Ernst Schaumburg

TL;DR: In this paper, an algorithm for calculating second order approximations to the solutions to nonlinear stochastic rational expectations models is described, with conditions for local validity of the approximation that allow for disturbance distributions with unbounded support and allow for non-stationarity of the solution process.

TL;DR: In this article, the authors propose two jump-robust estimators of integrated variance that allow for an asymptotic limit theory in the presence of jumps, and they stress the benefits of local volatility measures using short return blocks, as this greatly alleviates the downward biases stemming from rapid fluctuations in volatility.

TL;DR: In this article, the error correction model for seasonal cointegration is analyzed and conditions are found under which the process is integrated of order 1 and cointegrated at seasonal frequency, and a representation theorem is given.

TL;DR: It is found that both liquidity shocks and investor sentiment contribute to the observed short-term reversal, but in different ways: Specifically, the reversal profit is attributable to liquidity shocks on the long side because fire sales more likely demand liquidity, and it is attributable on the short side because short-sale constraints prevent the immediate elimination of overvaluation.

TL;DR: In this article, the authors 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 cases of what they call quasi commitment.