Ernst Schaumburg
Ernst Schaumburg
AQR Capital Management LLC
Verifierad e-postadress på aqr.com
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Jump-robust volatility estimation using nearest neighbor truncation
TG Andersen, D Dobrev, E Schaumburg
Journal of Econometrics 169 (1), 75-93, 2012
4412012
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
3912008
Likelihood analysis of seasonal cointegration
S Johansen, E Schaumburg
Journal of Econometrics 88 (2), 301-339, 1999
1661999
An investigation of the gains from commitment in monetary policy
E Schaumburg, A Tambalotti
Journal of monetary economics 54 (2), 302-324, 2007
1272007
A closer look at the short-term return reversal
Z Da, Q Liu, E Schaumburg
Management science 60 (3), 658-674, 2014
1232014
Intertemporal disturbances
GE Primiceri, E Schaumburg, A Tambalotti
National Bureau of Economic Research Working Paper Series, 2006
1192006
Relative valuation and analyst target price forecasts
Z Da, E Schaumburg
Journal of Financial Markets 14 (1), 161-192, 2011
1112011
How Informative are Reported Holdings? Evidence for US Domestic Equity Mutual Funds
I Meiera, E Schaumburgb
Working Paper (available at SSRN Link), 2005
932005
Why are we in a recession?
R Jagannathan, M Kapoor, E Schaumburg
The Financial Crisis is the Symptom not the Disease, 2009
622009
Cross-sectional asset pricing tests
R Jagannathan, E Schaumburg, G Zhou
Annu. Rev. Financ. Econ. 2 (1), 49-74, 2010
532010
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
522013
Duration-based volatility estimation
TG Andersen, D Dobrev, E Schaumburg
Institute of Economic Research, Hitotsubashi University, 2009
402009
A robust neighborhood truncation approach to estimation of integrated quarticity
TG Andersen, D Dobrev, E Schaumburg
Econometric Theory, 3-59, 2014
302014
Decomposing short-term return reversal
Z Da, Q Liu, E Schaumburg
FRB of New York Staff Report, 2011
282011
Maximum likelihood estimation of jump processes with applications to finance
E Schaumburg
Ph. D. Thesis, 2001
282001
Estimation of Markov processes with Lévy type generators
E Schaumburg
manuscript Kellogg School of Management, 2004
202004
The pricing of volatility risk across asset classes
Z Da, E Schaumburg
Federal Reserve Bank of New York Working Paper, 2011
192011
Do funds window dress? Evidence for US equity mutual funds
I Meier, E Schaumburg
Unpublished manuscript, Northwestern University, 2004
192004
Do funds window dress
I Meier, E Schaumburg
Evidence for US domestic, 2004
162004
Characteristic-sorted portfolios: Estimation and inference
MD Cattaneo, RK Crump, MH Farrell, E Schaumburg
Review of Economics and Statistics 102 (3), 531-551, 2020
142020
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Artiklar 1–20