotte Christiansen and Angelo Ranaldo
Aarhus University - CREATES and University of St. Gallen
Downloads 105 (253,275)
Citation 22

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Financial market integration, Comovement, Emerging markets, EU enlargement, EU Member States, Extreme returns, New EU Member States, Stock markets

33.

Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing

Number of pages: 37 Posted: 05 Oct 2017 Last Revised: 29 May 2019
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou and Weining Wang
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, Stockholm University and Humboldt University of Berlin
Downloads 103 (256,608)
Citation 1

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long-run betas; short-run betas; risk premia; component GARCH model; MIDAS

34.

Predicting Bond Betas Using Macro-Finance Variables

Number of pages: 13 Posted: 11 Jan 2017 Last Revised: 21 Jul 2018
Nektarios Aslanidis, Charlotte Christiansen and Andrea Cipollini
Universitat Rovira Virgili, Aarhus University - CREATES and University of Palermo - d/SEAS
Downloads 95 (270,637)

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bond betas; Complete Subset Regressions; corporate bonds; government bonds; macro-finance variables; Model Confidence Set

35.

Negative House Price Co-Movements and US Recessions

Number of pages: 45 Posted: 14 Jun 2017 Last Revised: 23 May 2019
Charlotte Christiansen, Jonas N. Eriksen and Stig Vinther Møller
Aarhus University - CREATES, Aarhus University and CREATES and Aarhus University - CREATES
Downloads 64 (340,879)
Citation 1

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Housing, business cycles, negative returns, co-movements

36.

Who Are the Socially Responsible Mutual Fund Investors?

Number of pages: 38 Posted: 04 Mar 2018 Last Revised: 22 May 2019
Charlotte Christiansen, Thomas Jansson, Malene Kallestrup Lamb and Vicke Noren
Aarhus University - CREATES, Sveriges Riksbank - Research Division, Aarhus University - CREATES and Aarhus University - CREATES
Downloads 57 (361,042)

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household finance, sustainable finance, portfolio choice

37.

Flight-to-Safety and the Risk-Return Trade-Off: European Evidence

Number of pages: 15 Posted: 07 Nov 2017 Last Revised: 25 Nov 2018
Nektarios Aslanidis, Charlotte Christiansen and Christos S. Savva
Universitat Rovira Virgili, Aarhus University - CREATES and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 40 (418,882)

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Flight-to-Safety; Risk-Return Trade-Off; European Markets; Stock Market; Bond Market

38.

Classifying Returns as Extreme: European Stock and Bond Markets

Number of pages: 13 Posted: 01 Nov 2013 Last Revised: 07 May 2014
Charlotte Christiansen
Aarhus University - CREATES
Downloads 35 (439,118)
Citation 2

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European stock markets, European bond markets, Extreme returns, Financial crisis, Integration of financial markets

39.

Mutual Fund Selection for Realistically Short Samples

Number of pages: 50 Posted: 31 Dec 2018 Last Revised: 02 Jul 2019
Charlotte Christiansen, Niels Groenborg and Ole Linnemann Nielsen
Aarhus University - CREATES, School of Economics and Business Economics, Aarhus University and Aarhus University - CREATES
Downloads 27 (476,022)

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Mutual Funds, Fund Selection, Simulation, Small Sample Properties