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Details about Joachim Grammig

E-mail:
Homepage:http://www.wiwi.uni-tuebingen.de/cms/lehrstuhl-homepages/econometrics-statistics-and-empirical-economics/team/prof-dr-joachim-grammig/publications.html
Workplace:Wirtschaftswissenschaftlichen Fakultät (School of Business and Economics), Eberhard-Karls-Universität Tübingen (University of Tubingen), (more information at EDIRC)

Access statistics for papers by Joachim Grammig.

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

Short-id: pgr158


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Working Papers

2010

  1. Creative destruction and asset prices
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) Downloads 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) Downloads View citations (2)

2009

  1. Commonalities in the order book
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) Downloads View citations (5)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) Downloads View citations (3)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) Downloads

    See also Journal Article in Financial Markets and Portfolio Management (2009)
  2. 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) Downloads View citations (1)
    See also Journal Article in The European Journal of Finance (2009)

2008

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

2007

  1. Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns
    ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research Downloads
    See also Journal Article in Review of Financial Economics (2009)

2006

  1. Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns
    ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research Downloads

2005

  1. 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 Downloads
    See also Journal Article in Journal of Empirical Finance (2005)

2004

  1. Trading activity and liquidity supply in a pure limit order book market
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)
  2. 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 Downloads

2003

  1. A family of autoregressive conditional duration models
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (2)
    Also in FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2002) Downloads View citations (10)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2001) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2006)
  2. 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 Downloads View citations (1)
    Also in Bonn Econ Discussion Papers, University of Bonn, Germany (2002) Downloads

    See also Journal Article in Journal of Financial Markets (2007)
  3. Nonparametric specification tests for conditional duration models
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (8)
    Also in Economics Working Papers, European University Institute (2000) View citations (4)
    Computing in Economics and Finance 2000, Society for Computational Economics (2000) Downloads View citations (9)

    See also Journal Article in Journal of Econometrics (2005)

2002

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

    See also Journal Article in Empirical Economics (2006)

2001

  1. 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 (23)
    See also Journal Article in Journal of Financial Markets (2001)
  2. Price discovery in international equity trading
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (6)
    Also in Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University Downloads
  3. The econometrics of airline network management
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

2000

  1. A Comparison of Financial Duration Models via Density Forecasts
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (29)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) Downloads View citations (7)

    See also Journal Article in International Journal of Forecasting (2004)
  2. 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 (3)

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 Downloads
    See also Working Paper (2007)
  2. Commonalities in the order book
    Financial Markets and Portfolio Management, 2009, 23, (3), 209-242 Downloads View citations (3)
    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 Downloads View citations (1)
    See also Working Paper (2009)

2008

  1. 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 Downloads View citations (5)

2007

  1. Estimating the probability of informed trading--does trade misclassification matter?
    Journal of Financial Markets, 2007, 10, (1), 26-47 Downloads View citations (32)
    See also Working Paper (2003)

2006

  1. A family of autoregressive conditional duration models
    Journal of Econometrics, 2006, 130, (1), 1-23 Downloads View citations (55)
    See also Working Paper (2003)
  2. How large is liquidity risk in an automated auction market?
    Empirical Economics, 2006, 30, (4), 867-887 Downloads View citations (7)
    See also Working Paper (2002)
  3. Liquidity supply and adverse selection in a pure limit order book market
    Empirical Economics, 2006, 30, (4), 1007-1033 Downloads View citations (8)

2005

  1. Discrete choice modelling in airline network management
    Journal of Applied Econometrics, 2005, 20, (4), 467-486 Downloads View citations (3)
  2. Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
    Journal of Empirical Finance, 2005, 12, (1), 139-164 Downloads View citations (64)
    See also Working Paper (2005)
  3. Nonparametric specification tests for conditional duration models
    Journal of Econometrics, 2005, 127, (1), 35-68 Downloads View citations (18)
    See also Working Paper (2003)

2004

  1. A comparison of financial duration models via density forecasts
    International Journal of Forecasting, 2004, 20, (4), 589-609 Downloads View citations (68)
    See also Working Paper (2000)

2002

  1. Modeling the interdependence of volatility and inter-transaction duration processes
    Journal of Econometrics, 2002, 106, (2), 369-400 Downloads View citations (40)

2001

  1. Knowing me, knowing you:: Trader anonymity and informed trading in parallel markets
    Journal of Financial Markets, 2001, 4, (4), 385-412 Downloads View citations (26)
    See also Working Paper (2001)

2000

  1. Non-monotonic hazard functions and the autoregressive conditional duration model
    Econometrics Journal, 2000, 3, (1), 16-38 View citations (68)
  2. 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 Downloads
 
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