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 0 362 1 4 12 819
A comparison of financial duration models via density forecasts 0 0 0 81 2 4 16 1,157
A family of autoregressive conditional duration models 0 0 0 119 4 4 8 384
A family of autoregressive conditional duration models 0 0 0 233 1 1 11 566
A family of autoregressive conditional duration models 0 0 0 50 1 1 7 448
Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns 0 0 0 34 4 5 14 165
Commonalities in the order book 0 0 0 86 3 7 12 335
Commonalities in the order book 0 0 0 25 1 2 5 139
Commonalities in the order book 0 0 0 10 1 2 6 134
Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns 0 0 0 74 3 4 12 289
Creative destruction and asset prices 0 0 0 69 2 3 14 167
Estimating the Probability of Informed Trading - Does Trade Misclassification Matter? 0 0 0 344 1 3 13 1,284
How large is liquidity risk in an automated auction market ? 0 0 0 26 0 1 7 154
How large is liquidity risk in an automated auction market? 0 0 0 197 3 8 19 498
Informationsbasierter Aktienhandel über IBIS 0 0 0 0 4 5 11 73
International price discovery in the presence of market microstructure effects 0 0 0 24 2 10 18 142
Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects 0 0 0 209 3 3 17 609
Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets 0 0 0 0 0 0 5 102
Long-horizon consumption risk and the cross-section of returns: New tests and international evidence 0 0 0 19 4 7 9 99
NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS 0 0 0 186 2 3 12 470
Non-Parametric Specification Tests for Conditional Duration Models 0 0 0 0 1 3 8 323
Nonparametric specification tests for conditional duration models 0 0 1 172 2 5 16 503
Price Discovery in International Equity Trading 0 0 0 158 0 4 14 746
Price discovery in international equity trading 0 0 1 27 3 6 11 304
Tell-tale tails: A data driven approach to estimate unique market information shares 0 0 1 55 0 9 17 171
The econometrics of airline network management 0 0 0 136 4 6 15 443
Trading activity and liquidity supply in a pure limit order book market 0 0 0 38 0 5 8 226
Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model 0 0 0 31 3 6 17 153
Total Working Papers 0 0 3 2,765 55 121 334 10,903

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 0 111 0 3 13 359
A family of autoregressive conditional duration models 0 0 0 256 6 7 9 581
A new marked point process model for the federal funds rate target: Methodology and forecast evaluation 0 1 2 59 2 4 9 242
Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns 0 0 0 28 1 2 10 175
Commonalities in the order book 0 0 0 25 0 2 6 141
Discrete choice modelling in airline network management 1 2 2 338 2 10 19 1,084
Estimating the probability of informed trading--does trade misclassification matter? 0 0 0 111 3 15 26 343
How large is liquidity risk in an automated auction market? 0 0 0 69 2 5 9 199
Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects 0 1 1 251 2 5 15 634
Knowing me, knowing you:: Trader anonymity and informed trading in parallel markets 0 0 0 187 0 1 7 539
Liquidity supply and adverse selection in a pure limit order book market 0 0 0 78 1 3 9 273
Long-horizon consumption risk and the cross-section of returns: new tests and international evidence 0 0 0 24 4 6 12 95
Modeling the interdependence of volatility and inter-transaction duration processes 0 0 0 124 0 1 6 330
Non-monotonic hazard functions and the autoregressive conditional duration model 0 0 0 2 9 16 23 985
Nonparametric specification tests for conditional duration models 0 0 0 108 5 8 23 342
Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO 0 0 0 7 1 5 9 94
Total Journal Articles 1 4 5 1,778 38 93 205 6,416

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Statistics updated 2026-05-06