Access Statistics for Joachim Grammig

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Financial Duration Models via Density Forecasts 0 1 18 325 0 2 33 680
A Family of Autoregressive Conditional Duration Models 1 4 13 105 6 13 30 295
A comparison of financial duration models via density forecasts 2 9 11 15 6 23 89 802
A family of autoregressive conditional duration models 2 3 7 12 4 12 50 298
A family of autoregressive conditional duration models 0 2 10 199 7 12 30 452
Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns 0 1 9 10 1 6 29 44
Commonalities in the order book 1 2 11 73 2 7 28 207
Commonalities in the order book 0 0 1 1 0 0 5 5
Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns 1 1 9 40 6 11 38 143
Estimating the Probability of Informed Trading - Does Trade Misclassification Matter? 3 7 41 243 20 47 211 875
Estimating the Probability of Informed Trading - Does Trade Misclassification Matter? 2 2 16 140 9 18 74 567
How large is liquidity risk in an automated auction market ? 0 0 1 1 1 4 8 8
How large is liquidity risk in an automated auction market? 0 3 18 171 1 8 48 356
Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects 4 8 18 137 5 13 42 365
Modeling the Deutsche Telekom IPO Using a New ACD Specification - An Application of the Burr-ACD Model Using High Frequency Ibis Data 0 0 0 61 1 1 19 326
Modeling the Interdependence of Volatility and Inter-Transaction Duration Processes 0 0 0 14 1 6 19 140
NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS 1 2 7 175 2 6 21 359
Non-Monotonic Hazard Functions and the Autoregressive Conditional Duration Model 0 0 0 33 2 18 36 166
Non-Parametric Specification Tests for Conditional Duration Models 0 0 0 0 1 5 19 229
Nonparametric specification tests for conditional duration models 3 4 14 150 4 7 31 362
Price Discovery in International Equity Trading 2 3 13 117 5 16 71 418
Price discovery in international equity trading 0 2 2 3 0 4 19 163
The econometrics of airline network management 5 9 20 20 9 16 46 46
Trading activity and liquidity supply in a pure limit order book market 0 4 6 6 3 13 25 25
Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model 0 2 9 11 1 7 30 44
Total Working Papers 27 69 254 2,062 97 275 1,051 7,375

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comparison of financial duration models via density forecasts 0 2 9 67 1 4 21 196
A family of autoregressive conditional duration models 5 13 36 126 8 19 51 237
A new marked point process model for the federal funds rate target: Methodology and forecast evaluation 2 3 12 19 7 17 52 75
Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns 1 1 1 1 2 3 3 3
Commonalities in the order book 1 3 3 3 1 5 5 5
Discrete choice modelling in airline network management 1 2 35 188 7 13 99 535
Estimating the probability of informed trading--does trade misclassification matter? 1 4 16 49 2 8 36 115
How large is liquidity risk in an automated auction market? 0 1 10 27 0 1 24 86
Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects 2 7 24 100 5 14 57 261
Knowing me, knowing you:: Trader anonymity and informed trading in parallel markets 1 2 15 108 4 12 41 250
Liquidity supply and adverse selection in a pure limit order book market 0 0 9 41 1 1 28 139
Long-horizon consumption risk and the cross-section of returns: new tests and international evidence 1 2 2 2 1 3 3 3
Modeling the interdependence of volatility and inter-transaction duration processes 0 6 17 58 1 7 26 131
Non-monotonic hazard functions and the autoregressive conditional duration model 0 0 0 2 1 7 45 745
Nonparametric specification tests for conditional duration models 0 3 8 70 0 4 17 177
Time Varying Trade Intensities and the Deutsche Telekom IPO 0 0 0 0 2 5 5 5
Total Journal Articles 15 49 197 861 43 123 513 2,963

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Statistics updated 2009-11-04