Ernst Schaumburg

Federal Reserve Banks - Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

  • Federal Reserve Banks - Federal Reserve Bank of New York

SCHOLARLY PAPERS

14

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CITATIONS
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125

Scholarly Papers (14)

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1.

Decomposing Short-Term Return Reversal

Downloads 1,587 ( 10,300)
Citation 1

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 1,273 (14,334)

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return reversal, liquidity, cash flows, discount rate

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 314 (93,257)
Citation 1

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return reversal, liquidity

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 894 (24,886)

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Short run reversal, liquidity, sentiment, fundamental news

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 590 (43,824)
Citation 1

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Analyst target prices, liquidity

4.

Characteristic-Sorted Portfolios: Estimation and Inference

FRB of NY Staff Report No. 788
Number of pages: 58 Posted: 15 Aug 2016 Last Revised: 15 Mar 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 207 (144,449)

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portfolio sorts, nonparametric estimation, partitioning, tuning parameter selection

5.

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 197 (150,565)
Citation 58

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Solving dynamic equilibrium models, second order accurate solution

6.

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 175 (167,637)
Citation 6

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7.

Liquidity Provision: Normal Times vs Crashes

Downloads 165 (176,545)

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 113 (239,555)

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Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital

Stock Price Crashes: Role of Slow-Moving Capital

SAFE Working Paper No. 227
Number of pages: 64 Posted: 27 Aug 2018
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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Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital

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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8.

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

Downloads 163 (178,332)
Citation 25

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 93 (274,087)
Citation 25

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Integrated Volatility, Jump Robust

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 52 (379,316)
Citation 25

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High-frequency data, Integrated variance, Finite activity jumps, Realized volatility, Jump robustness, Nearest neighbor truncation

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 18 (539,666)
Citation 25

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9.

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 64 (337,774)
Citation 19

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Commitment, discretion, credibility, welfare

10.

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 63 (340,547)
Citation 13

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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 19 (515,348)
Citation 2

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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 4 (604,139)

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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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Asset allocation, Black-Litterman model, Target price

14.

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

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