Ernst Schaumburg : Citation Profile


Are you Ernst Schaumburg?

Federal Reserve Bank of New York

9

H index

9

i10 index

603

Citations

RESEARCH PRODUCTION:

4

Articles

25

Papers

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 30
   Journals where Ernst Schaumburg has often published
   Relations with other researchers
   Recent citing documents: 88.    Total self citations: 3 (0.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc490
   Updated: 2020-11-21    RAS profile: 2011-10-18    
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Relations with other researchers


Works with:

Fleming, Michael (5)

Adrian, Tobias (3)

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

Is cited by:

Ralf, Kirsten (26)

Chatelain, Jean-Bernard (26)

GUPTA, RANGAN (16)

Fernandez-Villaverde, Jesus (14)

Rubio-Ramirez, Juan F (14)

Kim, Jinill (13)

Bollerslev, Tim (12)

Kirsanova, Tatiana (11)

Dennis, Richard (10)

Pierdzioch, Christian (9)

Nunes, Ricardo (9)

Cites to:

Gali, Jordi (8)

Clarida, Richard (8)

Gertler, Mark (8)

Svensson, Lars (7)

Barndorff-Nielsen, Ole (6)

Shephard, Neil (6)

Stambaugh, Robert (4)

Podolskij, Mark (4)

Woodford, Michael (4)

Pastor, Lubos (4)

Campbell, John (4)

Main data


Where Ernst Schaumburg has published?


Working Papers Series with more than one paper published# docs
Liberty Street Economics / Federal Reserve Bank of New York6
Staff Reports / Federal Reserve Bank of New York4

Recent works citing Ernst Schaumburg (2020 and 2019)


YearTitle of citing document
2020Dynamic 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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2020Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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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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2020High 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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2019Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Papers. RePEc:arx:papers:1912.07165.

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2020Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions. (2020). Chatelain, Jean-Bernard ; Ralf, Kirsten ; Jean- Bernard Chatelain, . In: Papers. RePEc:arx:papers:2002.04508.

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2020Hopf Bifurcation from new-Keynesian Taylor rule to Ramsey Optimal Policy. (2020). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: Papers. RePEc:arx:papers:2002.07479.

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2020Recurrent Conditional Heteroskedasticity. (2020). Kohn, R ; M. -N. Tran, ; T. -N. Nguyen, . In: Papers. RePEc:arx:papers:2010.13061.

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2020Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model. (2020). Wells, Martin T ; Jarrow, Robert A ; Zhu, Liao. In: Papers. RePEc:arx:papers:2011.04171.

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2020Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Zhu, Hongliang ; Azencott, Robert ; Kong, AO. In: Papers. RePEc:arx:papers:2011.04939.

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2019The Effects of Analyst‐Country Institutions on Biased Research: Evidence from Target Prices. (2019). Huang, Alan G ; Bradshaw, Mark T ; Tan, Hongping . In: Journal of Accounting Research. RePEc:bla:joares:v:57:y:2019:i:1:p:85-120.

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2020Cyber-Attacks and Cryptocurrencies. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8124.

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2020Learning, house prices and macro-financial linkages. (2020). Gandre, Pauline. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-10.

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2020Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions. (2020). Chatelain, Jean-Bernard ; Ralf, Kirsten. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00955.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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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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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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2019Fear itself: How risk sensitive firms can give demand shocks bite. (2019). He, Zhaochen. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:437-452.

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2019Time-varying risk aversion and realized gold volatility. (2019). GUPTA, RANGAN ; Demirer, Riza ; Pierdzioch, Christian ; Gkillas, Konstantinos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306399.

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2019Firm characteristics and jump dynamics in stock prices around earnings announcements. (2019). Qi, John ; Zhou, Haigang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819302980.

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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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2020Volatility forecasting accuracy for Bitcoin. (2020). Posch, Peter ; Schmidtke, Philipp ; Kochling, Gerrit. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304239.

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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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2019Unified inference for nonlinear factor models from panels with fixed and large time span. (2019). Todorov, Viktor ; Fusari, Nicola ; Andersen, Torben G ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:4-25.

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2020Volatility estimation and jump detection for drift–diffusion processes. (2020). Shi, Shuping ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:259-290.

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2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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2019Information content of the limit order book for crude oil futures price volatility. (2019). Duong, Huu Nhan ; Tian, Xiao ; Kalev, Petko S. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:584-597.

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2020Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model. (2020). Tiwari, Aviral ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Aye, Goodness C. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300876.

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2019Corporate governance and target price accuracy. (2019). Su, Yi-Chen ; Cheng, Lee-Young ; Zhao, Yan ; Yan, Zhipeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:93-101.

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2019Overnight momentum, informational shocks, and late informed trading in China. (2019). Li, Youwei ; Xiong, Xiong ; Han, Xing ; Gao, YA. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919302741.

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2020Social media effect, investor recognition and the cross-section of stock returns. (2020). Li, Youwei ; Feng, XU ; Cao, Xing ; Zhang, Wei ; Meng, Xiangtong. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919304818.

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2020Non-parametric quantile dependencies between volatility discontinuities and political risk. (2020). Vasiliadis, Lavrentios ; Vortelinos, Dimitrios ; Boako, Gideon ; Gkillas, Konstantinos. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318303829.

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2019The information content of short-term options. (2019). Simen, Chardin Wese ; Symeonidis, Lazaros ; Stancu, Andrei ; Oikonomou, Ioannis. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118303057.

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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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2019Short-term momentum (almost) everywhere. (2019). Zaremba, Adam ; Karathanasopoulos, Andreas ; Long, Huaigang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119300976.

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2019Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847.

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2020The impact of sentiment and attention measures on stock market volatility. (2020). Audrino, Francesco ; Ballinari, Daniele ; Sigrist, Fabio. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:334-357.

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2020Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?. (2020). Lyócsa, Štefan ; Todorova, Neda. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:628-645.

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2020Analysts and anomalies. (2020). McLean, David R ; Engelberg, Joseph ; Pontiff, Jeffrey . In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:69:y:2020:i:1:s0165410119300448.

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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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2020Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:104:y:2020:i:c:s0261560619300075.

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2020The inherent benefit of monetary unions. (2020). Monacelli, Tommaso ; Groll, Dominik. In: Journal of Monetary Economics. RePEc:eee:moneco:v:111:y:2020:i:c:p:63-79.

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2019Cross-sectional return dispersion and volatility prediction. (2019). Wen, Conghua ; Liu, Xiaoquan ; Fei, Tianlun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x19301830.

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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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2020Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets. (2020). Gao, Yang ; Sun, Bianxia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318539.

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2019Empirical likelihood for high frequency data. (2019). Otsu, Taisuke ; Matsushita, Yukitoshi ; Camponovo, Lorenzo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:100320.

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2019Economic News Releases and Financial Markets in South Africa. (2019). Tsagkanos, Athanasios ; Floros, Christos ; Vortelinos, Dimitrios ; Gkillas, Konstantinos. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:4:p:112-:d:285205.

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2020Hopf Bifurcation from new-Keynesian Taylor rule to Ramsey Optimal Policy. (2020). Ralf, Kirsten ; Chatelain, Jean-Bernard ; Jean- Bernard Chatelain, . In: Post-Print. RePEc:hal:journl:hal-01527872.

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2020Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions. (2020). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: Post-Print. RePEc:hal:journl:hal-02471593.

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2020Hopf Bifurcation from new-Keynesian Taylor rule to Ramsey Optimal Policy. (2020). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: PSE-Ecole d'économie de Paris (Postprint). RePEc:hal:pseptp:hal-01527872.

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2020Hopf 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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2019Ramsey Optimal Policy in the New-Keynesian Model with Public Debt. (2019). Chatelain, Jean-Bernard ; Ralf, Kirsten ; Jean- Bernard Chatelain, . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02278781.

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2020Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions. (2019). Chatelain, Jean-Bernard ; Ralf, Kirsten ; Jean- Bernard Chatelain, . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02278791.

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2019Policy Makers Credibility with Predetermined Instruments for Forward-Looking Targets. (2019). Ralf, Kirsten. In: PSE Working Papers. RePEc:hal:psewpa:halshs-02371913.

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2020Hopf Bifurcation from New-Keynesian Taylor Rule to Ramsey Optimal Policy. (2018). Chatelain, Jean-Bernard ; Ralf, Kirsten. In: Working Papers. RePEc:hal:wpaper:halshs-01549929.

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

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2020Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions. (2019). Chatelain, Jean-Bernard ; Ralf, Kirsten. In: Working Papers. RePEc:hal:wpaper:halshs-02278791.

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2019Policy Makers Credibility with Predetermined Instruments for Forward-Looking Targets. (2019). Chatelain, Jean-Bernard ; Ralf, Kirsten. In: Working Papers. RePEc:hal:wpaper:halshs-02371913.

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2020Accuracy of European Stock Target Prices. (2020). Gaspar, Raquel M ; Almeida, Joana. In: Working Papers REM. RePEc:ise:remwps:wp01152020.

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2019Incorporating Realized Quarticity into a Realized Stochastic Volatility Model. (2019). Morimoto, Takayuki ; Nugroho, Didit Budi. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:4:d:10.1007_s10690-019-09276-2.

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2020Optimal Filter Approximations for Latent Long Memory Stochastic Volatility. (2020). Ching, Grace Lee. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09933-8.

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2020Oil shocks and volatility jumps. (2020). GUPTA, RANGAN ; Wohar, Mark E ; Gkillas, Konstantinos. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:1:d:10.1007_s11156-018-00788-y.

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2019Do High-frequency-based Measures Improve Conditional Covariance Forecasts?. (2019). Dumitrescu, Elena Ivona ; Banulescu-Radu, Denisa. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2709.

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2020High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-3.

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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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2020Oil price assumptions for macroeconomic policy. (2020). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:100705.

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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 ; Filis, George ; Degiannakis, Stavros ; Klein, Tony. In: MPRA Paper. RePEc:pra:mprapa:96267.

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2019Overnight Momentum, Informational Shocks, and Late-Informed Trading in China. (2019). Li, Youwei ; Gao, YA ; Xiong, Xiong ; Han, Xing . In: MPRA Paper. RePEc:pra:mprapa:96784.

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2020Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions. (2020). Chatelain, Jean-Bernard ; Ralf, Kirsten ; Jean- Bernard Chatelain, . In: MPRA Paper. RePEc:pra:mprapa:98554.

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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 (Gillas), 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 ; Demirer, Riza ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:201972.

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2020Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202003.

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2020A Note on Investor Happiness and the Predictability of Realized Volatility of Gold. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202004.

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2020Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202009.

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2020A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility. (2020). GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:202010.

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2020Unconventional Monetary Policy, Leverage & Default Dynamics. (2020). Palombo, Edoardo. In: Working Papers. RePEc:qmw:qmwecw:910.

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2019Challenges of integrated variance estimation in emerging stock markets. (2019). Matkovi, Mario ; Arneri, Josip. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:37:y:2019:i:2:p:713-739.

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2019Estimation of volatility in a high-frequency setting: a short review. (2019). Jacod, Jean. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00253-y.

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2019Asymptotic results for the Fourier estimator of the integrated quarticity. (2019). Marmi, Stefano ; Mancino, Maria Elvira ; Livieri, Giulia. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00259-6.

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2020Realized volatility and jump testing in the Japanese electricity spot market. (2020). Zarraga, Ainhoa ; Muniain, Peru ; Ciarreta, Aitor. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1577-6.

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2020Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments. (2020). Wang, Bin ; Park, Joon ; Kim, Jihyun. In: TSE Working Papers. RePEc:tse:wpaper:124234.

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2020Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions. (2020). Chatelain, Jean-Bernard ; Ralf, Kirsten ; Jean- Bernard Chatelain, . In: EconStor Open Access Articles. RePEc:zbw:espost:213806.

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2020Hopf Bifurcation from New-Keynesian Taylor Rule to Ramsey Optimal Policy. (2020). Ralf, Kirsten ; Chatelain, Jean-Bernard. In: EconStor Open Access Articles. RePEc:zbw:espost:213930.

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2019Forecasting the Realized Variance in the Presence of Intraday Periodicity. (2019). Hizmeri, Rodrigo ; DUMITRU, ANA-MARIA ; Izzeldin, Marwan. In: EconStor Preprints. RePEc:zbw:esprep:193631.

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Works by Ernst Schaumburg:


YearTitleTypeCited
2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation In: CREATES Research Papers.
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paper187
2010Jump-robust volatility estimation using nearest neighbor truncation.(2010) In: Staff Reports.
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This paper has another version. Agregated cites: 187
paper
2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 187
paper
2011A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation In: CREATES Research Papers.
[Full Text][Citation analysis]
paper11
2011A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2010Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics.
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article13
2004An Investigation of the Gains from Commitment in Monetary Policy In: Econometric Society 2004 North American Summer Meetings.
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paper137
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