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Long- and short-run components of factor betas : implications for stock pricing

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun; … - In: Journal of international financial markets, … 74 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012803274

Effects of macroeconomic uncertainty on the stock and bond markets

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Finance research letters 13 (2015), pp. 10-16

Persistent link: https://www.econbiz.de/10011552317

Classifying returns as extreme : european stock and bond markets

Christiansen, Charlotte - In: International review of financial analysis 34 (2014), pp. 1-4

Persistent link: https://www.econbiz.de/10010520407

Idiosyncratic volatility puzzle : influence of macro-finance factors

Aslanidis, Nektarios; Christiansen, Charlotte; … - In: Review of quantitative finance and accounting 52 (2019) 2, pp. 381-401

Persistent link: https://www.econbiz.de/10012171614

Macroeconomic announcement effects on the covariance structure of government bond returns

Christiansen, Charlotte - In: Journal of empirical finance 7 (2000) 5, pp. 479-507

Persistent link: https://www.econbiz.de/10001545283

Extreme coexceedances in new EU member states' stock markets

Christiansen, Charlotte; Ranaldo, Angelo - In: Journal of banking & finance 33 (2009) 6, pp. 1048-1057

Persistent link: https://www.econbiz.de/10003841873

The economic value of VIX ETPs

Christensen, Kim; Christiansen, Charlotte; Posselt, … - In: Journal of empirical finance 58 (2020), pp. 121-138

Persistent link: https://www.econbiz.de/10012430667

The effect of uncertainty on stock market volatility and correlation

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Journal of banking & finance 154 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014486544

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977