Ernst Schaumburg : Citation Profile


Are you Ernst Schaumburg?

Federal Reserve Bank of New York

8

H index

8

i10 index

516

Citations

RESEARCH PRODUCTION:

4

Articles

18

Papers

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 25
   Journals where Ernst Schaumburg has often published
   Relations with other researchers
   Recent citing documents: 103.    Total self citations: 3 (0.58 %)

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   Permalink: http://citec.repec.org/psc490
   Updated: 2019-11-10    RAS profile: 2011-10-18    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ernst Schaumburg.

Is cited by:

Fernandez-Villaverde, Jesus (14)

Rubio-Ramirez, Juan F (14)

Kim, Jinill (13)

Kirsanova, Tatiana (11)

Dennis, Richard (10)

Chatelain, Jean-Bernard (10)

Bollerslev, Tim (10)

Nunes, Ricardo (9)

Tristani, Oreste (9)

Leith, Campbell (8)

Sévi, Benoît (8)

Cites to:

Gertler, Mark (8)

Gali, Jordi (8)

Clarida, Richard (8)

Svensson, Lars (7)

Shephard, Neil (6)

Barndorff-Nielsen, Ole (6)

Stambaugh, Robert (4)

Podolskij, Mark (4)

Menkveld, Albert (4)

Campbell, John (4)

Pastor, Lubos (4)

Main data


Where Ernst Schaumburg has published?


Working Papers Series with more than one paper published# docs
Staff Reports / Federal Reserve Bank of New York4

Recent works citing Ernst Schaumburg (2018 and 2017)


YearTitle of citing document
2018Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span. (2018). Andersen, Torben ; Varneskov, Rasmus T ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-03.

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2018The State of New Keynesian Economics: A Partial Assessment. (2018). Gali, Jordi. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:32:y:2018:i:3:p:87-112.

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2018The distributional impacts of fiscal consolidation in Uganda. (2018). Lakuma, Corti Paul ; Munyambonera, Ezra ; Lwanga, Musa Mayanja ; Mawejje, Joseph. In: Research Series. RePEc:ags:eprcrs:275660.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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2017Optimum thresholding using mean and conditional mean square error. (2017). Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339.

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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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2019Large Sample Properties of Partitioning-Based Series Estimators. (2019). Cattaneo, Matias ; Feng, Yingjie ; Farrell, Max H. In: Papers. RePEc:arx:papers:1804.04916.

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2019High Dimensional Estimation and Multi-Factor Models. (2019). Jarrow, Robert ; Wells, Martin T ; Basu, Sumanta ; Zhu, Liao. In: Papers. RePEc:arx:papers:1804.08472.

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2017Momentum Decomposition: Evidence from Emerging Markets. (2017). Wei, Xianhua ; Guo, Hongbo . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:123-132.

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2018Limited Commitment, Endogenous Credibility and the Challenges of Price-level Targeting. (2018). Shukayev, Malik ; Cateau, Gino. In: Staff Working Papers. RePEc:bca:bocawp:18-61.

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2018A large central bank balance sheet? floor vs corridor systems in a new keynesian environment. (2018). Thomas, Carlos ; Thaler, Dominik ; Nuño Barrau, Galo ; Nuo, Galo ; Arce, Oscar. In: Working Papers. RePEc:bde:wpaper:1851.

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2017The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets. (2017). LINTON, OLIVER ; Crowley-Reidy, Liam ; Tobek, Ondrej ; Pedace, Lucas ; Noss, Joseph. In: Bank of England working papers. RePEc:boe:boeewp:0687.

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2018Central Bank Credibility and Monetary Policy. (2018). Park, Kwangyong. In: Working Papers. RePEc:bok:wpaper:1845.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Neuhierl, Andreas ; Freyberger, Joachim. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391.

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2018Dissecting Characteristics Nonparametrically. (2018). Weber, Michael ; Neuhierl, Andreas ; Freyberger, Joachim. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7187.

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2018Muddying the waters: Who Induces Volatility in an Emerging Market?. (2018). Agudelo, Diego ; Gencay, Ramazan ; Yepes-Henao, Paula A. In: Documentos de Trabajo CIEF. RePEc:col:000122:016974.

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2018Versatile Forward Guidance: Escaping or Switching?. (2018). Liu, Yulin ; Gersbach, Hans ; Tischhauser, Martin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12559.

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2018The State of New Keynesian Economics: A Partial Assessment. (2018). Gali, Jordi. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13095.

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2017FUTURES-BASED MEASURES OF MONETARY POLICY AND JUMP RISK. (2017). Inekwe, John ; Nkwoma, Inekwe John . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:02:p:384-405_00.

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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Muniainy, Peru ; Ciarreta, Aitor. In: ISER Discussion Paper. RePEc:dpr:wpaper:0991.

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2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

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2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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2018Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Omura, Akihiro ; Todorova, Neda ; Chung, Richard ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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2017Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

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2019On two notions of imperfect credibility in optimal monetary policies. (2019). Kam, Timothy ; Fujiwara, Ippei ; Sunakawa, Takeki. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:22-25.

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2017Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:20-41.

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2017Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Clinet, Simon ; Potiron, Yoann. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:103-142.

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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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2019Optimum thresholding using mean and conditional mean squared error. (2019). Figueroa-Lopez, Jose E ; Mancini, Cecilia . In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:179-210.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:289-337.

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2017Federal Reserve credibility and the term structure of interest rates. (2017). Lakdawala, Aeimit ; Wu, Shu. In: European Economic Review. RePEc:eee:eecrev:v:100:y:2017:i:c:p:364-389.

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2018Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets. (2018). Qu, Hui ; Niu, Mengyi ; Duan, Qingling. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:767-776.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2018When does the tone of earnings press releases matter?. (2018). Boudt, Kris ; Torsin, Wouter ; Thewissen, James . In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:231-245.

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2017Identifying events in financial time series – A new approach with bipower variation. (2017). Andor, Gyorgy ; Bohak, Andras . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:42-48.

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2017The effect of non-trading days on volatility forecasts in equity markets. (2017). Molnár, Peter ; Lyócsa, Štefan ; Lyocsa, Tefan ; Molnar, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:39-49.

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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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2018Multi-factor asset pricing models: Factor construction choices and the revisit of pricing factors. (2018). Skoir, Matev ; Lonarski, Igor. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:65-80.

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2019Central bank announcements and realized volatility of stock markets in G7 countries. (2019). Molnár, Peter ; Lyócsa, Štefan ; Plihal, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:117-135.

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2017Realised variance forecasting under Box-Cox transformations. (2017). Taylor, Nick. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785.

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2019Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market. (2019). Ignatieva, Katja ; da Fonseca, Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:45-62.

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2018Labor force participation, wage rigidities, and inflation. (2018). Nucci, Francesco ; Riggi, Marianna. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:55:y:2018:i:c:p:274-292.

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2017How optimal is US monetary policy?. (2017). Leith, Campbell ; Kirsanova, Tatiana ; Chen, Xiaoshan. In: Journal of Monetary Economics. RePEc:eee:moneco:v:92:y:2017:i:c:p:96-111.

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2018Innovation, productivity, and monetary policy. (2018). Moran, Patrick ; Queralto, Albert. In: Journal of Monetary Economics. RePEc:eee:moneco:v:93:y:2018:i:c:p:24-41.

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2018Modeling returns volatility: Realized GARCH incorporating realized risk measure. (2018). Jiang, Wei ; Li, YE ; Ruan, Qingsong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:500:y:2018:i:c:p:249-258.

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2019Modeling stock market volatility using new HAR-type models. (2019). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:194-211.

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2019Forecasting the Chinese stock volatility across global stock markets. (2019). Zhang, Yaojie ; Ma, Feng ; Liu, Jing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:466-477.

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2017Contractual externalities and systemic risk. (2017). Ozdenoren, Emre ; Yuan, Kathy. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:75998.

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2018Open Mouth Operations. (2018). Campbell, Jeffrey ; Weber, Jacob P. In: Working Paper Series. RePEc:fip:fedhwp:wp-2018-03.

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2018Discretion Rather than Rules: Equilibrium Uniqueness and Forward Guidance with Inconsistent Optimal Plans. (2018). Campbell, Jeffrey ; Weber, Jacob P. In: Working Paper Series. RePEc:fip:fedhwp:wp-2018-14.

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2017Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility. (2017). Dong, Yingjie ; Tse, Yiu-Kuen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:51-:d:118613.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2017Can We Identify the Feds Preferences?. (2017). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: PSE Working Papers. RePEc:hal:psewpa:halshs-01549908.

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2018Hopf Bifurcation from New-Keynesian Taylor Rule to Ramsey Optimal Policy. (2018). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: PSE Working Papers. RePEc:hal:psewpa:halshs-01549929.

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2018Imperfect Credibility versus No Credibility of Optimal Monetary Policy. (2018). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: PSE Working Papers. RePEc:hal:psewpa:halshs-01849864.

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2018The Indeterminacy of Determinacy with Fiscal, Macro-prudential or Taylor Rules. (2018). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: PSE Working Papers. RePEc:hal:psewpa:halshs-01877766.

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2019Ramsey Optimal Policy in the New-Keynesian Model with Public Debt. (2019). Ralf, Kirsten ; Chatelain, Jean-Bernard ; Jean- Bernard Chatelain, . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02278781.

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2019Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions. (2019). Ralf, Kirsten ; Chatelain, Jean-Bernard ; Jean- Bernard Chatelain, . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02278791.

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2017Hopf Bifurcation from new-Keynesian Taylor rule to Ramsey Optimal Policy. (2017). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: Working Papers. RePEc:hal:wpaper:hal-01527872.

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2018Volatility Estimation and Jump Detection for drift-diffusion Processes. (2018). Shi, Shuping ; Laurent, Sébastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944449.

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2017Bootstrapping high-frequency jump tests. (2017). Goncalves, Silvia ; Dovonon, Prosper ; Meddahi, Nour ; Hounyo, Ulrich. In: IDEI Working Papers. RePEc:ide:wpaper:31735.

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2018Asset market equilibrium with liquidity risk. (2018). Jarrow, Robert. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:2:d:10.1007_s10436-017-0316-x.

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2018Stock Market Contagion: a New Approach. (2018). Lyócsa, Štefan ; Horvath, Roman ; Lyocsa, Tefan. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:3:d:10.1007_s11079-018-9481-4.

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2017Volatility forecasting in the Chinese commodity futures market with intraday data. (2017). Jiang, Ying ; Liu, Xiaoquan ; Ahmed, Shamim . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0570-4.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2017Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-14.

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2018Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-17.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas. In: NBER Working Papers. RePEc:nbr:nberwo:23227.

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2018The State of New Keynesian Economics: A Partial Assessment. (2018). Gali, Jordi. In: NBER Working Papers. RePEc:nbr:nberwo:24845.

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2018Testing for Co-jumps in Financial Markets. (2018). Novotn, Jan ; Urga, Giovanni. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:118-128..

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2019Measuring the relative return contribution of risk factors. (2019). Pynnonen, Seppo ; Koutmos, Gregory ; Kolari, James W ; Knif, Johan. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:4:d:10.1057_s41260-019-00121-9.

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2017Federal Reserve Credibility and the Term Structure of Interest Rates. (2017). Lakdawala, Aeimit ; Wu, Shu. In: MPRA Paper. RePEc:pra:mprapa:78253.

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2017Hopf Bifurcation from new-Keynesian Taylor rule to Ramsey Optimal Policy. (2017). Ralf, Kirsten ; Chatelain, Jean-Bernard ; Kirsten, Ralf . In: MPRA Paper. RePEc:pra:mprapa:79244.

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2018Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting. (2018). Gerlach, Richard ; Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:83893.

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2018Cojumps and Asset Allocation in International Equity Markets. (2018). Nguyen, Duc Khuong ; M'SADDEK, Oussama ; Pukthuanthong, Kuntara ; Msaddek, Oussama ; el Hedi, Mohamed. In: MPRA Paper. RePEc:pra:mprapa:89938.

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2018Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting. (2018). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: MPRA Paper. RePEc:pra:mprapa:94289.

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2019Oil price volatility forecasts: What do investors need to know?. (2019). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:94445.

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2019Forecasting Realized Volatility of Agricultural Commodities. (2019). Walther, Thomas ; Klein, Tony ; Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:96267.

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2018Volatility Jumps: The Role of Geopolitical Risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201805.

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2018Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201825.

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2018Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements. (2018). Suleman, Tahir ; Lau, Chi Keung ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201871.

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2018Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201879.

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2018Time-Varying Risk Aversion and Realized Gold Volatility. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:201881.

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2019Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Aye, Goodness C. In: Working Papers. RePEc:pre:wpaper:201918.

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2019Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests. (2019). Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:201972.

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2017Dealing with Time-inconsistency: Inflation Targeting vs. Exchange Rate Targeting. (2017). Fujiwara, Ippei ; Davis, Jonathan. In: 2017 Meeting Papers. RePEc:red:sed017:795.

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2017A general inversion theorem for cointegration. (2017). Paruolo, Paolo ; Franchi, Massimo. In: DSS Empirical Economics and Econometrics Working Papers Series. RePEc:sas:wpaper:20173.

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2017On the structure of state space systems with unit roots. (2017). . In: DSS Empirical Economics and Econometrics Working Papers Series. RePEc:sas:wpaper:20174.

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2018S&P500 volatility analysis using high-frequency multipower variation volatility proxies. (2018). chin, wencheong ; Lee, Min Cherng. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1345-z.

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2017Essays in empirical finance and monetary policy. (2017). van Holle, Frederiek. In: Other publications TiSEM. RePEc:tiu:tiutis:30d11a4b-7bc9-4c81-ad24-5ca36f83e31f.

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2017Bootstrapping high-frequency jump tests. (2017). Goncalves, Silvia ; Dovonon, Prosper ; Meddahi, Nour ; Hounyo, Ulrich. In: TSE Working Papers. RePEc:tse:wpaper:31740.

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2018Dealing with Time Inconsistency: Inflation Targeting versus Exchange Rate Targeting. (2018). Fujiwara, Ippei ; Wang, Jiao ; Davis, Scott J. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:50:y:2018:i:7:p:1369-1399.

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2017A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES. (2017). Jarrow, Robert. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500534.

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2018An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles. (2018). Jarrow, Robert. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:08:y:2018:i:02:n:s2010139218500052.

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2017Can we Identify the Feds Preferences?. (2017). Ralf, Kirsten ; Chatelain, Jean-Bernard ; Jean- Bernard Chatelain, . In: EconStor Preprints. RePEc:zbw:esprep:149993.

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More than 100 citations found, this list is not complete...

Works by Ernst Schaumburg:


YearTitleTypeCited
2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation In: CREATES Research Papers.
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paper145
2010Jump-robust volatility estimation using nearest neighbor truncation.(2010) In: Staff Reports.
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This paper has another version. Agregated cites: 145
paper
2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 145
paper
2011A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation In: CREATES Research Papers.
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paper11
2011A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 11
paper
2010Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics.
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article12
2004An Investigation of the Gains from Commitment in Monetary Policy In: Econometric Society 2004 North American Summer Meetings.
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paper116
2007An investigation of the gains from commitment in monetary policy.(2007) In: Journal of Monetary Economics.
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This paper has another version. Agregated cites: 116
article
2003An investigation of the gains from commitment in monetary policy.(2003) In: Staff Reports.
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This paper has another version. Agregated cites: 116
paper
2003An Investigation of the Gains from Commitment in Monetary Policy.(2003) In: Macroeconomics.
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This paper has another version. Agregated cites: 116
paper
1998Likelihood analysis of seasonal cointegration In: Journal of Econometrics.
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article39
1997Likelihood Analysis of Seasonal Cointegration.(1997) In: Economics Working Papers.
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This paper has another version. Agregated cites: 39
paper
2011Relative valuation and analyst target price forecasts In: Journal of Financial Markets.
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article11
2003Calculating and using second order accurate solutions of discrete time dynamic equilibrium models In: Finance and Economics Discussion Series.
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paper125
2005Calculating and Using Second Order Accurate Solutions of Discrete Time Dynamic Equilibrium Models.(2005) In: Discussion Papers Series, Department of Economics, Tufts University.
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This paper has another version. Agregated cites: 125
paper
2011Decomposing short-term return reversal In: Staff Reports.
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paper4
2016Characteristic-sorted portfolios: estimation and inference In: Staff Reports.
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paper4
2009Duration-Based Volatility Estimation In: Global COE Hi-Stat Discussion Paper Series.
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paper3
2006Intertemporal Disturbances In: NBER Working Papers.
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paper40
2006Intertemporal disturbances.(2006) In: 2006 Meeting Papers.
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This paper has another version. Agregated cites: 40
paper
2009Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease! In: NBER Working Papers.
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paper6
2017Stock Price Crashes: Role of Slow-Moving Capital In: NBER Working Papers.
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