NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Ernst Schaumburg

AQR Capital Management LLC
Greenwich Plaza
Greenwich, CT 06830

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org

NBER Working Papers and Publications

December 2017Stock Price Crashes: Role of Slow-Moving Capital
with Mila Getmansky, Ravi Jagannathan, Loriana Pelizzon, Darya Yuferova: w24098
June 2011A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
with Torben G. Andersen, Dobrislav Dobrev: w17152

Published: Andersen, Torben, Dobrislav Dobrev and Ernst Schaumburg. 2014. A Robust Neighborhood Truncation Approach to Estimation of Integrated Quarticity. Econometric Theory. 30: 3-59.

November 2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
with Torben G. Andersen, Dobrislav Dobrev: w15533

Published: Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2012. "Jump-robust volatility estimation using nearest neighbor truncation," Journal of Econometrics, Elsevier, vol. 169(1), pages 75-93. citation courtesy of

October 2009Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease!
with Ravi Jagannathan, Mudit Kapoor: w15404

Published: Jagannathan, Ravi, Mudit Kapoor and Ernst Schaumburg. 2013. Causes of the Great Recession of 2007-9: The Financial Crisis Was the Symptom Not the Disease! . Journal of Financial Intermediation. 22(1): 4-29.

May 2006Intertemporal Disturbances
with Giorgio E. Primiceri, Andrea Tambalotti: w12243
 
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