Author Page for Ernst Schaumburg

Decomposing Short-Term Return Reversal

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Citation 7

2

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 1,368 (17,568)

Citation 9

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 442 (81,988)

Citation 4

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 959 (30,123)

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

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Citation 3

Abstract:

4.

Recovery from Fast Crashes: Role of Mutual Funds

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Citation 2

2

Recovery from Fast Crashes: Role of Mutual Funds

SAFE Working Paper No. 227

Number of pages: 75 Posted: 27 Aug 2018 Last Revised: 16 Feb 2021

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

Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, 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 331 (114,345)

Citation 2

Abstract:

Stock Price Crashes: Role of Slow-Moving Capital

NBER Working Paper No. w24098

Number of pages: 74 Posted: 16 Dec 2017 Last Revised: 07 May 2021

Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, 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 AdministrationLeibniz Institute for Financial Research SAFE, Federal Reserve Banks - Federal Reserve Bank of New York and Norwegian School of Economics (NHH) - Department of Finance

Downloads 10 (744,117)

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

Princeton University, 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 256 (150,472)

Citation 2

Abstract:

6.

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

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 216 (177,388)

Citation 97

Abstract:

7.

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

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Citation 38

3

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 117 (296,463)

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 61 (442,768)

Citation 32

Abstract:

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

NBER Working Paper No. w15533

Number of pages: 37 Posted: 24 Nov 2009 Last Revised: 12 Jun 2021

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 27 (609,972)

Abstract:

8.

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 2021

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 205 (186,200)

Citation 7

Abstract:

9.

Intertemporal Disturbances

NBER Working Paper No. w12243

Number of pages: 40 Posted: 25 May 2006 Last Revised: 16 Jun 2021

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 72 (400,374)

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 68 (412,913)

Citation 43

Abstract:

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 Last Revised: 15 May 2021

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 24 (613,051)

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 11 (708,228)

Citation 1

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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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

Ernst Schaumburg

Federal Reserve Banks - Federal Reserve Bank of New York

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Scholarly Papers (14)

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