Research Links:
Working Papers:
Olga Balakina, Charlotte Christiansen, and Malene Kallestrup-Lamb,: Greener Pensions, Greener Choices: Linking Investments to Sustainable Behavior.
Hossein Asgharian, Charlotte Christiansen, and Ai Jun Hou, and Caihong Xu: The International Transmission of US Term Premia: Direct Spillovers and Macro-Financial Channels.
Charlotte Christiansen, Ran Xing, and Yue Xu: Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies.
Miscellaneous:
Rob Bauer, Charlotte Christiansen, and Trond Døskeland (2022): A Review of the Active Management of Norway's Government Pension Fund Global, see news at government.no and article in dn.no.
International Refereed Journals:
Nektarios Aslanidis, Charlotte Christiansen, and George Kouretas (forthcoming): The Effects of High Uncertainty Risk on International Stock Markets, Annals of Operations Research.
Hossein Asgharian, Charlotte Christiansen, and Ai Jun Hou (2023): The Effect of Uncertainty on Stock Market Volatility and Correlation, Journal of Banking and Finance 154.
Charlotte Christiansen and Christos S. Savva (2023): Government Bond Market Risk-Return Trade-Off, Quantitative Finance and Economics 7, 249-260.
Charlotte Christiansen, Thomas Jansson, Malene Kallestrup-Lamb, and Vicke Nóren (2023): Households’ Investments in Socially Responsible Mutual Funds, Quarterly Review of Economics and Finance 87, 46-67.
Hossein Asgharian, Charlotte Christiansen, Ai Jun Ho, and Weining Wang (2021): Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing, Journal of International Financial Markets, Institutions & Money 74.
Nektarios Aslaninis, Charlotte Christiansen, and Christos S. Savva (2021): Quantile Risk-Return Trade-Off. Journal of Risk and Financial Management 14, 1-14.
Kim Christensen, Charlotte Christiansen, and Anders Posselt (2020): The Economic Value of VIX ETPs, Journal of Empirical Finance 58, 121-138.
Charlotte Christiansen, Niels Strange Grønborg, and Ole Linnemann Nielsen (2020): Mutual Fund Selection for Realistically Small Samples, Journal of Empirical Finance 55, 218-240.
Nektarios Aslaninis, Charlotte Christiansen, and Christos S. Savva (2020): Flight to Safety and the Risk-Return Trade-off: European Evidence, Finance Research Letters 35.
Charlotte Christiansen, Jonas Nygaard Eriksen, and Stig Vinther Møller (2019): Negative House Price Co-Movements and US Recessions, Regional Science and Urban Economics 77, 382-394.
Nektarios Aslaninis, Charlotte Christiansen, and Andrea Cipollini (2019): Predicting Bond Betas using Macro-Finance Variables, Finance Research Letters 29, 193-199.
Nektarios Aslanidis, Charlotte Christiansen, Neofytos Lambertides, and Christos S. Savva (2019): Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors, Review of Quantitative Finance and Accounting 52(2), 381-401.
Nektarios Aslanidis, Charlotte Christiansen, and Christos S. Savva(2016): Risk-Return Trade-Off for European Stock Markets, International Review of Financial Analysis 46, 84-103.
Hossein Asgharian, Charlotte Christiansen, and Ai Jun Hou (2016): Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification, Journal of Financial Econometrics 14(3), 617-642.
Hossein Asgharian, Charlotte Christiansen, and Ai Jun Hou (2015): Effects of Macroeconomic Uncertainty Upon the Stock and Bond Markets. Finance Research Letters 13, 10-16.
Charlotte Christiansen, Juanna Schröter Joensen, and Jesper Rangvid (2015): Understanding the Effects of Marriage and Divorce on Financial Investments: The Role of Background Risk Sharing. Economic Inquiry 53(1), 431-447.
Charlotte Christiansen, Jonas Nygaard Eriksen, and Stig Vinther Møller (2014): Forecasting Recessions: The Role of Sentiments. Journal of Banking and Finance 49, 459-468.
Reprinted in The Economics of Recession, Series no 337 of The International Library of Critical Writings in Economics, edited by Arturo Estrella.
Nektarios Aslanidis and Charlotte Christiansen (2014): Quantiles of the Realized Stock-Bond Correlation. Journal of Empirical Finance 28, 321-331.
Charlotte Christiansen (2014): Classifying Returns as Extreme: European Stock and Bond Markets. International Review of Financial Analysis 34, 1-4.
Charlotte Christiansen (2014): Integration of European Bond Markets. Journal of Banking and Finance 42, 191-198.
Charlotte Christiansen (2013): Predicting Severe Simultaneous Recessions Using Yield Spreads as Leading Indicators. Journal of International Money and Finance 32, 1032-1043.
Reprinted in The Economics of Recession, Series no 337 of The International Library of Critical Writings in Economics, edited by Arturo Estrella.
Charlotte Christiansen, Maik Schmeling, and Andreas Schrimpf (2012): A Comprehensive Look at Financial Volatility Prediction by Economic Variables. Journal of Applied Econometrics 27(6), 956-977.
Nektarios Aslanidis and Charlotte Christiansen (2012): Smooth Transition Patterns in the Realized Stock-Bond Correlation. Journal Empirical Finance 19(4), 454-464.
Charlotte Christiansen, Angelo Ranaldo, and Paul Söderlind (2011): The Time-Varying Systematic Risk of Carry Trade Strategies. Journal of Financial and Quantitative Analysis 46(4), 1107-1125.
Charlotte Christiansen (2011): Intertemporal Risk-Return Trade-Off in Foreign Exchange Rates. Journal of International Financial Markets, Institutions, and Money 21(4), 535-549.
Charlotte Christiansen (2010): Mean Reversion in US and International Short Rates. North American Journal of Economics and Finance 21(3), 286-296.
Charlotte Christiansen (2010): Decomposing European Bond and Equity Volatility. International Journal of Finance and Economics 15(2), 105-122.
Charlotte Christiansen and Angelo Ranaldo (2009): Extreme Coexceedances in New EU Member States' Stock Markets. Journal of Banking and Finance 33(6), 1048-1057.
Charlotte Christiansen (2008), Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates. International Review of Financial Analysis 17(5), 925-948.
Charlotte Christiansen, Juanna Schröter Joensen, and Jesper Rangvid (2008): Are Economists More Likely to Hold Stocks?. Review of Finance 12(3), 465-496.
Charlotte Christiansen, Juanna Schröter Joensen and Helena Skyt Nielsen (2007): The Risk-Return Trade-Off in Human Capital Investment. Labour Economics 14, 971-986.
Charlotte Christiansen (2007): Volatility-Spillover Effects in European Bond Markets. European Financial Management 13(5), 923-948.
Charlotte Christiansen and Angelo Ranaldo (2007): Realized Bond-Stock Correlation: Macroeconomic Announcement Effects. Journal of Futures Markets 27(5), 439-469.
Charlotte Christiansen (2005): Variance-in-Mean Effects of the Long Forward-Rate Slope. Applied Financial Economics 15(11), 753-755.
Charlotte Christiansen (2005): Multivariate Term Structure Models with Level and Heteroskedasticity Effects. Journal of Banking and Finance 29(5), 1037-1057.
Charlotte Christiansen (2004): Regime Switching in the Yield Curve. Journal of Futures Markets 24(4), 315-336.
Charlotte Christiansen (2003): Testing the Expectations Hypothesis Using Long Maturity Forward Rates. Economics Letters 78(2), 175-180.
Charlotte Christiansen (2002): Credit Spreads and the Term Structure of Interest Rates. International Review of Financial Analysis (special issue on Credit Derivatives) 11(3), 279-295.
Charlotte Christiansen and Charlotte Strunk Hansen (2002): Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model. Review of Derivatives Research, 5(1), 51-79.
Charlotte Christiansen (2000): Macroeconomic Announcement Effects on the Covariance Structure of Government Bond Returns. Journal of Empirical Finance, 2000, 7(5), 479-507.
Charlotte Christiansen (1999): Value at Risk Using the Factor-ARCH Model. Journal of Risk, 1999, 1(2), 65-86.
Contributions to Books:
Charlotte Christiansen, Tom Engsted, Svend Jakobsen, and Carsten Tanggaard (2004): Denmark in J. Batten, T. Fetherston, and P. Szilagyi, ed., "European Fixed Income Markets: Money, Bond, and Interest Rate Derivatives", John Wiley & Sons.
Charlotte Christiansen, Tom Engsted, Svend Jakobsen, and Carsten Tanggaard (2004): An Empirical Study of the Term Structure of Interest Rates in Denmark (1993-2002) in J. Batten, T. Fetherston, and P. Szilagyi, ed., "European Fixed Income Markets: Money, Bond, and Interest Rate Derivatives", John Wiley & Sons.
Downloadable Appendices:
IA housingRecession.pdf: appendix to Negative house price co-movements and US recessions, Charlotte Christiansen, Jonas Nygaard Eriksen, and Stig Vinther Møller.
data_ACS.xlsx: xlsx-file with detailed data description to Risk-Return Trade-Off for European Stock Markets, Nektarios Aslanidis, Charlotte Christiansen, and Christos S. Savva.
CEM_appendix.pdf: appendix to Forecasting US Recessions: The Role of Sentiments, Charlotte Christiansen, Jonas Nygaard Eriksen, and Stig Vinther Møller, Journal of Banking and Finance.
Permanent Working Papers:
Hossein Asgharian, Charlotte Christiansen, Rangan Gupta, and Ai Jun Hou: Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation.
Charlotte Christiansen, Juanna Schröter Joensen, and Jesper Rangvid: Fiction or Fact: Systematic Gender Differences in Financial Investments?.
Charlotte Christiansen and Jesper Lund: Revisiting the Shape of the Yield Curve; The effect of Interest Rate Volatility.
Danish Publications:
Charlotte Christiansen, Leif Hasager, and Bjarne Astrup Jensen (2011): Rapport om Obligationsinvesteringer, Udarbejdet for Penge- og Pensionspanelet.
Charlotte Christiansen, Juanna S. Joensen, and Jesper Rangvid (2006): Er mænd mere tilbøjelige til at købe aktier end kvinder?, Børsfokus nr. 112.
Charlotte Christiansen, Juanna S. Joensen, and Jesper Rangvid (2006): Har viden om økonomi betydning for private investorers beslutninger om at købe aktier?, Børsfokus nr. 108.
Charlotte Christiansen, Juanna S. Joensen, and Jesper Rangvid (2005): Har uddannelse betydning for beslutningen om aktiekøb?, Aktionæren, december, 6-7.
Charlotte Christiansen, Juanna S. Joensen, and Jesper Rangvid (2005): Ejer flere økonomer aktier?, Finans/Invest 01/05, 23-26.
Charlotte Christiansen and Niels Haldrup (2004): Nobelprisen i Økonomi 2003, Tidsserieøkonometri: Cointegration og ARCH, Clive W. J. Granger og Robert F. Engle, Finans/Invest 02/04, 23-27.
PhD Thesis:
Charlotte Christiansen (2000): Essays in Empirical Finance, Department of Finance, Aarhus School of Business.