Details about Joachim Grammig

Access statistics for papers by Joachim Grammig.

Last updated 2011-04-15. Update your information in the RePEc Author Service.

Short-id: pgr158

Working Papers

2010

1. Creative destruction and asset prices
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (2)
2. Tell-tale tails: A data driven approach to estimate unique market information shares
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (2)

2009

3. Commonalities in the order book
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (6)
   Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) View citations (3)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005)
   See also Journal Article in Financial Markets and Portfolio Management (2009)
4. Long-horizon consumption risk and the cross-section of returns: New tests and international evidence
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (1)
   See also Journal Article in The European Journal of Finance (2009)

2008

5. International price discovery in the presence of market microstructure effects
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (1)

2007

6. Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns
   ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research
   See also Journal Article in Review of Financial Economics (2009)

2006

7. Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns
   ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research

2005

8. Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects
   Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main
   See also Journal Article in Journal of Empirical Finance (2005)

2004

9. Trading activity and liquidity supply in a pure limit order book market
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
10. Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model
    MPRA Paper, University Library of Munich, Germany

2003

11. A family of autoregressive conditional duration models
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (2)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2001) View citations (4)
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2002) View citations (10)
    See also Journal Article in Journal of Econometrics (2006)
12. Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?
    University of St. Gallen Department of Economics working paper series 2003, Department of Economics, University of St. Gallen View citations (1)
    See also Journal Article in Journal of Financial Markets (2007)
13. Nonparametric specification tests for conditional duration models
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (8)
    Also in Computing in Economics and Finance 2000, Society for Computational Economics (2000) View citations (8)
    Economics Working Papers, European University Institute (2000) View citations (4)
    See also Journal Article in Journal of Econometrics (2005)

2002

14. How large is liquidity risk in an automated auction market ?
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
    Also in University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen (2002) View citations (2)
    See also Journal Article in Empirical Economics (2006)

2001

15. Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (29)
    See also Journal Article in Journal of Financial Markets (2001)
16. Price discovery in international equity trading
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
    Also in Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University
17. The econometrics of airline network management
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

2000

18. A Comparison of Financial Duration Models via Density Forecasts
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (31)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) View citations (9)
    See also Journal Article in International Journal of Forecasting (2004)
19. Informationsbasierter Aktienhandel über IBIS
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (5)

Journal Articles

2009

1. Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns
   Review of Financial Economics, 2009, 18, (3), 113-123
   See also Working Paper (2007)
2. Commonalities in the order book
   Financial Markets and Portfolio Management, 2009, 23, (3), 209-242 View citations (4)
   See also Working Paper (2009)
3. Long-horizon consumption risk and the cross-section of returns: new tests and international evidence
   The European Journal of Finance, 2009, 15, (5-6), 511-532 View citations (1)
   See also Working Paper (2009)

2008

4. A new marked point process model for the federal funds rate target: Methodology and forecast evaluation
   Journal of Economic Dynamics and Control, 2008, 32, (7), 2370-2396 View citations (9)

2007

5. Estimating the probability of informed trading--does trade misclassification matter?
   Journal of Financial Markets, 2007, 10, (1), 26-47 View citations (39)
   See also Working Paper (2003)

2006

6. A family of autoregressive conditional duration models
   Journal of Econometrics, 2006, 130, (1), 1-23 View citations (71)
   See also Working Paper (2003)
7. How large is liquidity risk in an automated auction market?
   Empirical Economics, 2006, 30, (4), 867-887 View citations (8)
   See also Working Paper (2002)
8. Liquidity supply and adverse selection in a pure limit order book market
   Empirical Economics, 2006, 30, (4), 1007-1033 View citations (9)

2005

9. Discrete choice modelling in airline network management
   Journal of Applied Econometrics, 2005, 20, (4), 467-486 View citations (5)
10. Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
    Journal of Empirical Finance, 2005, 12, (1), 139-164 View citations (89)
    See also Working Paper (2005)
11. Nonparametric specification tests for conditional duration models
    Journal of Econometrics, 2005, 127, (1), 35-68 View citations (27)
    See also Working Paper (2003)

2004

12. A comparison of financial duration models via density forecasts
    International Journal of Forecasting, 2004, 20, (4), 589-609 View citations (80)
    See also Working Paper (2000)

2002

13. Modeling the interdependence of volatility and inter-transaction duration processes
    Journal of Econometrics, 2002, 106, (2), 369-400 View citations (52)

2001

14. Knowing me, knowing you:: Trader anonymity and informed trading in parallel markets
    Journal of Financial Markets, 2001, 4, (4), 385-412 View citations (32)
    See also Working Paper (2001)

2000

15. Non-monotonic hazard functions and the autoregressive conditional duration model
    Econometrics Journal, 2000, 3, (1), 16-38 View citations (86)
16. Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2000, 220, (6), 689-714