Joachim Grammig
Joachim Grammig
Professor of Econometrics, University of Tübingen
Verified email at uni-tuebingen.de
Title
Cited by
Cited by
Year
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
273*2005
Non‐monotonic hazard functions and the autoregressive conditional duration model
J Grammig, KO Maurer
The Econometrics Journal 3 (1), 16-38, 2000
2632000
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
2512004
A family of autoregressive conditional duration models
M Fernandes, J Grammig
Journal of Econometrics 130 (1), 1-23, 2006
2362006
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
1642001
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
1482007
Modeling the interdependence of volatility and inter-transaction duration processes
J Grammig, M Wellner
Journal of Econometrics 106 (2), 369-400, 2002
1302002
Nonparametric specification tests for conditional duration models
M Fernandes, J Grammig
Journal of Econometrics 127 (1), 35-68, 2005
1242005
How Large is Liquidity Risk in an Automated Auction Market?
P Giot, J Grammig
Empirical Economics 30, 867-887, 2006
672006
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
56*2013
Commonalities in the order book
H Beltran-Lopez, P Giot, J Grammig
Financial Markets and Portfolio Management 23 (3), 209-242, 2009
39*2009
The role of US trading in pricing internationally cross-listed stocks
J Grammig, C Schlag, M Melvin
EFA 2004 Maastricht Meetings Paper, 2004
392004
Liquidity Supply and Adverse Selection in a Pure Limit Order Book Market
J Grammig, S Frey
Empirical Economics 30, 1007-1033, 2006
36*2006
Limit order books and trade informativeness
H Beltran-Lopez, J Grammig, AJ Menkveld
The European Journal of Finance 18 (9), 737-759, 2012
33*2012
Discrete choice modelling in airline network management
J Grammig, R Hujer, M Scheidler
Journal of Applied Econometrics 20 (4), 467-486, 2005
292005
Time and Price Impact of a Tade
J Grammig, E Theissen, W Oliver
WP 07-12 Centre for Financial Research, Cologne, 2007
25*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
25*2005
Informationsbasierter Aktienhandel über IBIS
J Grammig, D Schiereck, E Theissen
Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung 52 (7), 619-642, 2000
25*2000
Comparison of neuronal density and subfield sizes in the hippocampus of CD95L‐deficient (gld), CD95‐deficient (lpr) and nondeficient mice
AD Kovac, J Grammig, J Mahlo, B Steiner, R Roth, Karl, Nitsch, ...
European Journal of Neuroscience 16 (1), 159-163, 2002
212002
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
192008
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Articles 1–20