Joachim Grammig : Citation Profile


Are you Joachim Grammig?

Eberhard-Karls-Universität Tübingen

9

H index

8

i10 index

573

Citations

RESEARCH PRODUCTION:

16

Articles

27

Papers

RESEARCH ACTIVITY:

   19 years (2000 - 2019). See details.
   Cites by year: 30
   Journals where Joachim Grammig has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 16 (2.72 %)

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   Permalink: http://citec.repec.org/pgr158
   Updated: 2021-01-23    RAS profile: 2011-04-15    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Joachim Grammig.

Is cited by:

Hautsch, Nikolaus (25)

Fernandes, Marcelo (22)

Anatolyev, Stanislav (16)

Bauwens, Luc (15)

GAO, Jiti (12)

Theissen, Erik (12)

Allen, David (10)

Dionne, Georges (9)

Medeiros, Marcelo (9)

Blasques, Francisco (9)

Gallo, Giampiero (8)

Cites to:

Veredas, David (14)

Bauwens, Luc (14)

Engle, Robert (13)

Giot, Pierre (11)

gourieroux, christian (9)

Easley, David (9)

Drost, Feike C. (9)

Andersen, Torben (8)

Jasiak, Joann (8)

Cochrane, John (8)

Bollerslev, Tim (7)

Main data


Where Joachim Grammig has published?


Journals with more than one article published# docs
Journal of Econometrics3
Journal of Financial Markets2
Empirical Economics2

Working Papers Series with more than one paper published# docs
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)5
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)3
ZEW Discussion Papers / ZEW - Leibniz Centre for European Economic Research2
Publications of Darmstadt Technical University, Institute for Business Studies (BWL) / Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)2

Recent works citing Joachim Grammig (2021 and 2020)


YearTitle of citing document
2020Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2020The What, When and Where of Limit Order Books. (2020). Dimpfl, Thomas ; Bleher, Michael. In: Papers. RePEc:arx:papers:2004.11953.

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2020A Flexible Stochastic Conditional Duration Model. (2020). McCausland, William J ; Gingras, Samuel. In: Papers. RePEc:arx:papers:2005.09166.

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2020Machine Learning Classification of Price Extrema Based on Market Microstructure Features: A Case Study of S&P500 E-mini Futures. (2020). Arnaboldi, Luca ; Sokolovsky, Artur. In: Papers. RePEc:arx:papers:2009.09993.

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2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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2020Modeling time series when some observations are zero. (2020). Harvey, Andrew ; Ito, Ryoko. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:33-45.

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2020A Simple R-estimation method for semiparametric duration models. (2020). la Vecchia, Davide ; Hallin, Marc. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:736-749.

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2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040.

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2020Value and patience: The value premium in a dividend-growth model with hyperbolic discounting. (2020). Schindler, Nilufer ; Hens, Thorsten. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:172:y:2020:i:c:p:161-179.

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2020Incorporating continuous representation of preferences for flight departure times into stated itinerary choice modeling. (2020). Huang, Chia-Jung ; Wen, Chieh-Hua ; Fu, Chiang . In: Transport Policy. RePEc:eee:trapol:v:98:y:2020:i:c:p:10-20.

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2020A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data. (2020). Vila, Roberto ; Cunha, Danubia R ; Fernandez, Rodrigo N ; Saulo, Helton. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:45-:d:327540.

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2020Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Aknouche, Abdelhakim ; Tsionas, Mike G ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:103250.

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2020Trading stocks following sharp movements in the USDX, GBP/USD, and USD/CNY. (2020). Huang, Paoyu ; Day, Min-Yuh ; Ni, Yensen. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00190-5.

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2020Goodness-of-fit tests in conditional duration models. (2020). Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos G. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:1:d:10.1007_s00362-017-0930-8.

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2020Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models. (2020). Jimenez-Gamero, Dolores M ; Meintanis, Simos G ; Lee, Sangyeol. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:29:y:2020:i:3:d:10.1007_s11749-019-00676-0.

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2020Trade‐size clustering and informed trading in global markets. (2020). Chen, Tao. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:25:y:2020:i:4:p:579-597.

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Works by Joachim Grammig:


YearTitleTypeCited
Price Discovery in International Equity Trading In: Working Papers.
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paper9
2001Price discovery in international equity trading.(2001) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 9
paper
2000A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE.
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paper98
2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 98
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2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 98
article
2001A family of autoregressive conditional duration models In: LIDAM Discussion Papers CORE.
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paper83
2006A family of autoregressive conditional duration models.(2006) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 83
article
2002A family of autoregressive conditional duration models.(2002) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 83
paper
2003A family of autoregressive conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 83
paper
2001The econometrics of airline network management In: LIDAM Discussion Papers CORE.
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2002How large is liquidity risk in an automated auction market ? In: LIDAM Discussion Papers CORE.
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2006How large is liquidity risk in an automated auction market?.(2006) In: Empirical Economics.
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This paper has another version. Agregated cites: 9
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2002How large is liquidity risk in an automated auction market?.(2002) In: University of St. Gallen Department of Economics working paper series 2002.
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This paper has another version. Agregated cites: 9
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2004Trading activity and liquidity supply in a pure limit order book market In: LIDAM Discussion Papers CORE.
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2005Commonalities in the order book In: LIDAM Discussion Papers CORE.
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2005Commonalities in the order book.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has another version. Agregated cites: 8
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2009Commonalities in the order book.(2009) In: Financial Markets and Portfolio Management.
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2009Commonalities in the order book.(2009) In: CFR Working Papers.
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This paper has another version. Agregated cites: 8
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2001Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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2001Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets.(2001) In: Journal of Financial Markets.
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2000Informationsbasierter Aktienhandel über IBIS In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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paper5
2000Non-monotonic hazard functions and the autoregressive conditional duration model In: Econometrics Journal.
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article80
2008A new marked point process model for the federal funds rate target: Methodology and forecast evaluation In: Journal of Economic Dynamics and Control.
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article9
2002Modeling the interdependence of volatility and inter-transaction duration processes In: Journal of Econometrics.
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article50
2005Nonparametric specification tests for conditional duration models In: Journal of Econometrics.
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article41
2000Non-Parametric Specification Tests for Conditional Duration Models..(2000) In: Economics Working Papers.
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This paper has another version. Agregated cites: 41
paper
2003Nonparametric specification tests for conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 41
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2000NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS.(2000) In: Computing in Economics and Finance 2000.
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2005Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects In: Journal of Empirical Finance.
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article88
2007Estimating the probability of informed trading--does trade misclassification matter? In: Journal of Financial Markets.
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2003Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?.(2003) In: University of St. Gallen Department of Economics working paper series 2003.
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2009Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns In: Review of Financial Economics.
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2007Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns.(2007) In: ZEW Discussion Papers.
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This paper has another version. Agregated cites: 0
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2005Discrete choice modelling in airline network management In: Journal of Applied Econometrics.
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2000Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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2004Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model. In: MPRA Paper.
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2006Liquidity supply and adverse selection in a pure limit order book market In: Empirical Economics.
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2009Long-horizon consumption risk and the cross-section of returns: new tests and international evidence In: The European Journal of Finance.
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2009Long-horizon consumption risk and the cross-section of returns: New tests and international evidence.(2009) In: CFR Working Papers.
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2008International price discovery in the presence of market microstructure effects In: CFR Working Papers.
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2010Tell-tale tails: A data driven approach to estimate unique market information shares In: CFR Working Papers.
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2010Creative destruction and asset prices In: CFR Working Papers.
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2006Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns In: ZEW Discussion Papers.
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