Author Page for Ernst Schaumburg

Decomposing Short-Term Return Reversal

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Citation 2

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Decomposing Short-Term Return Reversal

Number of pages: 44 Posted: 12 Feb 2010 Last Revised: 30 Aug 2011

Zhi Da, Qianqiu Liu and Ernst Schaumburg

University of Notre Dame - Mendoza College of Business, University of Hawaii at Manoa - Shidler College of Business and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 1,311 (15,347)

Citation 2

Abstract:

Decomposing Short-Term Return Reversal

FRB of New York Staff Report No. 513

Number of pages: 45 Posted: 13 Sep 2011

Zhi Da, Qianqiu Liu and Ernst Schaumburg

University of Notre Dame - Mendoza College of Business, University of Hawaii at Manoa - Shidler College of Business and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 369 (85,432)

Citation 2

Abstract:

2.

Short-Term Return Reversal: The Long and the Short of It

AFA 2013 San Diego Meetings Paper

Number of pages: 35 Posted: 15 Mar 2012 Last Revised: 06 Dec 2012

Zhi Da, Qianqiu Liu and Ernst Schaumburg

University of Notre Dame - Mendoza College of Business, University of Hawaii at Manoa - Shidler College of Business and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 921 (26,435)

Citation 1

Abstract:

3.

Target Prices, Relative Valuations and the Premium for Liquidity Provision

AFA 2007 Chicago Meetings Paper

Number of pages: 49 Posted: 17 Mar 2006

Zhi Da and Ernst Schaumburg

University of Notre Dame - Mendoza College of Business and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 600 (47,521)

Citation 3

Abstract:

4.

Liquidity Provision: Normal Times vs Crashes

Downloads 249 (132,002)

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Liquidity Provision: Normal Times vs Crashes

Number of pages: 72 Posted: 04 Dec 2017 Last Revised: 06 Apr 2019

Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Mila Getmansky Sherman and Darya Yuferova

Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Norwegian School of Economics (NHH) - Department of Finance

Downloads 129 (237,006)

Abstract:

Recovery from Fast Crashes: Role of Mutual Funds

SAFE Working Paper No. 227

Number of pages: 66 Posted: 27 Aug 2018 Last Revised: 17 Apr 2020

Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Mila Getmansky Sherman and Darya Yuferova

Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Norwegian School of Economics (NHH) - Department of Finance

Downloads 78 (334,222)

Abstract:

Liquidity Provision: Normal Times vs Crashes

Number of pages: 72 Posted: 10 Nov 2019

Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Mila Getmansky Sherman and Darya Yuferova

Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Norwegian School of Economics (NHH) - Department of Finance

Downloads 37 (476,224)

Abstract:

Stock Price Crashes: Role of Slow-Moving Capital

NBER Working Paper No. w24098

Number of pages: 62 Posted: 16 Dec 2017

Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg and Darya Yuferova

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York and Norwegian School of Economics (NHH) - Department of Finance

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Abstract:

5.

Characteristic-Sorted Portfolios: Estimation and Inference

FRB of NY Staff Report No. 788

Number of pages: 48 Posted: 15 Aug 2016 Last Revised: 08 Oct 2019

Matias D. Cattaneo, Richard K. Crump, Max Farrell and Ernst Schaumburg

University of Michigan at Ann Arbor - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of New York, University of Chicago - Booth School of Business - Econometrics and Statistics and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 241 (136,370)

Citation 2

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6.

Calculating and Using Second Order Accurate Solutions of Discrete Time Dynamic Equilibrium Models

FEDS Working Paper No. 2003-61

Number of pages: 26 Posted: 13 Jan 2004

Jinill Kim, Sunghyun Henry Kim, Christopher A. Sims and Ernst Schaumburg

Korea University, Sungkyunkwan University - Department of Economics, Princeton University - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 201 (162,143)

Citation 86

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7.

Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom Not the Disease!

NBER Working Paper No. w15404

Number of pages: 38 Posted: 13 Oct 2009 Last Revised: 05 Aug 2010

Ravi Jagannathan, Mudit Kapoor and Ernst Schaumburg

Northwestern University - Kellogg School of Management, Indian School of Business and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 186 (174,053)

Citation 2

Abstract:

8.

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

Downloads 181 (178,316)

Citation 19

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Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

FRB of New York Staff Report No. 465

Number of pages: 37 Posted: 05 Aug 2010

Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg

Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 103 (279,710)

Citation 5

Abstract:

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

CREATES Research Paper No. 2009-52

Number of pages: 38 Posted: 18 Nov 2009

Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg

Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 57 (396,411)

Citation 18

Abstract:

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

NBER Working Paper No. w15533

Number of pages: 37 Posted: 24 Nov 2009 Last Revised: 03 Dec 2009

Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg

Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 21 (569,025)

Abstract:

9.

Intertemporal Disturbances

NBER Working Paper No. w12243

Number of pages: 40 Posted: 25 May 2006 Last Revised: 31 Jul 2006

Giorgio E. Primiceri, Ernst Schaumburg and Andrea Tambalotti

Northwestern University - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York

Downloads 69 (354,506)

Citation 2

Abstract:

10.

An Investigation of the Gains from Commitment in Monetary Policy

FRB of NY Staff Report No. 171

Number of pages: 39 Posted: 15 Apr 2003

Ernst Schaumburg and Andrea Tambalotti

Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York

Downloads 66 (362,955)

Citation 22

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11.

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

NBER Working Paper No. w17152

Number of pages: 68 Posted: 20 Jun 2011

Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg

Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 22 (544,416)

Abstract:

12.

A Robust Neighborhood Truncation Approach to Estimation of Integrated Quarticity

FRB International Finance Discussion Paper No. 1078

Number of pages: 52 Posted: 30 May 2017

Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg

Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York

Downloads 8 (635,698)

Abstract:

13.

Implementing Black-Litterman Using an Equivalent Formula and Equity Analyst Target Prices

Posted: 31 Mar 2012 Last Revised: 04 Feb 2015

Leon Chen, Zhi Da and Ernst Schaumburg

Minnesota State University, Mankato, University of Notre Dame - Mendoza College of Business and Federal Reserve Banks - Federal Reserve Bank of New York

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Cross-Sectional Asset Pricing Tests

Annual Review of Financial Economics, Vol. 2, pp. 49-74, 2010

Posted: 12 Nov 2010

Ravi Jagannathan, Ernst Schaumburg and Guofu Zhou

Northwestern University - Kellogg School of Management, Federal Reserve Banks - Federal Reserve Bank of New York and Washington University in St. Louis - John M. Olin Business School

Ernst Schaumburg

Federal Reserve Banks - Federal Reserve Bank of New York

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Scholarly Papers (14)

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