User profiles for E. Schaumburg

Ernst Schaumburg

AQR Capital Management LLC
Verified email at aqr.com
Cited by 2869

Jump-robust volatility estimation using nearest neighbor truncation

TG Andersen, D Dobrev, E Schaumburg - Journal of Econometrics, 2012 - Elsevier
We propose two new jump-robust estimators of integrated variance that allow for an
asymptotic limit theory in the presence of jumps. Specifically, our MedRV estimator has better …

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 …, 2008 - Elsevier
We describe an algorithm for calculating second-order approximations to the solutions to
nonlinear stochastic rational expectation models. The paper also explains methods for using …

A closer look at the short-term return reversal

Z Da, Q Liu, E Schaumburg - Management science, 2014 - pubsonline.informs.org
… To better match returns to earnings forecast revisions, for most parts of our analysis, we
examine the I/B/E/Smonth ranging from the current I/B/E/S consensus forecast issuance date (…

Cross-sectional asset pricing tests

R Jagannathan, E Schaumburg… - Annu. Rev. Financ. Econ …, 2010 - annualreviews.org
A major problem in finance is to understand why different financial assets earn vastly different
returns on average. In this paper, we survey various econometric approaches that have …

Relative valuation and analyst target price forecasts

Z Da, E Schaumburg - Journal of Financial Markets, 2011 - Elsevier
We document that within industry relative valuations implicit in analyst target prices do provide
investors with valuable information although the implied absolute valuations themselves …

Likelihood analysis of seasonal cointegration

S Johansen, E Schaumburg - Journal of Econometrics, 1999 - Elsevier
The error correction model for seasonal cointegration is analyzed. Conditions are found under
which the process is integrated of order 1 and cointegrated at seasonal frequency, and a …

An investigation of the gains from commitment in monetary policy

E Schaumburg, A Tambalotti - Journal of monetary economics, 2007 - Elsevier
We propose a simple framework for analyzing a continuum of monetary policy rules characterized
by differing degrees of credibility, in which commitment and discretion become special …

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 …, 2013 - Elsevier
Globalization has increasingly made it possible for labor in developing countries to augment
labor in the developed world, without having to relocate, in ways not thought possible only a …

[PDF][PDF] Intertemporal disturbances

Disturbances affecting agents intertemporal substitution are the key driving force of macroeconomic
fluctuations. We reach this conclusion exploiting the bond pricing implications of an …

[PDF][PDF] Do funds window dress? Evidence for US domestic equity mutual funds

I Meier, E Schaumburg - … working paper, HEC Montreal and Kellogg …, 2004 - academia.edu
It is not uncommon for mutual fund managers to make significant adjustments to their allocations
before closing out their portfolios at the end of the quarter. The common wisdom on the …