Details about Ernst Schaumburg

Access statistics for papers by Ernst Schaumburg.

Last updated 2011-10-18. Update your information in the RePEc Author Service.

Short-id: psc490

Working Papers

2017

1. Stock Price Crashes: Role of Slow-Moving Capital
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2016

2. Characteristic-Sorted Portfolios: Estimation and Inference
   Staff Reports, Federal Reserve Bank of New York View citations (4)
3. Continuing the Conversation on Liquidity
   Liberty Street Economics, Federal Reserve Bank of New York
4. Primary Dealer Participation in the Secondary U.S. Treasury Market
   Liberty Street Economics, Federal Reserve Bank of New York View citations (3)

2015

5. Introduction to a Series on Market Liquidity
   Liberty Street Economics, Federal Reserve Bank of New York
6. Introduction to a Series on Market Liquidity: Part 2
   Liberty Street Economics, Federal Reserve Bank of New York
7. The Evolution of Workups in the U.S. Treasury Securities Market
   Liberty Street Economics, Federal Reserve Bank of New York

2013

8. A robust neighborhood truncation approach to estimation of integrated quarticity
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)

2011

9. A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (13)
10. Decomposing short-term return reversal
    Staff Reports, Federal Reserve Bank of New York View citations (6)
11. What to Make of Market Measures of Inflation Expectations?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (4)

2010

12. Jump-robust volatility estimation using nearest neighbor truncation
    Staff Reports, Federal Reserve Bank of New York View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (19)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (13)

2009

13. Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease!
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
14. Duration-Based Volatility Estimation
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (9)

2006

15. Intertemporal Disturbances
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (40)
    Also in 2006 Meeting Papers, Society for Economic Dynamics (2006) View citations (30)

2005

16. Calculating and Using Second Order Accurate Solutions of Discrete Time Dynamic Equilibrium Models
    Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University View citations (90)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2003) View citations (69)

2004

17. An Investigation of the Gains from Commitment in Monetary Policy
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (7)
    Also in Staff Reports, Federal Reserve Bank of New York (2003) View citations (4)
    Macroeconomics, University Library of Munich, Germany (2003) View citations (13)
    See also Journal Article An investigation of the gains from commitment in monetary policy, Journal of Monetary Economics, Elsevier (2007) View citations (147) (2007)

1997

18. Likelihood Analysis of Seasonal Cointegration
    Economics Working Papers, European University Institute View citations (4)
    See also Journal Article Likelihood analysis of seasonal cointegration, Journal of Econometrics, Elsevier (1998) View citations (40) (1998)

Journal Articles

2011

1. Relative valuation and analyst target price forecasts
   Journal of Financial Markets, 2011, 14, (1), 161-192 View citations (35)

2010

2. Cross-Sectional Asset Pricing Tests
   Annual Review of Financial Economics, 2010, 2, (1), 49-74 View citations (18)

2007

3. An investigation of the gains from commitment in monetary policy
   Journal of Monetary Economics, 2007, 54, (2), 302-324 View citations (147)
   See also Working Paper An Investigation of the Gains from Commitment in Monetary Policy, Econometric Society 2004 North American Summer Meetings (2004) View citations (7) (2004)

1998

4. Likelihood analysis of seasonal cointegration
   Journal of Econometrics, 1998, 88, (2), 301-339 View citations (40)
   See also Working Paper Likelihood Analysis of Seasonal Cointegration, Economics Working Papers (1997) View citations (4) (1997)