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Joachim Grammig · Study
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Author
Joachim Grammig
16 works
· latest 2013
· 3 institutions
cluster: provisional
ORCID 0000-0002-1534-5656
Works
16 shown
Telltale Tails: A New Approach to Estimating Unique Market Information Shares
Journal of Financial and Quantitative Analysis
·
2013
·
2 authors
64
citations
A new marked point process model for the federal funds rate target
Journal of Economic Dynamics and Control
·
2008
·
2 authors
18
citations
Estimating the probability of informed trading—does trade misclassification matter?
Journal of Financial Markets
·
2006
·
3 authors
·
Open access
113
citations
Liquidity supply and adverse selection in a pure limit order book market
Empirical Economics
·
2005
·
2 authors
41
citations
How large is liquidity risk in an automated auction market?
Empirical Economics
·
2005
·
2 authors
42
citations
Discrete choice modelling in airline network management
Journal of Applied Econometrics
·
2005
·
3 authors
29
citations
A family of autoregressive conditional duration models
Journal of Econometrics
·
2004
·
2 authors
·
Open access
188
citations
Nonparametric specification tests for conditional duration models
Journal of Econometrics
·
2004
·
2 authors
105
citations
Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
Journal of Empirical Finance
·
2004
·
3 authors
231
citations
The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks
SSRN Electronic Journal
·
2004
·
3 authors
·
preprint
·
Open access
34
citations
A comparison of financial duration models via density forecasts
International Journal of Forecasting
·
2003
·
4 authors
·
Open access
212
citations
Modeling the interdependence of volatility and inter-transaction duration processes
Journal of Econometrics
·
2002
·
2 authors
96
citations
Knowing me, knowing you:
Journal of Financial Markets
·
2001
·
3 authors
135
citations
Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets
TUbilio (Technical University of Darmstadt)
·
2001
·
3 authors
49
citations
Price Discovery in International Equity Trading
SSRN Electronic Journal
·
2001
·
3 authors
·
preprint
·
Open access
37
citations
Non‐monotonic hazard functions and the autoregressive conditional duration model
Econometrics Journal
·
2000
·
2 authors
230
citations