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Charlotte Strunk Hansen

Personal Details

First Name:Charlotte
Middle Name:Strunk
Last Name:Hansen
Suffix:
RePEc Short-ID:pha204
[This author has chosen not to make the email address public]
http://faculty.baruch.cuny.edu/chansen
Department of Economics and Finance Zicklin School of Business, Baruch College / CUNY One Bernard Baruch Way, Box B10-225 New York, NY 10010

Affiliation

Zicklin School of Business
Baruch College
City University of New York (CUNY)

New York City, New York (United States)
http://zicklin.baruch.cuny.edu/

:


RePEc:edi:zscunus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, EconWPA.
  2. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Proxying for Expected Returns with Price Earnings Ratios," Finance 0410019, EconWPA.
  3. Christiansen, Charlotte & Strunk Hansen, Charlotte, 2000. "Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model," Finance Working Papers 00-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.

Articles

  1. Bent Jesper Christensen & Charlotte Strunk Hansen, 2002. "New evidence on the implied-realized volatility relation," The European Journal of Finance, Taylor & Francis Journals, vol. 8(2), pages 187-205, June.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, EconWPA.

    Cited by:

    1. David McMillan & Alan Speight, 2006. "Non-linear long horizon returns predictability: evidence from six south-east Asian markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 95-111, June.
    2. Yu-chin Chen & Kwok Ping Tsang, 2010. "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," Working Papers 292010, Hong Kong Institute for Monetary Research.
    3. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Proxying for Expected Returns with Price Earnings Ratios," Finance 0410019, EconWPA.
    4. Qiu, Mei & Pinfold, John F. & Rose, Lawrence C., 2011. "Predicting foreign exchange movements using historic deviations from PPP," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 485-497, October.

  2. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Proxying for Expected Returns with Price Earnings Ratios," Finance 0410019, EconWPA.

    Cited by:

    1. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, EconWPA.

  3. Christiansen, Charlotte & Strunk Hansen, Charlotte, 2000. "Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model," Finance Working Papers 00-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.

    Cited by:

    1. Christian Zühlsdorff, 2002. "Extended Libor Market Models with Affine and Quadratic Volatility," Bonn Econ Discussion Papers bgse6_2002, University of Bonn, Germany.

Articles

  1. Bent Jesper Christensen & Charlotte Strunk Hansen, 2002. "New evidence on the implied-realized volatility relation," The European Journal of Finance, Taylor & Francis Journals, vol. 8(2), pages 187-205, June.

    Cited by:

    1. DeMarzo, Peter M. & Kremer, Ilan & Mansour, Yishay, 2016. "Robust option pricing: Hannan and Blackwell meet Black and Scholes," Journal of Economic Theory, Elsevier, vol. 163(C), pages 410-434.
    2. Steven Li & Qianqian Yang, 2009. "The relationship between implied and realized volatility: evidence from the Australian stock index option market," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 405-419, May.
    3. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA.
    4. Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
    5. Ayla Ogus, 2002. "Pricing of S&P 100 Index Options Based On Garch Volatility Estimates," Working Papers 0201, Izmir University of Economics.
    6. Imlak Shaikh & Puja Padhi, 2014. "The forecasting performance of implied volatility index: evidence from India VIX," Economic Change and Restructuring, Springer, vol. 47(4), pages 251-274, November.
    7. Barunik, Jozef & Barunikova, Michaela, 2015. "Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression," FinMaP-Working Papers 43, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    8. Tzang, Shyh-Weir & Hung, Chih-Hsing & Wang, Chou-Wen & Shyu, David So-De, 2011. "Do liquidity and sampling methods matter in constructing volatility indices? Empirical evidence from Taiwan," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 312-324, April.
    9. Kellard, Neil & Dunis, Christian & Sarantis, Nicholas, 2010. "Foreign exchange, fractional cointegration and the implied-realized volatility relation," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 882-891, April.
    10. Kellard, Neil M. & Jiang, Ying & Wohar, Mark, 2015. "Spurious long memory, uncommon breaks and the implied–realized volatility puzzle," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 36-54.
    11. Jozef Barunik & Michaela Barunikova, 2012. "Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression," Papers 1208.4831, arXiv.org, revised Feb 2013.
    12. Guan Wang & Pierre Yourougou & Yue Wang, 2012. "Which implied volatility provides the best measure of future volatility?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 93-105, January.
    13. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
    14. Baruník, Jozef & Hlínková, Michaela, 2016. "Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression," Economic Modelling, Elsevier, vol. 54(C), pages 503-514.
    15. Liu, Shinhua, 2009. "The impacts of index options on the underlying stocks: The case of the S&P 100," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1034-1046, August.

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