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Ernst Schaumburg
Ernst Schaumburg
AQR Capital Management LLC
Verified email at aqr.com
Title
Cited by
Cited by
Year
Jump-robust volatility estimation using nearest neighbor truncation
TG Andersen, D Dobrev, E Schaumburg
Journal of Econometrics 169 (1), 75-93, 2012
5802012
Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
J Kim, S Kim, E Schaumburg, CA Sims
Journal of Economic Dynamics and Control 32 (11), 3397-3414, 2008
4332008
Likelihood analysis of seasonal cointegration
S Johansen, E Schaumburg
Journal of Econometrics 88 (2), 301-339, 1999
1821999
A closer look at the short-term return reversal
Z Da, Q Liu, E Schaumburg
Management science 60 (3), 658-674, 2014
1802014
An investigation of the gains from commitment in monetary policy
E Schaumburg, A Tambalotti
Journal of monetary economics 54 (2), 302-324, 2007
1432007
Relative valuation and analyst target price forecasts
Z Da, E Schaumburg
Journal of Financial Markets 14 (1), 161-192, 2011
1362011
Intertemporal disturbances
G Primiceri, E Schaumburg, A Tambalotti
National Bureau of Economic Research, 2006
1292006
How Informative are Reported Holdings? Evidence for US Domestic Equity Mutual Funds
I Meiera, E Schaumburgb
Working Paper (available at SSRN Link), 2005
1042005
Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease!
R Jagannathan, M Kapoor, E Schaumburg
Journal of Financial Intermediation 22 (1), 4-29, 2013
892013
Why are we in a recession?
R Jagannathan, M Kapoor, E Schaumburg
The Financial Crisis is the Symptom not the Disease, 2009
682009
Cross-sectional asset pricing tests
R Jagannathan, E Schaumburg, G Zhou
Annu. Rev. Financ. Econ. 2 (1), 49-74, 2010
642010
Duration-based volatility estimation
TG Andersen, D Dobrev, E Schaumburg
Institute of Economic Research, Hitotsubashi University, 2009
552009
Characteristic-sorted portfolios: Estimation and inference
MD Cattaneo, RK Crump, MH Farrell, E Schaumburg
Review of Economics and Statistics 102 (3), 531-551, 2020
362020
A robust neighborhood truncation approach to estimation of integrated quarticity
TG Andersen, D Dobrev, E Schaumburg
Econometric Theory 30 (1), 3-59, 2014
342014
Decomposing short-term return reversal
Z Da, Q Liu, E Schaumburg
FRB of New York Staff Report, 2011
342011
Maximum likelihood estimation of jump processes with applications to finance
E Schaumburg
Ph. D. Thesis, 2001
292001
The pricing of volatility risk across asset classes
Z Da, E Schaumburg
Unpublished working paper. University of Notre Dame and Federal Reserve Banká…, 2011
252011
High-frequency cross-market trading: Model free measurement and applications
D Dobrev, E Schaumburg
Perspectives, 2017
242017
Do funds window dress? Evidence for US equity mutual funds
I Meier, E Schaumburg
Unpublished manuscript, Northwestern University, 2004
202004
Estimation of Markov processes with LÚvy type generators
E Schaumburg
manuscript Kellogg School of Management, 2004
192004
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