Joachim Grammig
Joachim Grammig
Professor of Econometrics, University of Tübingen
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Zitiert von
Zitiert von
Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
J Grammig, M Melvin, C Schlag
Journal of Empirical Finance 12 (1), 139-164, 2005
Non‐monotonic hazard functions and the autoregressive conditional duration model
J Grammig, KO Maurer
The Econometrics Journal 3 (1), 16-38, 2000
A comparison of financial duration models via density forecasts
L Bauwens, P Giot, J Grammig, D Veredas
International Journal of Forecasting 20 (4), 589-609, 2004
A family of autoregressive conditional duration models
M Fernandes, J Grammig
Journal of Econometrics 130 (1), 1-23, 2006
Knowing me, knowing you:: Trader anonymity and informed trading in parallel markets
J Grammig, D Schiereck, E Theissen
Journal of Financial Markets 4 (4), 385-412, 2001
Estimating the probability of informed trading—does trade misclassification matter?
E Boehmer, J Grammig, E Theissen
Journal of Financial Markets 10 (1), 26-47, 2007
Modeling the interdependence of volatility and inter-transaction duration processes
J Grammig, M Wellner
Journal of Econometrics 106 (2), 369-400, 2002
Nonparametric specification tests for conditional duration models
M Fernandes, J Grammig
Journal of Econometrics 127 (1), 35-68, 2005
Tell-Tale Tails: A New Approach to Estimating Unique Market Information Shares
J Grammig, F Peter
Journal of Financial and Quantitative Analysis 48 (2), 459-488, 2013
How Large is Liquidity Risk in an Automated Auction Market?
P Giot, J Grammig
Empirical Economics 30, 867-887, 2006
Nonstandard errors
AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ...
The Journal of Finance 79 (3), 2339-2390, 2024
Commonalities in the order book
H Beltran-Lopez, P Giot, J Grammig
Financial Markets and Portfolio Management 23, 209-242, 2009
The role of US trading in pricing internationally cross-listed stocks
J Grammig, C Schlag, M Melvin
Available at SSRN 567066, 2004
Limit order books and trade informativeness
H Beltran-Lopez, J Grammig, AJ Menkveld
High Frequency Trading and Limit Order Book Dynamics, 17-40, 2016
Liquidity Supply and Adverse Selection in a Pure Limit Order Book Market
J Grammig, S Frey
Empirical Economics 30, 1007-1033, 2006
Discrete choice modelling in airline network management
J Grammig, R Hujer, M Scheidler
Journal of Applied Econometrics 20 (4), 467-486, 2005
Time and Price Impact of a Tade
J Grammig, E Theissen, W Oliver
WP 07-12 Centre for Financial Research, Cologne, 2007
Trading activity and liquidity supply in a pure limit order book market- An empirical analysis using a multivariate count data mode
J Grammig, A Heinen, E Rengifo
EFA 2005 Moscow meeting paper, 2005
Loss of IBA1-Expression in brains from individuals with obesity and hepatic dysfunction
L Julia, K Wintera, J Bleher, Johannes, Grammig, W Müller, WS Streit, ...
Brain Research, 2019
A new marked point process model for the federal funds rate target: Methodology and forecast evaluation
J Grammig, K Kehrle
Journal of Economic Dynamics and Control 32 (7), 2370-2396, 2008
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