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Ernst Schaumburg

Personal Details

First Name:Ernst
Middle Name:
Last Name:Schaumburg
Suffix:
RePEc Short-ID:psc490
[This author has chosen not to make the email address public]

Affiliation

Federal Reserve Bank of New York

New York City, New York (United States)
http://www.newyorkfed.org/

:

33 Liberty Street, New York, NY 10045-0001
RePEc:edi:frbnyus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Capital Constrained Traders," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
  2. Cattaneo, Matias D. & Crump, Richard K. & Farrell, Max H. & Schaumburg, Ernst, 2016. "Characteristic-sorted portfolios: estimation and inference," Staff Reports 788, Federal Reserve Bank of New York, revised 01 Jan 2018.
  3. Zhi Da & Qianqiu Liu & Ernst Schaumburg, 2011. "Decomposing short-term return reversal," Staff Reports 513, Federal Reserve Bank of New York.
  4. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011. "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," NBER Working Papers 17152, National Bureau of Economic Research, Inc.
  5. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," NBER Working Papers 15533, National Bureau of Economic Research, Inc.
  6. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Duration-Based Volatility Estimation," Global COE Hi-Stat Discussion Paper Series gd08-034, Institute of Economic Research, Hitotsubashi University.
  7. Ravi Jagannathan & Mudit Kapoor & Ernst Schaumburg, 2009. "Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease!," NBER Working Papers 15404, National Bureau of Economic Research, Inc.
  8. Giorgio E. Primiceri & Ernst Schaumburg & Andrea Tambalotti, 2006. "Intertemporal Disturbances," NBER Working Papers 12243, National Bureau of Economic Research, Inc.
  9. Henry Kim & Jinill Kim & Ernst Schaumburg & Christopher A. Sims, 2005. "Calculating and Using Second Order Accurate Solutions of Discrete Time Dynamic Equilibrium Models," Discussion Papers Series, Department of Economics, Tufts University 0505, Department of Economics, Tufts University.
  10. Andrea Tambalotti & Ernst Schaumburg, 2004. "An Investigation of the Gains from Commitment in Monetary Policy," Econometric Society 2004 North American Summer Meetings 282, Econometric Society.
  11. Jinill Kim & Sunghyun Kim & Ernst Schaumburg & Christopher A. Sims, 2003. "Calculating and Using Second Order Accurate Solutions of Discrete Time," Levine's Bibliography 666156000000000284, UCLA Department of Economics.
  12. Johansen, S. & Schaumburg, E., 1997. "Likelihood Analysis of Seasonal Cointegration," Economics Working Papers eco97/16, European University Institute.

Articles

  1. Da, Zhi & Schaumburg, Ernst, 2011. "Relative valuation and analyst target price forecasts," Journal of Financial Markets, Elsevier, vol. 14(1), pages 161-192, February.
  2. Ravi Jagannathan & Ernst Schaumburg & Guofu Zhou, 2010. "Cross-Sectional Asset Pricing Tests," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 49-74, December.
  3. Schaumburg, Ernst & Tambalotti, Andrea, 2007. "An investigation of the gains from commitment in monetary policy," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 302-324, March.
  4. Johansen, Soren & Schaumburg, Ernst, 1998. "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 17 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (7) 2005-02-20 2009-03-07 2009-11-27 2009-12-05 2010-09-03 2011-06-25 2016-08-21. Author is listed
  2. NEP-MAC: Macroeconomics (7) 2003-02-10 2004-01-18 2004-09-05 2004-10-30 2006-05-20 2007-01-13 2009-10-17. Author is listed
  3. NEP-MST: Market Microstructure (6) 2009-03-07 2009-11-27 2009-12-05 2010-09-03 2011-10-09 2018-01-08. Author is listed
  4. NEP-DGE: Dynamic General Equilibrium (5) 2003-09-28 2004-01-18 2005-02-20 2006-05-20 2007-01-13. Author is listed
  5. NEP-ETS: Econometric Time Series (5) 2009-03-07 2009-11-27 2009-12-05 2010-09-03 2011-06-25. Author is listed
  6. NEP-CBA: Central Banking (4) 2004-09-05 2004-10-30 2009-10-17 2011-10-09
  7. NEP-CMP: Computational Economics (3) 2003-09-28 2004-01-18 2005-02-20
  8. NEP-MON: Monetary Economics (3) 2003-02-10 2004-09-10 2004-10-30
  9. NEP-FMK: Financial Markets (2) 2009-03-07 2018-01-08
  10. NEP-HPE: History & Philosophy of Economics (1) 2009-10-17
  11. NEP-PKE: Post Keynesian Economics (1) 2003-02-10

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