Ernst Schaumburg

Ernst Schaumburg

Assistant Vice President
Integrated Policy Analysis
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

Phone (212) 720-2744
ernst.schaumburg@ny.frb.org

   
Working Papers

Characteristic-Sorted Portfolios: Estimation and Inference
With Matias D. Cattaneo, Richard K. Crump, and Max H. Farrell
Federal Reserve Bank of New York Staff Reports, Number 788, August 2016

Decomposing Short-Term Return Reversal
With Zhi Da and Qianqiu Liu
Federal Reserve Bank of New York Staff Reports, 513, September 2011

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
With Torben G. Andersen and Dobrislav Dobrev
Federal Reserve Bank of New York Staff Reports, 465, August 2010

The views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.