9
H index
8
i10 index
573
Citations
Joachim Grammig : Citation Profile
Eberhard-Karls-Universität Tübingen | RESEARCH PRODUCTION: 16 Articles 27 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (2000 - 2019). 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:
| Cites to:
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Main data
Where Joachim Grammig has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 3 |
| Journal of Financial Markets | 2 |
| Empirical Economics | 2 |
Recent works citing Joachim Grammig (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | Zero-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. Full description at Econpapers || Download paper |
| 2020 | The What, When and Where of Limit Order Books. (2020). Dimpfl, Thomas ; Bleher, Michael. In: Papers. RePEc:arx:papers:2004.11953. Full description at Econpapers || Download paper |
| 2020 | A Flexible Stochastic Conditional Duration Model. (2020). McCausland, William J ; Gingras, Samuel. In: Papers. RePEc:arx:papers:2005.09166. Full description at Econpapers || Download paper |
| 2020 | Machine 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. Full description at Econpapers || Download paper |
| 2021 | Evaluating 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. Full description at Econpapers || Download paper |
| 2020 | Modeling 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. Full description at Econpapers || Download paper |
| 2020 | A 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. Full description at Econpapers || Download paper |
| 2020 | The 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. Full description at Econpapers || Download paper |
| 2020 | Value 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. Full description at Econpapers || Download paper |
| 2020 | Incorporating 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. Full description at Econpapers || Download paper |
| 2020 | A 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. Full description at Econpapers || Download paper |
| 2020 | Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Aknouche, Abdelhakim ; Tsionas, Mike G ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:103250. Full description at Econpapers || Download paper |
| 2020 | Trading 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. Full description at Econpapers || Download paper |
| 2020 | Goodness-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. Full description at Econpapers || Download paper |
| 2020 | Goodness-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. Full description at Econpapers || Download paper |
| 2020 | Tradeâ€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. Full description at Econpapers || Download paper |
Works by Joachim Grammig:
| Year | Title | Type | Cited |
|---|---|---|---|
| Price Discovery in International Equity Trading In: Working Papers. [Full Text][Citation analysis] | paper | 9 | |
| 2001 | Price discovery in international equity trading.(2001) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2000 | A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 98 |
| 2000 | A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 98 | paper | |
| 2004 | A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 98 | article | |
| 2001 | A family of autoregressive conditional duration models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 83 |
| 2006 | A family of autoregressive conditional duration models.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | article | |
| 2002 | A family of autoregressive conditional duration models.(2002) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
| 2003 | A family of autoregressive conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
| 2001 | The econometrics of airline network management In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 2002 | How large is liquidity risk in an automated auction market ? In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 9 |
| 2006 | How large is liquidity risk in an automated auction market?.(2006) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2002 | How large is liquidity risk in an automated auction market?.(2002) In: University of St. Gallen Department of Economics working paper series 2002. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2004 | Trading activity and liquidity supply in a pure limit order book market In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
| 2005 | Commonalities in the order book In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 8 |
| 2005 | Commonalities in the order book.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2009 | Commonalities in the order book.(2009) In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
| 2009 | Commonalities in the order book.(2009) In: CFR Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2001 | Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). [Citation analysis] | paper | 30 |
| 2001 | Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets.(2001) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
| 2000 | Informationsbasierter Aktienhandel über IBIS In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). [Citation analysis] | paper | 5 |
| 2000 | Non-monotonic hazard functions and the autoregressive conditional duration model In: Econometrics Journal. [Citation analysis] | article | 80 |
| 2008 | A new marked point process model for the federal funds rate target: Methodology and forecast evaluation In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 9 |
| 2002 | Modeling the interdependence of volatility and inter-transaction duration processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 50 |
| 2005 | Nonparametric specification tests for conditional duration models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 41 |
| 2000 | Non-Parametric Specification Tests for Conditional Duration Models..(2000) In: Economics Working Papers. [Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
| 2003 | Nonparametric specification tests for conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
| 2000 | NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS.(2000) In: Computing in Economics and Finance 2000. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
| 2005 | Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 88 |
| 2007 | Estimating the probability of informed trading--does trade misclassification matter? In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 40 |
| 2003 | Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?.(2003) In: University of St. Gallen Department of Economics working paper series 2003. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 2009 | Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns In: Review of Financial Economics. [Full Text][Citation analysis] | article | 0 |
| 2007 | Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns.(2007) In: ZEW Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2005 | Discrete choice modelling in airline network management In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2000 | Time 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). [Full Text][Citation analysis] | article | 0 |
| 2004 | Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model. In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Liquidity supply and adverse selection in a pure limit order book market In: Empirical Economics. [Full Text][Citation analysis] | article | 9 |
| 2009 | Long-horizon consumption risk and the cross-section of returns: new tests and international evidence In: The European Journal of Finance. [Full Text][Citation analysis] | article | 1 |
| 2009 | Long-horizon consumption risk and the cross-section of returns: New tests and international evidence.(2009) In: CFR Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2008 | International price discovery in the presence of market microstructure effects In: CFR Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Tell-tale tails: A data driven approach to estimate unique market information shares In: CFR Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2010 | Creative destruction and asset prices In: CFR Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2006 | Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns In: ZEW Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
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