Charlotte Christiansen

Aarhus University - CREATES

Fuglesangs Alle 4

Aarhus V, DK 8210

Denmark

SCHOLARLY PAPERS

45

DOWNLOADS
Rank 3,612

SSRN RANKINGS

Top 3,612

in Total Papers Downloads

19,150

SSRN CITATIONS
Rank 3,341

SSRN RANKINGS

Top 3,341

in Total Papers Citations

278

CROSSREF CITATIONS

270

Scholarly Papers (45)

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 1,441 (25,231)
Citation 3

Abstract:

Loading...

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 399 (138,765)
Citation 3

Abstract:

Loading...

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 5 (1,156,309)
Citation 26
  • Add to Cart

Abstract:

Loading...

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

2.

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

Number of pages: 30 Posted: 21 Mar 2001
Charlotte Christiansen and Jesper Lund
Aarhus University - CREATES and Copenhagen Business School - Department of Finance
Downloads 1,813 (18,112)
Citation 9

Abstract:

Loading...

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

3.

A Review of the Active Management of Norway's Government Pension Fund Global

Number of pages: 117 Posted: 10 Jan 2022
Rob Bauer, Charlotte Christiansen and Trond Døskeland
Maastricht University, Aarhus University - CREATES and NHH Norwegian School of Economics
Downloads 1,655 (20,831)
Citation 1

Abstract:

Loading...

Value at Risk Using the Factor-Arch Model

Number of pages: 31 Posted: 16 Aug 1998
Charlotte Christiansen
Aarhus University - CREATES
Downloads 1,358 (27,547)
Citation 1

Abstract:

Loading...

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:

Loading...

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 977 (44,298)
Citation 3

Abstract:

Loading...

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 292 (195,036)
Citation 10

Abstract:

Loading...

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

6.

The Effect of Uncertainty on Volatility and Correlation

Number of pages: 38 Posted: 22 Mar 2018 Last Revised: 18 May 2023
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 820 (57,248)
Citation 4

Abstract:

Loading...

economic uncertainty; HAR model; international-portfolio analysis; stock market correlation; stock market volatility

7.

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 719 (68,149)
Citation 1

Abstract:

Loading...

8.

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 709 (69,397)
Citation 2

Abstract:

Loading...

9.

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 Economics and University of Chicago
Downloads 590 (87,487)
Citation 13

Abstract:

Loading...

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

10.

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 504 (106,476)
Citation 12

Abstract:

Loading...

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

11.

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 500 (107,533)
Citation 4

Abstract:

Loading...

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

12.

Macroeconomic Announcement Effects on the Covariance Structure of Bond Returns

Number of pages: 38 Posted: 14 May 1999
Charlotte Christiansen
Aarhus University - CREATES
Downloads 477 (113,700)

Abstract:

Loading...

13.

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 449 (122,182)
Citation 12

Abstract:

Loading...

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

14.

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, DFI and Aarhus University - CREATES
Downloads 421 (131,666)
Citation 20

Abstract:

Loading...

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

15.

Volatility-Spillover Effects in European Bond Markets

Number of pages: 51 Posted: 15 Sep 2003
Charlotte Christiansen
Aarhus University - CREATES
Downloads 371 (151,913)
Citation 11

Abstract:

Loading...

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

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 329 (171,790)
Citation 27

Abstract:

Loading...

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:

Loading...

G11, G129, J24

17.

Regime Switching in the Yield Curve

Number of pages: 27 Posted: 24 Feb 2002
Charlotte Christiansen
Aarhus University - CREATES
Downloads 312 (182,956)
Citation 3

Abstract:

Loading...

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

18.

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 282 (203,351)
Citation 1

Abstract:

Loading...

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

19.

Decomposing European Bond and Equity Volatility

Number of pages: 33 Posted: 30 Jun 2004
Charlotte Christiansen
Aarhus University - CREATES
Downloads 270 (212,592)
Citation 10

Abstract:

Loading...

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

20.

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 259 (221,522)
Citation 4

Abstract:

Loading...

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 153 (358,210)

Abstract:

Loading...

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 91 (529,310)
Citation 3

Abstract:

Loading...

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

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 229 (249,845)
Citation 9

Abstract:

Loading...

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

23.

Households’ Investments in Socially Responsible Mutual Funds

Number of pages: 54 Posted: 04 Mar 2018 Last Revised: 17 Nov 2022
Charlotte Christiansen, Thomas Jansson, Malene Kallestrup Lamb and Vicke Noren
Aarhus University - CREATES, Sveriges Riksbank - Research Division, Aarhus University and Aarhus University - CREATES
Downloads 228 (250,882)
Citation 6

Abstract:

Loading...

household finance, portfolio choice, retail investors, SRI investments

24.

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 224 (255,084)

Abstract:

Loading...

Idiosyncratic volatility puzzle; Macro-finance factors; Business cycle

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 144 (376,343)
Citation 3

Abstract:

Loading...

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 80 (574,325)

Abstract:

Loading...

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

26.

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

Number of pages: 37 Posted: 05 Oct 2017 Last Revised: 16 Aug 2021
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou, Weining Wang and Weining Wang
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, Stockholm University and University of Yorkaffiliation not provided to SSRN
Downloads 209 (272,109)

Abstract:

Loading...

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

27.

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

Number of pages: 58 Posted: 04 Oct 2016 Last Revised: 29 Jun 2020
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 209 (272,109)
Citation 1

Abstract:

Loading...

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

28.

Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies

Number of pages: 65 Posted: 24 Jan 2021 Last Revised: 26 May 2023
Charlotte Christiansen, Ran Xing and Yue Xu
Aarhus University - CREATES, Stockholm University - Stockholm Business School and Durham University
Downloads 198 (285,910)

Abstract:

Loading...

Mutual funds; Anomalies; Value added; Public information; Investment decisions

29.

Multivariate Term Structure Models with Level and Heteroskedasticity Effects

Number of pages: 29 Posted: 22 Oct 2002
Charlotte Christiansen
Aarhus University - CREATES
Downloads 189 (298,070)
Citation 6

Abstract:

Loading...

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

30.

Long Maturity Forward Rates

Number of pages: 33 Posted: 20 Sep 2001
Charlotte Christiansen
Aarhus University - CREATES
Downloads 189 (298,070)

Abstract:

Loading...

Expectations Hypothesis, Forward Rate Curve, Long Maturity, Volatility

31.

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 179 (312,840)
Citation 3

Abstract:

Loading...

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

32.

Mean Reversion in US and International Short Rates

Number of pages: 27 Posted: 09 Aug 2008
Charlotte Christiansen
Aarhus University - CREATES
Downloads 171 (325,567)

Abstract:

Loading...

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

33.

Integration of European Bond Markets

Number of pages: 25 Posted: 10 Jul 2012 Last Revised: 02 Jan 2014
Charlotte Christiansen
Aarhus University - CREATES
Downloads 168 (330,699)
Citation 1

Abstract:

Loading...

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

34.

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 165 (335,806)
Citation 1

Abstract:

Loading...

Business Cycle, Recessions, Yield spread, Probit Model

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, DFI and Aarhus University - CREATES
Downloads 154 (356,088)
Citation 4

Abstract:

Loading...

Housing, business cycles, negative returns, co-movements

36.

The Economic Value of VIX ETPs

Number of pages: 65 Posted: 18 Sep 2019 Last Revised: 23 Apr 2020
Kim Christensen, Charlotte Christiansen and Anders Merrild Posselt
Aarhus University - CREATES, Aarhus University - CREATES and Aarhus University - CREATES
Downloads 153 (357,992)
Citation 1

Abstract:

Loading...

VIX; VIX ETPs; VIX Premium; Economic value; Portfolio diversification

37.

Mutual Fund Selection for Realistically Short Samples

Number of pages: 57 Posted: 31 Dec 2018 Last Revised: 03 Dec 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 153 (357,992)

Abstract:

Loading...

Mutual Funds, Fund Selection, Simulation, Small Sample Properties

38.

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 152 (359,802)
Citation 11

Abstract:

Loading...

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

39.

Predicting Bond Betas Using Macro-Finance Variables

Number of pages: 13 Posted: 11 Jan 2017 Last Revised: 21 Jul 2018
Universitat Rovira Virgili, Aarhus University - CREATES and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS
Downloads 146 (371,770)

Abstract:

Loading...

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

40.

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 146 (371,770)
Citation 16

Abstract:

Loading...

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

41.

The Effects of High Uncertainty Risk on International Stock Markets

Number of pages: 34 Posted: 24 Feb 2020 Last Revised: 17 Sep 2023
Nektarios Aslanidis, Charlotte Christiansen and Georgios P. Kouretas
Universitat Rovira Virgili, Aarhus University - CREATES and Athens University of Economics and Business
Downloads 131 (404,734)

Abstract:

Loading...

International stock returns; economic policy uncertainty; factor models; downside risk

42.

Government Bond Market Risk-Return Trade-Off

Number of pages: 17 Posted: 20 Oct 2022 Last Revised: 21 Feb 2023
Charlotte Christiansen and Christos S. Savva
Aarhus University - CREATES and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 99 (496,811)

Abstract:

Loading...

risk-return trade-off; government bond markets; good volatility; bad volatility

43.

Quantile Risk-Return Trade-Off

Number of pages: 22 Posted: 13 May 2021
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 94 (513,868)

Abstract:

Loading...

risk-return trade-off; quantile regressions; VIX; stock markets

44.

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

Number of pages: 16 Posted: 07 Nov 2017 Last Revised: 04 Sep 2019
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 88 (535,641)
Citation 1

Abstract:

Loading...

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

45.

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 56 (683,955)
Citation 1

Abstract:

Loading...

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