Charlotte Christiansen

Aarhus University - CREATES

Fuglesangs Alle 4

Aarhus V, DK 8210

Denmark

SCHOLARLY PAPERS

34

DOWNLOADS
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Top 2,334

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11,815

CITATIONS
Rank 4,307

SSRN RANKINGS

Top 4,307

in Total Papers Citations

124

Scholarly Papers (34)

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 1,502 (8,126)
Citation 7

Abstract:

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 1,177 (12,520)
Citation 17

Abstract:

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 265 (90,844)
Citation 17

Abstract:

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 (532,828)
Citation 17
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Abstract:

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

3.
Downloads 1,241 ( 11,761)
Citation 2

Value at Risk Using the Factor-ARCH Model

Number of pages: 31 Posted: 16 Aug 1998
Charlotte Christiansen
Aarhus University - CREATES
Downloads 1,241 (11,508)
Citation 2

Abstract:

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

Abstract:

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, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 855 (20,379)
Citation 1

Abstract:

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, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 198 (122,254)
Citation 1

Abstract:

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 666 (29,508)
Citation 4

Abstract:

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 634 (31,113)
Citation 2

Abstract:

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, University of Aarhus - Department of Economics and Business and University of Chicago
Downloads 516 (40,981)
Citation 13

Abstract:

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 425 (51,250)
Citation 10

Abstract:

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 362 (55,217)
Citation 11

Abstract:

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: 14 Apr 2010
Charlotte Christiansen, Jesper Rangvid and Juanna Schrøter Joensen
Aarhus University - CREATES, Copenhagen Business School and University of Chicago
Downloads 339 (63,604)
Citation 3

Abstract:

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

11.

Regime Switching in the Yield Curve

Number of pages: 27 Posted: 24 Feb 2002
Charlotte Christiansen
Aarhus University - CREATES
Downloads 262 (91,295)
Citation 4

Abstract:

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

12.
Downloads 261 ( 92,763)
Citation 15

Volatility-Spillover Effects in European Bond Markets

Number of pages: 51 Posted: 15 Sep 2003
Charlotte Christiansen
Aarhus University - CREATES
Downloads 249 (97,046)
Citation 15

Abstract:

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 (490,194)
Citation 15
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Abstract:

13.
Downloads 207 (118,052)
Citation 20

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 207 (117,712)
Citation 20

Abstract:

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

Abstract:

G11, G129, J24

14.

Decomposing European Bond and Equity Volatility

Number of pages: 33 Posted: 30 Jun 2004
Charlotte Christiansen
Aarhus University - CREATES
Downloads 203 (115,869)
Citation 3

Abstract:

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

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 199 (121,679)
Citation 1

Abstract:

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 1
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Abstract:

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 114 (195,908)

Abstract:

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 49 (323,953)

Abstract:

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

17.

Multivariate Term Structure Models with Level and Heteroskedasticity Effects

Number of pages: 29 Posted: 22 Oct 2002
Charlotte Christiansen
Aarhus University - CREATES
Downloads 158 (148,643)
Citation 3

Abstract:

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 93 (226,447)
Citation 1

Abstract:

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 49 (323,953)
Citation 1

Abstract:

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

19.

Long Maturity Forward Rates

Number of pages: 33 Posted: 20 Sep 2001
Charlotte Christiansen
Aarhus University - CREATES
Downloads 133 (166,414)
Citation 5

Abstract:

Expectations Hypothesis, Forward Rate Curve, Long Maturity, Volatility

20.

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 132 (156,242)

Abstract:

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

21.

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 126 (179,744)
Citation 1

Abstract:

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

22.

Forecasting US Recessions: The Role of Sentiment

Number of pages: 46 Posted: 22 Feb 2013 Last Revised: 15 Sep 2014
Charlotte Christiansen, Jonas Nygaard Eriksen and Stig Vinther Møller
Aarhus University - CREATES, Aarhus University - CREATES and University of Aarhus - CREATES
Downloads 125 (100,443)

Abstract:

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

23.

Mean Reversion in US and International Short Rates

Number of pages: 27 Posted: 09 Aug 2008
Charlotte Christiansen
Aarhus University - CREATES
Downloads 118 (186,497)

Abstract:

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

24.

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, Business School
Downloads 109 (118,584)

Abstract:

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

25.

Integration of European Bond Markets

Number of pages: 25 Posted: 10 Jul 2012 Last Revised: 02 Jan 2014
Charlotte Christiansen
Aarhus University - CREATES
Downloads 107 (184,229)

Abstract:

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

26.

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 106 (168,307)

Abstract:

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

27.

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 106 (195,067)

Abstract:

Business Cycle, Recessions, Yield spread, Probit Model

28.

Extreme Coexceedances in New EU Member States' Stock Markets

Number of pages: 31 Posted: 03 Mar 2008 Last Revised: 15 Jun 2013
Charlotte Christiansen and Angelo Ranaldo
Aarhus University - CREATES and University of St. Gallen
Downloads 91 (223,271)
Citation 1

Abstract:

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

29.

Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors

Number of pages: 39 Posted: 21 Nov 2014 Last Revised: 09 Mar 2017
Universitat Rovira Virgili, Aarhus University - CREATES, Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 71 (183,067)

Abstract:

Idiosyncratic volatility puzzle; Macro-finance predictors; Factor analysis; Business cycle

30.

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, Business School
Downloads 66 (158,077)

Abstract:

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

31.

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 31 (374,346)

Abstract:

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

32.

Predicting Bond Betas Using Macro-Finance Variables

Number of pages: 32 Posted: 11 Jan 2017 Last Revised: 13 Jan 2017
Nektarios Aslanidis, Charlotte Christiansen and Andrea Cipollini
Universitat Rovira Virgili, Aarhus University - CREATES and University of Palermo - Economics, Business and Finance
Downloads 0 (346,012)

Abstract:

bond betas; complete subset regressions; corporate bonds; macro-finance variables; model confidence set

33.

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

Number of pages: 10 Posted: 04 Oct 2016
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, Business School
Downloads 0 (342,794)

Abstract:

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

34.

Common Real Estate Crashes

Number of pages: 30 Posted: 16 Sep 2016 Last Revised: 19 Nov 2016
Charlotte Christiansen, Jonas Nygaard Eriksen and Stig Vinther Møller
Aarhus University - CREATES, Aarhus University - CREATES and University of Aarhus - CREATES
Downloads 0 (414,415)

Abstract:

housing, real estate returns, exceedances, extreme returns, macroeconomic uncertainty index, metro areas