Ernst Schaumburg

Federal Reserve Banks - Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 15,489

in Total Papers Downloads

5,649

SSRN CITATIONS
Rank 5,281

SSRN RANKINGS

Top 5,281

in Total Papers Citations

263

CROSSREF CITATIONS

59

Scholarly Papers (14)

1.
Downloads 2,076 (13,343)
Citation 3

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 1,473 (22,319)
Citation 4

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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 603 (77,209)
Citation 5

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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 1,028 (38,336)
Citation 1

Abstract:

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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 683 (66,873)
Citation 3

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Analyst target prices, liquidity

4.
Downloads 456 (110,204)
Citation 3

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
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 428 (117,472)
Citation 3

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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: 74 Posted: 16 Dec 2017 Last Revised: 07 May 2023
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
Downloads 28 (838,270)

Abstract:

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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
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 379 (136,428)
Citation 10

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portfolio sorts, nonparametric estimation, partitioning, tuning parameter selection

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 157 (321,927)
Citation 5

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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 82 (518,153)
Citation 32

Abstract:

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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: 12 Jun 2022
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 46 (700,293)

Abstract:

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7.

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

Number of pages: 26 Posted: 13 Jan 2004
Korea University, Sungkyunkwan University - Department of Economics, Princeton University - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 258 (204,508)
Citation 111

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Solving dynamic equilibrium models, second order accurate solution

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: 03 Feb 2023
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 225 (233,599)
Citation 7

Abstract:

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9.

Intertemporal Disturbances

NBER Working Paper No. w12243
Number of pages: 40 Posted: 25 May 2006 Last Revised: 16 Dec 2022
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 98 (458,566)
Citation 1

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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 85 (501,837)
Citation 43

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Commitment, discretion, credibility, welfare

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 2022
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 46 (684,647)

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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 30 (797,574)
Citation 1

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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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