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Details about Ernst Schaumburg

Workplace:Federal Reserve Bank of New York, (more information at EDIRC)

Access statistics for papers by Ernst Schaumburg.

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

Short-id: psc490


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Working Papers

2017

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

2016

  1. Characteristic-Sorted Portfolios: Estimation and Inference
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (4)

2011

  1. A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (5)
  2. Decomposing short-term return reversal
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (4)

2010

  1. Jump-robust volatility estimation using nearest neighbor truncation
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (8)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (13)

2009

  1. 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 Downloads View citations (6)
  2. Duration-Based Volatility Estimation
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (5)

2006

  1. Intertemporal Disturbances
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (34)
    Also in 2006 Meeting Papers, Society for Economic Dynamics (2006) Downloads View citations (24)

2005

  1. 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 Downloads View citations (85)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2003) Downloads View citations (58)

2004

  1. An Investigation of the Gains from Commitment in Monetary Policy
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (7)
    Also in Staff Reports, Federal Reserve Bank of New York (2003) Downloads View citations (3)
    Macroeconomics, University Library of Munich, Germany (2003) Downloads View citations (11)

    See also Journal Article in Journal of Monetary Economics (2007)

1997

  1. Likelihood Analysis of Seasonal Cointegration
    Economics Working Papers, European University Institute View citations (4)
    See also Journal Article in Journal of Econometrics (1998)

Journal Articles

2011

  1. Relative valuation and analyst target price forecasts
    Journal of Financial Markets, 2011, 14, (1), 161-192 Downloads View citations (13)

2010

  1. Cross-Sectional Asset Pricing Tests
    Annual Review of Financial Economics, 2010, 2, (1), 49-74 Downloads View citations (12)

2007

  1. An investigation of the gains from commitment in monetary policy
    Journal of Monetary Economics, 2007, 54, (2), 302-324 Downloads View citations (112)
    See also Working Paper (2004)

1998

  1. Likelihood analysis of seasonal cointegration
    Journal of Econometrics, 1998, 88, (2), 301-339 Downloads View citations (35)
    See also Working Paper (1997)
 
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