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 2 12 821
A comparison of financial duration models via density forecasts 0 1 1 82 0 1 18 1,160
A family of autoregressive conditional duration models 0 0 0 50 0 1 9 450
A family of autoregressive conditional duration models 0 0 0 119 3 4 11 389
A family of autoregressive conditional duration models 0 0 0 233 1 2 13 570
Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns 0 0 0 34 2 2 18 169
Commonalities in the order book 0 0 0 10 0 1 5 135
Commonalities in the order book 0 0 0 86 1 2 16 339
Commonalities in the order book 0 0 0 25 0 2 7 143
Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns 0 0 0 74 1 1 13 291
Creative destruction and asset prices 0 0 0 69 1 1 15 171
Estimating the Probability of Informed Trading - Does Trade Misclassification Matter? 0 0 0 344 2 2 18 1,294
How large is liquidity risk in an automated auction market ? 0 0 0 26 1 1 7 156
How large is liquidity risk in an automated auction market? 0 0 0 197 1 2 22 501
Informationsbasierter Aktienhandel über IBIS 0 0 0 0 1 1 12 74
International price discovery in the presence of market microstructure effects 0 0 0 24 2 2 19 145
Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects 0 0 0 209 3 5 25 617
Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets 0 0 0 0 2 2 7 104
Long-horizon consumption risk and the cross-section of returns: New tests and international evidence 0 0 0 19 2 2 11 101
NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS 0 0 0 186 0 0 12 471
Non-Parametric Specification Tests for Conditional Duration Models 0 0 0 0 1 2 9 326
Nonparametric specification tests for conditional duration models 0 0 0 172 1 2 16 506
Price Discovery in International Equity Trading 0 0 0 158 1 2 16 750
Price discovery in international equity trading 0 0 1 27 3 4 17 311
Tell-tale tails: A data driven approach to estimate unique market information shares 0 0 1 56 2 2 18 175
The econometrics of airline network management 0 0 0 136 1 1 14 445
Trading activity and liquidity supply in a pure limit order book market 0 0 0 38 4 4 11 230
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 1 2 20 156
Total Working Papers 0 1 3 2,767 38 55 391 11,000

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 1 3 15 364
A family of autoregressive conditional duration models 0 0 0 256 4 4 16 588
A new marked point process model for the federal funds rate target: Methodology and forecast evaluation 0 0 1 59 1 2 10 246
Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns 0 0 0 28 0 0 8 176
Commonalities in the order book 0 0 0 25 0 0 5 141
Discrete choice modelling in airline network management 1 1 3 339 3 3 23 1,089
Estimating the probability of informed trading--does trade misclassification matter? 0 0 0 111 0 3 26 348
How large is liquidity risk in an automated auction market? 0 0 0 69 0 1 11 201
Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects 1 1 3 253 3 9 28 649
Knowing me, knowing you:: Trader anonymity and informed trading in parallel markets 0 0 0 187 1 2 9 542
Liquidity supply and adverse selection in a pure limit order book market 0 0 0 78 2 3 12 276
Long-horizon consumption risk and the cross-section of returns: new tests and international evidence 0 0 0 24 2 2 14 98
Modeling the interdependence of volatility and inter-transaction duration processes 0 0 0 124 1 2 8 332
Non-monotonic hazard functions and the autoregressive conditional duration model 0 0 0 2 0 1 27 990
Nonparametric specification tests for conditional duration models 0 1 1 109 2 3 23 346
Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO 0 0 0 7 2 2 10 96
Total Journal Articles 2 3 8 1,782 22 40 245 6,482

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Statistics updated 2026-11-12