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 0 0 361 3 3 8 788
A comparison of financial duration models via density forecasts 0 0 0 79 0 0 9 1,125
A family of autoregressive conditional duration models 0 0 0 115 1 1 4 368
A family of autoregressive conditional duration models 0 1 1 231 0 2 6 545
A family of autoregressive conditional duration models 0 0 0 50 0 0 2 427
Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns 0 1 1 31 2 3 3 139
Commonalities in the order book 0 0 0 24 1 3 11 121
Commonalities in the order book 0 0 1 10 0 2 9 88
Commonalities in the order book 0 0 0 86 0 3 10 311
Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns 0 0 1 73 1 2 4 267
Creative destruction and asset prices 0 1 1 66 1 6 11 133
Estimating the Probability of Informed Trading - Does Trade Misclassification Matter? 0 0 1 340 0 0 8 1,256
How large is liquidity risk in an automated auction market ? 0 0 1 26 2 3 9 138
How large is liquidity risk in an automated auction market? 0 0 2 196 1 3 10 467
Informationsbasierter Aktienhandel über IBIS 0 0 0 0 0 2 3 55
International price discovery in the presence of market microstructure effects 0 0 1 22 1 4 9 116
Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects 1 1 3 206 3 4 13 559
Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets 0 0 0 0 1 5 15 83
Long-horizon consumption risk and the cross-section of returns: New tests and international evidence 0 0 1 19 0 1 4 82
NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS 0 0 0 186 1 1 4 447
Non-Parametric Specification Tests for Conditional Duration Models 0 0 0 0 0 3 6 308
Nonparametric specification tests for conditional duration models 0 1 1 170 2 6 15 467
Price Discovery in International Equity Trading 0 0 1 157 0 0 6 707
Price discovery in international equity trading 0 0 0 24 1 2 9 259
Tell-tale tails: A data driven approach to estimate unique market information shares 0 2 2 53 2 7 7 148
The econometrics of airline network management 0 2 4 130 3 7 12 406
Trading activity and liquidity supply in a pure limit order book market 0 0 1 34 4 4 9 205
Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model 0 0 0 30 0 4 6 125
Total Working Papers 1 9 23 2,719 30 81 222 10,140


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 0 2 99 2 3 10 316
A family of autoregressive conditional duration models 0 0 0 252 0 1 3 541
A new marked point process model for the federal funds rate target: Methodology and forecast evaluation 1 1 1 52 1 1 5 222
Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns 0 1 1 27 1 4 7 146
Commonalities in the order book 0 0 0 24 1 5 8 121
Discrete choice modelling in airline network management 0 0 1 334 1 1 3 1,053
Estimating the probability of informed trading--does trade misclassification matter? 0 0 2 106 0 0 4 299
How large is liquidity risk in an automated auction market? 0 0 0 67 1 2 9 181
Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects 1 1 6 237 1 2 13 586
Knowing me, knowing you:: Trader anonymity and informed trading in parallel markets 0 0 3 184 2 4 18 515
Liquidity supply and adverse selection in a pure limit order book market 0 0 0 74 0 1 2 250
Long-horizon consumption risk and the cross-section of returns: new tests and international evidence 0 0 0 23 1 2 4 75
Modeling the interdependence of volatility and inter-transaction duration processes 1 1 2 120 6 7 15 305
Non-monotonic hazard functions and the autoregressive conditional duration model 0 0 0 2 0 0 8 933
Nonparametric specification tests for conditional duration models 0 0 0 102 0 3 7 291
Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO 0 0 0 7 1 1 4 65
Total Journal Articles 3 4 18 1,710 18 37 120 5,899


Statistics updated 2020-02-04